QuantLib: a free/open-source library for quantitative finance
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replication.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007 Cristina Duminuco
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 replication.hpp
21 \brief Sub, Central, or Super replication
22*/
23
24#ifndef quantlib_replication_hpp
25#define quantlib_replication_hpp
26
27#include <ql/types.hpp>
28#include <iosfwd>
29
30namespace QuantLib {
31
32 //! Digital option replication strategy
33 /*! Specification of replication strategies used to price
34 the embedded digital option in a digital coupon.
35 */
36 struct Replication {
37 enum Type { Sub, Central, Super };
38 };
39
40 /*! \relates Replication */
41 std::ostream& operator<<(std::ostream&,
43
45 public:
47 Real gap = 1e-4);
49 Real gap() const { return gap_;};
50 private:
53 };
54
55}
56
57#endif
Replication::Type replicationType() const
Definition: replication.hpp:48
Replication::Type replicationType_
Definition: replication.hpp:52
const DefaultType & t
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35
std::ostream & operator<<(std::ostream &out, GFunctionFactory::YieldCurveModel type)
Digital option replication strategy.
Definition: replication.hpp:36
Custom types.