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fdshoutoption.hpp

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

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap 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/reference/license.html>.

 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 fdshoutoption.hpp
    \brief shout option
*/

#ifndef quantlib_pricers_shout_option_h
#define quantlib_pricers_shout_option_h

#include <ql/Pricers/fdstepconditionoption.hpp>
#include <ql/FiniteDifferences/shoutcondition.hpp>

namespace QuantLib {

    #ifndef QL_DISABLE_DEPRECATED

    /*! \deprecated use VanillaOption with FDShoutEngine instead */
00035     class FdShoutOption : public FdStepConditionOption {
      public:
        // constructor
        FdShoutOption(Option::Type type, Real underlying, Real strike,
                      Spread dividendYield, Rate riskFreeRate,
                      Time residualTime, Volatility volatility,
                      Size timeSteps = 100, Size gridPoints = 100);
        void initializeStepCondition() const;

        // This method must be implemented to imply volatilities
        boost::shared_ptr<SingleAssetOption> clone() const{
            return boost::shared_ptr<SingleAssetOption>(
                                                    new FdShoutOption(*this));
        }
    };


    // inline definitions

    inline FdShoutOption::FdShoutOption(
                       Option::Type type, Real underlying,
                       Real strike, Spread dividendYield, Rate riskFreeRate,
                       Time residualTime, Volatility volatility,
                       Size timeSteps, Size gridPoints)
    : FdStepConditionOption(type, underlying, strike, dividendYield,
                            riskFreeRate, residualTime, volatility,
                            timeSteps, gridPoints){}

    inline void FdShoutOption::initializeStepCondition() const {
        stepCondition_ = boost::shared_ptr<StandardStepCondition>(
                          new ShoutCondition(intrinsicValues_, residualTime_,
                                             riskFreeRate_));
    }

    #endif

}


#endif


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