Move chooser options from experimental to core

QuantLib.vcxproj

@@ -909,6 +909,7 @@
     <ClInclude Include="ql\instruments\capfloor.hpp" />
     <ClInclude Include="ql\instruments\claim.hpp" />
     <ClInclude Include="ql\instruments\cliquetoption.hpp" />
+    <ClInclude Include="ql\instruments\complexchooseroption.hpp" />
     <ClInclude Include="ql\instruments\compositeinstrument.hpp" />
     <ClInclude Include="ql\instruments\compoundoption.hpp" />
     <ClInclude Include="ql\instruments\cpicapfloor.hpp" />
@@ -949,6 +950,7 @@
     <ClInclude Include="ql\instruments\quantobarrieroption.hpp" />
     <ClInclude Include="ql\instruments\quantoforwardvanillaoption.hpp" />
     <ClInclude Include="ql\instruments\quantovanillaoption.hpp" />
+    <ClInclude Include="ql\instruments\simplechooseroption.hpp" />
     <ClInclude Include="ql\instruments\simplifynotificationgraph.hpp" />
     <ClInclude Include="ql\instruments\stickyratchet.hpp" />
     <ClInclude Include="ql\instruments\stock.hpp" />
@@ -1530,8 +1532,10 @@
     <ClInclude Include="ql\pricingengines\credit\midpointcdsengine.hpp" />
     <ClInclude Include="ql\pricingengines\exotic\all.hpp" />
     <ClInclude Include="ql\pricingengines\exotic\analyticamericanmargrabeengine.hpp" />
+    <ClInclude Include="ql\pricingengines\exotic\analyticcomplexchooserengine.hpp" />
     <ClInclude Include="ql\pricingengines\exotic\analyticcompoundoptionengine.hpp" />
     <ClInclude Include="ql\pricingengines\exotic\analyticeuropeanmargrabeengine.hpp" />
+    <ClInclude Include="ql\pricingengines\exotic\analyticsimplechooserengine.hpp" />
     <ClInclude Include="ql\pricingengines\forward\all.hpp" />
     <ClInclude Include="ql\pricingengines\forward\forwardengine.hpp" />
     <ClInclude Include="ql\pricingengines\forward\forwardperformanceengine.hpp" />
@@ -2019,15 +2023,12 @@
     <ClCompile Include="ql\experimental\credit\riskyassetswap.cpp" />
     <ClCompile Include="ql\experimental\credit\riskyassetswapoption.cpp" />
     <ClCompile Include="ql\experimental\credit\syntheticcdo.cpp" />
-    <ClCompile Include="ql\experimental\exoticoptions\analyticcomplexchooserengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analyticholderextensibleoptionengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analyticpartialtimebarrieroptionengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analyticpdfhestonengine.cpp" />
-    <ClCompile Include="ql\experimental\exoticoptions\analyticsimplechooserengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analytictwoassetbarrierengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analytictwoassetcorrelationengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.cpp" />
