1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4   Copyright (C) 2007 Cristina Duminuco
5 
6  This file is part of QuantLib, a free-software/open-source library
7  for financial quantitative analysts and developers - http://quantlib.org/
8 
9  QuantLib is free software: you can redistribute it and/or modify it
10  under the terms of the QuantLib license.  You should have received a
11  copy of the license along with this program; if not, please email
12  <quantlib-dev@lists.sf.net>. The license is also available online at
13  <http://quantlib.org/license.shtml>.
14 
15  This program is distributed in the hope that it will be useful, but WITHOUT
16  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17  FOR A PARTICULAR PURPOSE.  See the license for more details.
18 */
19 
20 /*! \file replication.hpp
21     \brief Sub, Central, or Super replication
22 */
23 
24 #ifndef quantlib_replication_hpp
25 #define quantlib_replication_hpp
26 
27 #include <ql/types.hpp>
28 #include <iosfwd>
29 
30 namespace QuantLib {
31 
32     //! Digital option replication strategy
33     /*! Specification of replication strategies used to price
34         the embedded digital option in a digital coupon.
35     */
36     struct Replication {
37         enum Type { Sub, Central, Super };
38     };
39 
40     /*! \relates Replication */
41     std::ostream& operator<<(std::ostream&,
42                              Replication::Type);
43 
44     class DigitalReplication {
45     public:
46         DigitalReplication(Replication::Type t = Replication::Central,
47                            Real gap = 1e-4);
replicationType() const48         Replication::Type replicationType() const { return replicationType_;};
gap() const49         Real gap() const { return gap_;};
50     private:
51         Real gap_;
52         Replication::Type replicationType_;
53     };
54 
55 }
56 
57 #endif
58