QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
fdsimpleextoujumpswingengine.hpp
Go to the documentation of this file.
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 fdsimpleextoujumpswingengine.hpp
21 \brief Finite Differences engine for simple swing options
22*/
23
24#ifndef quantlib_fd_simple_ext_ou_jump_swing_engine_hpp
25#define quantlib_fd_simple_ext_ou_jump_swing_engine_hpp
26
27#include <ql/pricingengine.hpp>
31
32namespace QuantLib {
33
34 //! Finite-Differences engine for simple swing options
35
36 class YieldTermStructure;
37 class ExtOUWithJumpsProcess;
38
40 : public GenericEngine<VanillaSwingOption::arguments,
41 VanillaSwingOption::results> {
42 public:
44
46 ext::shared_ptr<ExtOUWithJumpsProcess> p,
47 ext::shared_ptr<YieldTermStructure> rTS,
48 Size tGrid = 50,
49 Size xGrid = 200,
50 Size yGrid = 50,
51 ext::shared_ptr<Shape> shape = ext::shared_ptr<Shape>(),
52 const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
53
54 void calculate() const override;
55
56 private:
57 const ext::shared_ptr<ExtOUWithJumpsProcess> process_;
58 const ext::shared_ptr<YieldTermStructure> rTS_;
59 const ext::shared_ptr<Shape> shape_;
62 };
63}
64
65#endif
66
const ext::shared_ptr< ExtOUWithJumpsProcess > process_
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 swing option class