/usr/include/ql/pricingengines/vanilla/fdsimplebsswingengine.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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 Klaus Spanderen
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 fdsimplebsswingengine.hpp
\brief Finite Differences Black-Scholes engine for simple swing options
*/
#ifndef quantlib_fd_simple_bs_swing_engine_hpp
#define quantlib_fd_simple_bs_swing_engine_hpp
#include <ql/pricingengine.hpp>
#include <ql/instruments/vanillaswingoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
namespace QuantLib {
//! Finite-Differences Black Scholes engine for simple swing options
class GeneralizedBlackScholesProcess;
class FdSimpleBSSwingEngine
: public GenericEngine<VanillaSwingOption::arguments,
VanillaSwingOption::results> {
public:
FdSimpleBSSwingEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& p,
Size tGrid = 50, Size xGrid = 100,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas());
void calculate() const;
private:
const boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
const Size tGrid_, xGrid_;
const FdmSchemeDesc schemeDesc_;
};
}
#endif
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