QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
experimental
barrieroption
perturbativebarrieroptionengine.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2008 StatPro Italia srl
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file perturbativebarrieroptionengine.hpp
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\brief perturbative barrier-option engine
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*/
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#ifndef quantlib_perturbative_barrier_option_engine_hpp
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#define quantlib_perturbative_barrier_option_engine_hpp
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#include <
ql/instruments/barrieroption.hpp
>
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#include <
ql/processes/blackscholesprocess.hpp
>
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namespace
QuantLib
{
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//! perturbative barrier-option engine
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/*! This engine implements the approach described in
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<http://www.econ.univpm.it/recchioni/finance/w3/>.
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\warning This was reported to fail tests on Mac OS X 10.8.4.
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\ingroup barrierengines
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*/
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class
PerturbativeBarrierOptionEngine
:
public
BarrierOption::engine
{
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public
:
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explicit
PerturbativeBarrierOptionEngine
(ext::shared_ptr<GeneralizedBlackScholesProcess>,
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Natural
order = 1,
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bool
zeroGamma =
false
);
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void
calculate
()
const override
;
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private
:
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ext::shared_ptr<GeneralizedBlackScholesProcess>
process_
;
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Natural
order_
;
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bool
zeroGamma_
;
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};
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}
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#endif
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barrieroption.hpp
Barrier option on a single asset.
blackscholesprocess.hpp
Black-Scholes processes.
QuantLib::BarrierOption::engine
Barrier-option engine base class
Definition:
barrieroption.hpp:94
QuantLib::PerturbativeBarrierOptionEngine
perturbative barrier-option engine
Definition:
perturbativebarrieroptionengine.hpp:40
QuantLib::PerturbativeBarrierOptionEngine::order_
Natural order_
Definition:
perturbativebarrieroptionengine.hpp:49
QuantLib::PerturbativeBarrierOptionEngine::calculate
void calculate() const override
Definition:
perturbativebarrieroptionengine.cpp:1516
QuantLib::PerturbativeBarrierOptionEngine::zeroGamma_
bool zeroGamma_
Definition:
perturbativebarrieroptionengine.hpp:50
QuantLib::PerturbativeBarrierOptionEngine::process_
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Definition:
perturbativebarrieroptionengine.hpp:48
QuantLib::Natural
unsigned QL_INTEGER Natural
positive integer
Definition:
types.hpp:43
QuantLib
Definition:
any.hpp:35
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