/usr/include/ql/pricingengines/vanilla/fddividendeuropeanengine.hpp is in libquantlib0-dev 1.7.1-1.
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/*
Copyright (C) 2005, 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 fddividendeuropeanengine.hpp
\brief finite-differences engine for European option with dividends
*/
#ifndef quantlib_fd_dividend_european_engine_hpp
#define quantlib_fd_dividend_european_engine_hpp
#include <ql/instruments/dividendvanillaoption.hpp>
#include <ql/pricingengines/vanilla/fddividendengine.hpp>
namespace QuantLib {
//! Finite-differences pricing engine for dividend European options
/*! \ingroup vanillaengines
\test
- the correctness of the returned greeks is tested by
reproducing numerical derivatives.
- the invariance of the results upon addition of null
dividends is tested.
*/
template <template <class> class Scheme = CrankNicolson>
class FDDividendEuropeanEngine
: public FDEngineAdapter<FDDividendEngine<Scheme>,
DividendVanillaOption::engine> {
typedef FDEngineAdapter<FDDividendEngine<Scheme>,
DividendVanillaOption::engine> super;
public:
FDDividendEuropeanEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Size timeSteps=100, Size gridPoints=100,
bool timeDependent = false)
: super(process, timeSteps, gridPoints,timeDependent) {}
};
template <template <class> class Scheme = CrankNicolson>
class FDDividendEuropeanEngineMerton73
: public FDEngineAdapter<FDDividendEngineMerton73<Scheme>,
DividendVanillaOption::engine> {
typedef FDEngineAdapter<FDDividendEngineMerton73<Scheme>,
DividendVanillaOption::engine> super;
public:
FDDividendEuropeanEngineMerton73(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Size timeSteps=100, Size gridPoints=100,
bool timeDependent = false)
: super(process, timeSteps, gridPoints,timeDependent) {}
};
template <template <class> class Scheme = CrankNicolson>
class FDDividendEuropeanEngineShiftScale
: public FDEngineAdapter<FDDividendEngineShiftScale<Scheme>,
DividendVanillaOption::engine> {
typedef FDEngineAdapter<FDDividendEngineShiftScale<Scheme>,
DividendVanillaOption::engine> super;
public:
FDDividendEuropeanEngineShiftScale(
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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