dynamicstype.hpp

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/*
 Copyright (C) 2016 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file dynamicstype.hpp
    \brief dynamics type definitions
    \ingroup termstructures
*/
 
#ifndef quantext_dynamics_type_hpp
#define quantext_dynamics_type_hpp
 
#include <ostream>
 
namespace QuantExt {
 
/*! \addtogroup termstructures
    @{
*/
 
//! Stickiness
enum Stickyness { StickyStrike, StickyLogMoneyness, StickyAbsoluteMoneyness };
 
//! Reaction to Time Decay
enum ReactionToTimeDecay { ConstantVariance, ForwardForwardVariance };
 
//! Yield Curve Roll Down
enum YieldCurveRollDown { ConstantDiscounts, ForwardForward };
 
/*! @} */
 
inline std::ostream& operator<<(std::ostream& out, const Stickyness& t) {
    switch (t) {
    case StickyStrike:
        return out << "StickyStrike";
    case StickyLogMoneyness:
        return out << "StickyLogMoneyness";
    case StickyAbsoluteMoneyness:
        return out << "StickyAbsoluteMoneyness";
    default:
        return out << "Unknown stickiness type (" << t << ")";
    }
}
 
inline std::ostream& operator<<(std::ostream& out, const ReactionToTimeDecay& t) {
    switch (t) {
    case ConstantVariance:
        return out << "ConstantVariance";
    case ForwardForwardVariance:
        return out << "ForwardForwardVariance";
    default:
        return out << "Unknown reaction to time decay type (" << t << ")";
    }
}
 
inline std::ostream& operator<<(std::ostream& out, const YieldCurveRollDown& t) {
    switch (t) {
    case ConstantDiscounts:
        return out << "ConstantDiscounts";
    case ForwardForward:
        return out << "ForwardForward";
    default:
        return out << "Unknown yield curve roll down type (" << t << ")";
    }
}
 
} // namespace QuantExt
 
#endif