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/*
Copyright (C) 2020 Gorazd Brumen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#ifndef quantlib_spread_options_i
#define quantlib_spread_options_i
%include options.i
%{
using QuantLib::SpreadOption;
using QuantLib::KirkSpreadOptionEngine;
%}
%shared_ptr(SpreadOption);
class SpreadOption : public MultiAssetOption {
public:
SpreadOption(const ext::shared_ptr<PlainVanillaPayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise);
};
%shared_ptr(KirkSpreadOptionEngine);
class KirkSpreadOptionEngine : public PricingEngine {
public:
KirkSpreadOptionEngine(const ext::shared_ptr<BlackProcess>& process1,
const ext::shared_ptr<BlackProcess>& process2,
const Handle<Quote>& correlation);
};
#endif
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