fdshoutengine.hpp

来自「有很多的函数库」· HPP 代码 · 共 46 行

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2005 Joseph Wang

 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
 <[e-mail]>. 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.
    */
    typedef FDEngineAdapter<FDShoutCondition<FDStepConditionEngine>,
                            VanillaOption::engine>
    FDShoutEngine;
}


#endif