QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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fdextoujumpvanillaengine.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2011 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 fdextoujumpvanillaengine.hpp
21 \brief Finite Differences Ornstein Uhlenbeck plus exponential jumps engine
22 for vanilla options
23*/
24
25#ifndef quantlib_fd_simple_ou_jump_swing_engine_hpp
26#define quantlib_fd_simple_ou_jump_swing_engine_hpp
27
28#include <ql/pricingengine.hpp>
32
33namespace QuantLib {
34
35 class YieldTermStructure;
36 class ExtOUWithJumpsProcess;
37
39 : public GenericEngine<VanillaOption::arguments,
40 VanillaOption::results> {
41 public:
43 FdExtOUJumpVanillaEngine(ext::shared_ptr<ExtOUWithJumpsProcess> p,
44 ext::shared_ptr<YieldTermStructure> rTS,
45 Size tGrid = 50,
46 Size xGrid = 200,
47 Size yGrid = 50,
48 ext::shared_ptr<Shape> shape = ext::shared_ptr<Shape>(),
49 const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
50
51 void calculate() const override;
52
53 private:
54 const ext::shared_ptr<ExtOUWithJumpsProcess> process_;
55 const ext::shared_ptr<YieldTermStructure> rTS_;
56 const ext::shared_ptr<Shape> shape_;
59 };
60}
61
62#endif
FdmExtOUJumpModelInnerValue::Shape Shape
const ext::shared_ptr< ExtOUWithJumpsProcess > process_
const ext::shared_ptr< Shape > shape_
const ext::shared_ptr< YieldTermStructure > rTS_
std::vector< std::pair< Time, Real > > Shape
template base class for option pricing engines
inner value calculator for the Ornstein Uhlenbeck plus exponential jumps model (Kluge Model)
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
Base class for pricing engines.
static FdmSchemeDesc Hundsdorfer()
Vanilla option on a single asset.