-    <ClCompile Include="ql\experimental\exoticoptions\complexchooseroption.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\continuousarithmeticasianvecerengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\everestoption.cpp" />
@@ -2039,7 +2040,6 @@
     <ClCompile Include="ql\experimental\exoticoptions\mcpagodaengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\pagodaoption.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\partialtimebarrieroption.cpp" />
-    <ClCompile Include="ql\experimental\exoticoptions\simplechooseroption.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\twoassetbarrieroption.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\twoassetcorrelationoption.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\writerextensibleoption.cpp" />
@@ -2171,6 +2171,7 @@
     <ClCompile Include="ql\instruments\capfloor.cpp" />
     <ClCompile Include="ql\instruments\claim.cpp" />
     <ClCompile Include="ql\instruments\cliquetoption.cpp" />
+    <ClCompile Include="ql\instruments\complexchooseroption.cpp" />
     <ClCompile Include="ql\instruments\compositeinstrument.cpp" />
     <ClCompile Include="ql\instruments\compoundoption.cpp" />
     <ClCompile Include="ql\instruments\cpicapfloor.cpp" />
@@ -2209,6 +2210,7 @@
     <ClCompile Include="ql\instruments\quantobarrieroption.cpp" />
     <ClCompile Include="ql\instruments\quantoforwardvanillaoption.cpp" />
     <ClCompile Include="ql\instruments\quantovanillaoption.cpp" />
+    <ClCompile Include="ql\instruments\simplechooseroption.cpp" />
     <ClCompile Include="ql\instruments\simplifynotificationgraph.cpp" />
     <ClCompile Include="ql\instruments\stickyratchet.cpp" />
     <ClCompile Include="ql\instruments\stock.cpp" />
@@ -2587,8 +2589,10 @@
     <ClCompile Include="ql\pricingengines\credit\isdacdsengine.cpp" />
     <ClCompile Include="ql\pricingengines\credit\midpointcdsengine.cpp" />
     <ClCompile Include="ql\pricingengines\exotic\analyticamericanmargrabeengine.cpp" />
+    <ClCompile Include="ql\pricingengines\exotic\analyticcomplexchooserengine.cpp" />
     <ClCompile Include="ql\pricingengines\exotic\analyticcompoundoptionengine.cpp" />
     <ClCompile Include="ql\pricingengines\exotic\analyticeuropeanmargrabeengine.cpp" />
+    <ClCompile Include="ql\pricingengines\exotic\analyticsimplechooserengine.cpp" />
     <ClCompile Include="ql\pricingengines\forward\mcforwardeuropeanbsengine.cpp" />
     <ClCompile Include="ql\pricingengines\forward\mcforwardeuropeanhestonengine.cpp" />
     <ClCompile Include="ql\pricingengines\greeks.cpp" />

