QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
cashflows
replication.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) 2007 Cristina Duminuco
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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 replication.hpp
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\brief Sub, Central, or Super replication
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*/
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#ifndef quantlib_replication_hpp
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#define quantlib_replication_hpp
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#include <
ql/types.hpp
>
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#include <iosfwd>
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namespace
QuantLib
{
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//! Digital option replication strategy
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/*! Specification of replication strategies used to price
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the embedded digital option in a digital coupon.
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*/
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struct
Replication
{
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enum
Type
{
Sub
,
Central
,
Super
};
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};
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/*! \relates Replication */
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std::ostream&
operator<<
(std::ostream&,
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Replication::Type
);
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class
DigitalReplication
{
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public
:
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DigitalReplication
(
Replication::Type
t
=
Replication::Central
,
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Real
gap
= 1e-4);
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Replication::Type
replicationType
()
const
{
return
replicationType_
;};
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Real
gap
()
const
{
return
gap_
;};
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private
:
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Real
gap_
;
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Replication::Type
replicationType_
;
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};
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}
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#endif
QuantLib::DigitalReplication
Definition:
replication.hpp:44
QuantLib::DigitalReplication::gap_
Real gap_
Definition:
replication.hpp:51
QuantLib::DigitalReplication::replicationType
Replication::Type replicationType() const
Definition:
replication.hpp:48
QuantLib::DigitalReplication::gap
Real gap() const
Definition:
replication.hpp:49
QuantLib::DigitalReplication::replicationType_
Replication::Type replicationType_
Definition:
replication.hpp:52
t
const DefaultType & t
Definition:
defaultprobabilitykey.cpp:39
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib
Definition:
any.hpp:35
QuantLib::operator<<
std::ostream & operator<<(std::ostream &out, GFunctionFactory::YieldCurveModel type)
Definition:
conundrumpricer.hpp:183
QuantLib::Replication
Digital option replication strategy.
Definition:
replication.hpp:36
QuantLib::Replication::Type
Type
Definition:
replication.hpp:37
QuantLib::Replication::Super
@ Super
Definition:
replication.hpp:37
QuantLib::Replication::Sub
@ Sub
Definition:
replication.hpp:37
QuantLib::Replication::Central
@ Central
Definition:
replication.hpp:37
types.hpp
Custom types.
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