/usr/include/ql/pricingengines/vanilla/fdshoutengine.hpp is in libquantlib0-dev 1.12-1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Joseph Wang
Copyright (C) 2009 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.
*/
/*! \file fdshoutengine.hpp
\brief Finite-differences shout engine
*/
#ifndef quantlib_fd_shout_engine_hpp
#define quantlib_fd_shout_engine_hpp
#include <ql/pricingengines/vanilla/fdstepconditionengine.hpp>
#include <ql/pricingengines/vanilla/fdconditions.hpp>
#include <ql/instruments/vanillaoption.hpp>
namespace QuantLib {
//! Finite-differences pricing engine for shout vanilla options
/*! \ingroup vanillaengines
\test the correctness of the returned greeks is tested by
reproducing numerical derivatives.
*/
template <template <class> class Scheme = CrankNicolson>
class FDShoutEngine
: public FDEngineAdapter<FDShoutCondition<
FDStepConditionEngine<Scheme> >,
OneAssetOption::engine> {
typedef FDEngineAdapter<FDShoutCondition<
FDStepConditionEngine<Scheme> >,
OneAssetOption::engine> super;
public:
FDShoutEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Size timeSteps=100, Size gridPoints=100,
bool timeDependent = false)
: super(process, timeSteps, gridPoints,timeDependent) {}
};
}
#endif
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