QuantLib.vcxproj.filters

@@ -804,6 +804,9 @@
     <ClInclude Include="ql\instruments\cliquetoption.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
+    <ClInclude Include="ql\instruments\complexchooseroption.hpp">
+      <Filter>instruments</Filter>
+    </ClInclude>
     <ClInclude Include="ql\instruments\compositeinstrument.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
@@ -891,6 +894,9 @@
     <ClInclude Include="ql\instruments\quantovanillaoption.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
+    <ClInclude Include="ql\instruments\simplechooseroption.hpp">
+      <Filter>instruments</Filter>
+    </ClInclude>
     <ClInclude Include="ql\instruments\simplifynotificationgraph.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
@@ -2433,12 +2439,18 @@
     <ClInclude Include="ql\pricingengines\exotic\analyticamericanmargrabeengine.hpp">
       <Filter>pricingengines\exotic</Filter>
     </ClInclude>
+    <ClInclude Include="ql\pricingengines\exotic\analyticcomplexchooserengine.hpp">
+      <Filter>pricingengines\exotic</Filter>
+    </ClInclude>
     <ClInclude Include="ql\pricingengines\exotic\analyticcompoundoptionengine.hpp">
       <Filter>pricingengines\exotic</Filter>
     </ClInclude>
     <ClInclude Include="ql\pricingengines\exotic\analyticeuropeanmargrabeengine.hpp">
       <Filter>pricingengines\exotic</Filter>
     </ClInclude>
+    <ClInclude Include="ql\pricingengines\exotic\analyticsimplechooserengine.hpp">
+      <Filter>pricingengines\exotic</Filter>
+    </ClInclude>
     <ClInclude Include="ql\pricingengines\forward\all.hpp">
       <Filter>pricingengines\forward</Filter>
     </ClInclude>
@@ -4682,6 +4694,9 @@
     <ClCompile Include="ql\instruments\cliquetoption.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
+    <ClCompile Include="ql\instruments\complexchooseroption.cpp">
+      <Filter>instruments</Filter>
+    </ClCompile>
     <ClCompile Include="ql\instruments\compositeinstrument.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
@@ -4763,6 +4778,9 @@
     <ClCompile Include="ql\instruments\quantovanillaoption.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
+    <ClCompile Include="ql\instruments\simplechooseroption.cpp">
+      <Filter>instruments</Filter>
+    </ClCompile>
     <ClCompile Include="ql\instruments\simplifynotificationgraph.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
@@ -5843,12 +5861,18 @@
     <ClCompile Include="ql\pricingengines\exotic\analyticamericanmargrabeengine.cpp">
       <Filter>pricingengines\exotic</Filter>
     </ClCompile>
+    <ClCompile Include="ql\pricingengines\exotic\analyticcomplexchooserengine.cpp">
+      <Filter>pricingengines\exotic</Filter>
+    </ClCompile>
     <ClCompile Include="ql\pricingengines\exotic\analyticcompoundoptionengine.cpp">
       <Filter>pricingengines\exotic</Filter>
     </ClCompile>
     <ClCompile Include="ql\pricingengines\exotic\analyticeuropeanmargrabeengine.cpp">
       <Filter>pricingengines\exotic</Filter>
     </ClCompile>
+    <ClCompile Include="ql\pricingengines\exotic\analyticsimplechooserengine.cpp">
+      <Filter>pricingengines\exotic</Filter>
+    </ClCompile>
     <ClCompile Include="ql\pricingengines\lookback\analyticcontinuousfixedlookback.cpp">
       <Filter>pricingengines\lookback</Filter>
     </ClCompile>
@@ -6248,9 +6272,6 @@
     <ClCompile Include="ql\experimental\fx\deltavolquote.cpp">
       <Filter>experimental\fx</Filter>
     </ClCompile>
-    <ClCompile Include="ql\experimental\exoticoptions\analyticcomplexchooserengine.cpp">
-      <Filter>experimental\exoticoptions</Filter>
-    </ClCompile>
     <ClCompile Include="ql\experimental\exoticoptions\analyticholderextensibleoptionengine.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>
@@ -6260,9 +6281,6 @@
     <ClCompile Include="ql\experimental\exoticoptions\analyticpdfhestonengine.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>
-    <ClCompile Include="ql\experimental\exoticoptions\analyticsimplechooserengine.cpp">
-      <Filter>experimental\exoticoptions</Filter>
-    </ClCompile>
     <ClCompile Include="ql\experimental\exoticoptions\analytictwoassetbarrierengine.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>
@@ -6272,9 +6290,6 @@
     <ClCompile Include="ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>
-    <ClCompile Include="ql\experimental\exoticoptions\complexchooseroption.cpp">
-      <Filter>experimental\exoticoptions</Filter>
-    </ClCompile>
     <ClCompile Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>
@@ -6308,9 +6323,6 @@
     <ClCompile Include="ql\experimental\exoticoptions\partialtimebarrieroption.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>
-    <ClCompile Include="ql\experimental\exoticoptions\simplechooseroption.cpp">
-      <Filter>experimental\exoticoptions</Filter>
-    </ClCompile>
     <ClCompile Include="ql\experimental\exoticoptions\twoassetbarrieroption.cpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClCompile>

