/usr/include/ql/cashflows/replication.hpp is in libquantlib0-dev 1.4-2.
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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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Cristina Duminuco
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 replication.hpp
\brief Sub, Central, or Super replication
*/
#ifndef quantlib_replication_hpp
#define quantlib_replication_hpp
#include <ql/types.hpp>
#include <iosfwd>
namespace QuantLib {
//! Digital option replication strategy
/*! Specification of replication strategies used to price
the embedded digital option in a digital coupon.
*/
struct Replication {
enum Type { Sub, Central, Super };
};
/*! \relates Replication */
std::ostream& operator<<(std::ostream&,
Replication::Type);
class DigitalReplication {
public:
DigitalReplication(Replication::Type t = Replication::Central,
Real gap = 1e-4);
Replication::Type replicationType() const { return replicationType_;};
Real gap() const { return gap_;};
private:
Real gap_;
Replication::Type replicationType_;
};
}
#endif
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