1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ 2 3 /* 4 Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis 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 analyticwriterextensibleoptionengine.hpp 21 \brief Analytic engine for writer-extensible options 22 */ 23 24 #ifndef quantlib_analytic_writer_extensible_option_engine_hpp 25 #define quantlib_analytic_writer_extensible_option_engine_hpp 26 27 #include <ql/experimental/exoticoptions/writerextensibleoption.hpp> 28 #include <ql/processes/blackscholesprocess.hpp> 29 30 namespace QuantLib { 31 32 //! Analytic engine for writer-extensible options 33 class AnalyticWriterExtensibleOptionEngine 34 : public WriterExtensibleOption::engine { 35 public: 36 explicit AnalyticWriterExtensibleOptionEngine( 37 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process); 38 void calculate() const; 39 private: 40 ext::shared_ptr<GeneralizedBlackScholesProcess> process_; 41 }; 42 43 } 44 45 #endif 46