ql/CMakeLists.txt

@@ -123,15 +123,12 @@ set(QL_SOURCES
     experimental/credit/riskyassetswap.cpp
     experimental/credit/riskyassetswapoption.cpp
     experimental/credit/syntheticcdo.cpp
-    experimental/exoticoptions/analyticcomplexchooserengine.cpp
     experimental/exoticoptions/analyticholderextensibleoptionengine.cpp
     experimental/exoticoptions/analyticpartialtimebarrieroptionengine.cpp
     experimental/exoticoptions/analyticpdfhestonengine.cpp
-    experimental/exoticoptions/analyticsimplechooserengine.cpp
     experimental/exoticoptions/analytictwoassetbarrierengine.cpp
     experimental/exoticoptions/analytictwoassetcorrelationengine.cpp
     experimental/exoticoptions/analyticwriterextensibleoptionengine.cpp
-    experimental/exoticoptions/complexchooseroption.cpp
     experimental/exoticoptions/continuousarithmeticasianlevyengine.cpp
     experimental/exoticoptions/continuousarithmeticasianvecerengine.cpp
     experimental/exoticoptions/everestoption.cpp
@@ -143,7 +140,6 @@ set(QL_SOURCES
     experimental/exoticoptions/mcpagodaengine.cpp
     experimental/exoticoptions/pagodaoption.cpp
     experimental/exoticoptions/partialtimebarrieroption.cpp
-    experimental/exoticoptions/simplechooseroption.cpp
     experimental/exoticoptions/twoassetbarrieroption.cpp
     experimental/exoticoptions/twoassetcorrelationoption.cpp
     experimental/exoticoptions/writerextensibleoption.cpp
@@ -277,6 +273,7 @@ set(QL_SOURCES
     instruments/capfloor.cpp
     instruments/claim.cpp
     instruments/cliquetoption.cpp
+    instruments/complexchooseroption.cpp
     instruments/compositeinstrument.cpp
     instruments/compoundoption.cpp
     instruments/cpicapfloor.cpp
@@ -315,6 +312,7 @@ set(QL_SOURCES
     instruments/quantobarrieroption.cpp
     instruments/quantoforwardvanillaoption.cpp
     instruments/quantovanillaoption.cpp
+    instruments/simplechooseroption.cpp
     instruments/simplifynotificationgraph.cpp
     instruments/stickyratchet.cpp
     instruments/stock.cpp
@@ -698,8 +696,10 @@ set(QL_SOURCES
     pricingengines/credit/isdacdsengine.cpp
     pricingengines/credit/midpointcdsengine.cpp
     pricingengines/exotic/analyticamericanmargrabeengine.cpp
+    pricingengines/exotic/analyticcomplexchooserengine.cpp
     pricingengines/exotic/analyticcompoundoptionengine.cpp
     pricingengines/exotic/analyticeuropeanmargrabeengine.cpp
+    pricingengines/exotic/analyticsimplechooserengine.cpp
     pricingengines/forward/mcforwardeuropeanbsengine.cpp
     pricingengines/forward/mcforwardeuropeanhestonengine.cpp
     pricingengines/greeks.cpp
@@ -1324,6 +1324,7 @@ set(QL_HEADERS
     instruments/capfloor.hpp
     instruments/claim.hpp
     instruments/cliquetoption.hpp
+    instruments/complexchooseroption.hpp
     instruments/compositeinstrument.hpp
     instruments/compoundoption.hpp
     instruments/cpicapfloor.hpp
@@ -1364,6 +1365,7 @@ set(QL_HEADERS
     instruments/quantobarrieroption.hpp
     instruments/quantoforwardvanillaoption.hpp
     instruments/quantovanillaoption.hpp
+    instruments/simplechooseroption.hpp
     instruments/simplifynotificationgraph.hpp
     instruments/stickyratchet.hpp
     instruments/stock.hpp
@@ -1901,8 +1903,10 @@ set(QL_HEADERS
     pricingengines/credit/isdacdsengine.hpp
     pricingengines/credit/midpointcdsengine.hpp
     pricingengines/exotic/analyticamericanmargrabeengine.hpp
+    pricingengines/exotic/analyticcomplexchooserengine.hpp
     pricingengines/exotic/analyticcompoundoptionengine.hpp
     pricingengines/exotic/analyticeuropeanmargrabeengine.hpp
+    pricingengines/exotic/analyticsimplechooserengine.hpp
     pricingengines/forward/forwardengine.hpp
     pricingengines/forward/forwardperformanceengine.hpp
     pricingengines/forward/mcforwardeuropeanbsengine.hpp

