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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
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.
*/
/*! \file analyticwriterextensibleoptionengine.hpp
\brief Analytic engine for writer-extensible options
*/
#ifndef quantlib_analytic_writer_extensible_option_engine_hpp
#define quantlib_analytic_writer_extensible_option_engine_hpp
#include <ql/instruments/writerextensibleoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
//! Analytic engine for writer-extensible options
/*! Formulas from Haug, "Option Pricing Formulas". */
class AnalyticWriterExtensibleOptionEngine
: public WriterExtensibleOption::engine {
public:
explicit AnalyticWriterExtensibleOptionEngine(
ext::shared_ptr<GeneralizedBlackScholesProcess> process);
void calculate() const override;
private:
ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
};
}
#endif
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