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