ql/experimental/exoticoptions/Makefile.am

@@ -36,15 +36,12 @@ this_include_HEADERS = \
     writerextensibleoption.hpp
 
 cpp_files = \
-    analyticcomplexchooserengine.cpp \
     analyticholderextensibleoptionengine.cpp \
     analyticpartialtimebarrieroptionengine.cpp \
     analyticpdfhestonengine.cpp \
-    analyticsimplechooserengine.cpp \
     analytictwoassetbarrierengine.cpp \
     analytictwoassetcorrelationengine.cpp \
     analyticwriterextensibleoptionengine.cpp \
-    complexchooseroption.cpp \
     continuousarithmeticasianlevyengine.cpp \
     continuousarithmeticasianvecerengine.cpp \
     everestoption.cpp \
@@ -56,7 +53,6 @@ cpp_files = \
     mcpagodaengine.cpp \
     pagodaoption.cpp \
     partialtimebarrieroption.cpp \
-    simplechooseroption.cpp \
     twoassetbarrieroption.cpp \
     twoassetcorrelationoption.cpp \
     writerextensibleoption.cpp
@@ -92,7 +88,11 @@ all.hpp: Makefile.am
 	                      analyticamericanmargrabeengine.hpp \
 	                      analyticeuropeanmargrabeengine.hpp \
 	                      compoundoption.hpp \
-	                      analyticcompoundoptionengine.hpp, $(this_include_HEADERS)); do \
+	                      analyticcompoundoptionengine.hpp \
+	                      simplechooseroption.hpp \
+	                      analyticsimplechooserengine.hpp \
+	                      complexchooseroption.hpp \
+	                      analyticcomplexchooserengine.hpp, $(this_include_HEADERS)); do \
 		echo "#include <${subdir}/$$i>" >> ${srcdir}/$@; \
 	done
 	echo >> ${srcdir}/$@

ql/experimental/exoticoptions/all.hpp

@@ -1,15 +1,12 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
-#include <ql/experimental/exoticoptions/analyticcomplexchooserengine.hpp>
 #include <ql/experimental/exoticoptions/analyticholderextensibleoptionengine.hpp>
 #include <ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.hpp>
 #include <ql/experimental/exoticoptions/analyticpdfhestonengine.hpp>
-#include <ql/experimental/exoticoptions/analyticsimplechooserengine.hpp>
 #include <ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp>
 #include <ql/experimental/exoticoptions/analytictwoassetcorrelationengine.hpp>
 #include <ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp>
-#include <ql/experimental/exoticoptions/complexchooseroption.hpp>
 #include <ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp>
 #include <ql/experimental/exoticoptions/continuousarithmeticasianvecerengine.hpp>
 #include <ql/experimental/exoticoptions/everestoption.hpp>
@@ -21,7 +18,6 @@
 #include <ql/experimental/exoticoptions/mcpagodaengine.hpp>
 #include <ql/experimental/exoticoptions/pagodaoption.hpp>
 #include <ql/experimental/exoticoptions/partialtimebarrieroption.hpp>
-#include <ql/experimental/exoticoptions/simplechooseroption.hpp>
 #include <ql/experimental/exoticoptions/spreadoption.hpp>
 #include <ql/experimental/exoticoptions/twoassetbarrieroption.hpp>
 #include <ql/experimental/exoticoptions/twoassetcorrelationoption.hpp>

ql/experimental/exoticoptions/analyticcomplexchooserengine.hpp

@@ -17,46 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file analyticcomplexchooserengine.hpp
-    \brief Analytic engine for complex chooser option
-*/
-
-#ifndef quantlib_analytic_complex_chooser_engine_hpp
-#define quantlib_analytic_complex_chooser_engine_hpp
-
-#include <ql/experimental/exoticoptions/complexchooseroption.hpp>
-#include <ql/processes/blackscholesprocess.hpp>
-#include <ql/pricingengines/blackscholescalculator.hpp>
-
-namespace QuantLib {
-
-    class AnalyticComplexChooserEngine : public ComplexChooserOption::engine {
-      public:
-        explicit AnalyticComplexChooserEngine(
-            ext::shared_ptr<GeneralizedBlackScholesProcess> process);
-        void calculate() const override;
-
-      private:
-        ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
-        Real strike(Option::Type optionType) const;
-        Time choosingTime() const;
-        Time putMaturity() const;
-        Time callMaturity() const;
-        Volatility volatility(Time t) const;
-
-        Rate dividendYield(Time t) const;
-        DiscountFactor dividendDiscount(Time t) const;
-
-        Rate riskFreeRate(Time t) const;
-        DiscountFactor riskFreeDiscount(Time t) const;
-
-        BlackScholesCalculator bsCalculator(Real spot,
-                                            Option::Type optionType) const;
-        Real CriticalValueChooser() const;
-        Real ComplexChooser() const;
-    };
-
-}
-
+// Deprecated in version 1.32
+#pragma message("Warning: this file will disappear in a future release; include <ql/pricingengines/exotic/analyticcomplexchooserengine.hpp> instead.")
 
-#endif
+#include <ql/pricingengines/exotic/analyticcomplexchooserengine.hpp>