QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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dynprogvppintrinsicvalueengine.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2012 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file dynprogvppintrinsicvalueengine.hpp
21 \brief intrinsic value engine using dynamic programming
22*/
23
24#ifndef quantlib_dp_vpp_intrinsic_value_engine_hpp
25#define quantlib_dp_vpp_intrinsic_value_engine_hpp
26
27#include <ql/pricingengine.hpp>
29#include <vector>
30
31namespace QuantLib {
32
33 class YieldTermStructure;
34
36 : public GenericEngine<VanillaVPPOption::arguments,
37 VanillaVPPOption::results> {
38 public:
39 DynProgVPPIntrinsicValueEngine(std::vector<Real> fuelPrices,
40 std::vector<Real> powerPrices,
41 Real fuelCostAddon,
42 ext::shared_ptr<YieldTermStructure> rTS);
43
44 void calculate() const override;
45
46 private:
47 const std::vector<Real> fuelPrices_;
48 const std::vector<Real> powerPrices_;
50 const ext::shared_ptr<YieldTermStructure> rTS_;
51 };
52}
53
54#endif
55
const ext::shared_ptr< YieldTermStructure > rTS_
template base class for option pricing engines
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35
Base class for pricing engines.
vanilla virtual power plant option