batesengine.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2005 Klaus Spanderen
 Copyright (C) 2007 StatPro Italia srl
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_bates_engine_hpp
#define quantlib_bates_engine_hpp
 
#include <ql/qldefines.hpp>
#include <ql/models/equity/batesmodel.hpp>
#include <ql/pricingengines/vanilla/analytichestonengine.hpp>
 
namespace QuantLib {
 
 
    class BatesEngine : public AnalyticHestonEngine {
      public:
        explicit BatesEngine(const ext::shared_ptr<BatesModel>& model,
                             Size integrationOrder = 144);
        BatesEngine(const ext::shared_ptr<BatesModel>& model,
                    Real relTolerance, Size maxEvaluations);
 
      protected:
        std::complex<Real> addOnTerm(Real phi, Time t, Size j) const override;
    };
 
 
    class BatesDetJumpEngine : public BatesEngine {
      public:
        explicit BatesDetJumpEngine(const ext::shared_ptr<BatesDetJumpModel>& model,
                                    Size integrationOrder = 144);
        BatesDetJumpEngine(const ext::shared_ptr<BatesDetJumpModel>& model,
                           Real relTolerance, Size maxEvaluations);
 
      protected:
        std::complex<Real> addOnTerm(Real phi, Time t, Size j) const override;
    };
 
 
    class BatesDoubleExpEngine : public AnalyticHestonEngine {
      public:
        explicit BatesDoubleExpEngine(
            const ext::shared_ptr<BatesDoubleExpModel>& model,
            Size integrationOrder = 144);
        BatesDoubleExpEngine(
            const ext::shared_ptr<BatesDoubleExpModel>& model,
            Real relTolerance, Size maxEvaluations);
 
      protected:
        std::complex<Real> addOnTerm(Real phi, Time t, Size j) const override;
    };
 
 
    class BatesDoubleExpDetJumpEngine : public BatesDoubleExpEngine {
      public:
        explicit BatesDoubleExpDetJumpEngine(
            const ext::shared_ptr<BatesDoubleExpDetJumpModel>& model,
            Size integrationOrder = 144);
        BatesDoubleExpDetJumpEngine(
            const ext::shared_ptr<BatesDoubleExpDetJumpModel>& model,
            Real relTolerance, Size maxEvaluations);
 
      protected:
        std::complex<Real> addOnTerm(Real phi, Time t, Size j) const override;
    };
 
}
 
#endif