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Move a few exotic options from experimental to core #1774

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merged 4 commits into from
Aug 25, 2023
Merged

Move a few exotic options from experimental to core #1774

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bd88e67
Move Margrabe option from experimental to core
lballabio Aug 24, 2023
5dfcdca
Move compound option from experimental to core
lballabio Aug 24, 2023
9946744
Move chooser options from experimental to core
lballabio Aug 25, 2023
fad2b0b
Move tests to correct section
lballabio Aug 25, 2023
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28 changes: 19 additions & 9 deletions QuantLib.vcxproj
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Original file line number Diff line number Diff line change
Expand Up @@ -909,7 +909,9 @@
<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" />
<ClInclude Include="ql\instruments\cpiswap.hpp" />
<ClInclude Include="ql\instruments\creditdefaultswap.hpp" />
Expand Down Expand Up @@ -937,6 +939,7 @@
<ClInclude Include="ql\instruments\makeswaption.hpp" />
<ClInclude Include="ql\instruments\makevanillaswap.hpp" />
<ClInclude Include="ql\instruments\makeyoyinflationcapfloor.hpp" />
<ClInclude Include="ql\instruments\margrabeoption.hpp" />
<ClInclude Include="ql\instruments\multiassetoption.hpp" />
<ClInclude Include="ql\instruments\nonstandardswap.hpp" />
<ClInclude Include="ql\instruments\nonstandardswaption.hpp" />
Expand All @@ -947,6 +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" />
Expand Down Expand Up @@ -1526,6 +1530,12 @@
<ClInclude Include="ql\pricingengines\credit\integralcdsengine.hpp" />
<ClInclude Include="ql\pricingengines\credit\isdacdsengine.hpp" />
<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" />
Expand Down Expand Up @@ -2013,32 +2023,23 @@
<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\analyticamericanmargrabeengine.cpp" />
<ClCompile Include="ql\experimental\exoticoptions\analyticcomplexchooserengine.cpp" />
<ClCompile Include="ql\experimental\exoticoptions\analyticcompoundoptionengine.cpp" />
<ClCompile Include="ql\experimental\exoticoptions\analyticeuropeanmargrabeengine.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\compoundoption.cpp" />
<ClCompile Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp" />
<ClCompile Include="ql\experimental\exoticoptions\continuousarithmeticasianvecerengine.cpp" />
<ClCompile Include="ql\experimental\exoticoptions\everestoption.cpp" />
<ClCompile Include="ql\experimental\exoticoptions\himalayaoption.cpp" />
<ClCompile Include="ql\experimental\exoticoptions\holderextensibleoption.cpp" />
<ClCompile Include="ql\experimental\exoticoptions\kirkspreadoptionengine.cpp" />
<ClCompile Include="ql\experimental\exoticoptions\margrabeoption.cpp" />
<ClCompile Include="ql\experimental\exoticoptions\mceverestengine.cpp" />
<ClCompile Include="ql\experimental\exoticoptions\mchimalayaengine.cpp" />
<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" />
Expand Down Expand Up @@ -2170,7 +2171,9 @@
<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" />
<ClCompile Include="ql\instruments\cpiswap.cpp" />
<ClCompile Include="ql\instruments\creditdefaultswap.cpp" />
Expand All @@ -2196,6 +2199,7 @@
<ClCompile Include="ql\instruments\makeswaption.cpp" />
<ClCompile Include="ql\instruments\makevanillaswap.cpp" />
<ClCompile Include="ql\instruments\makeyoyinflationcapfloor.cpp" />
<ClCompile Include="ql\instruments\margrabeoption.cpp" />
<ClCompile Include="ql\instruments\multiassetoption.cpp" />
<ClCompile Include="ql\instruments\nonstandardswap.cpp" />
<ClCompile Include="ql\instruments\nonstandardswaption.cpp" />
Expand All @@ -2206,6 +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" />
Expand Down Expand Up @@ -2583,6 +2588,11 @@
<ClCompile Include="ql\pricingengines\credit\integralcdsengine.cpp" />
<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" />
Expand Down
87 changes: 60 additions & 27 deletions QuantLib.vcxproj.filters
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Original file line number Diff line number Diff line change
Expand Up @@ -187,6 +187,9 @@
<Filter Include="pricingengines\basket">
<UniqueIdentifier>{4b67a796-2576-42be-89cc-b751a07e3973}</UniqueIdentifier>
</Filter>
<Filter Include="pricingengines\exotic">
<UniqueIdentifier>{50c1f3c8-4281-11ee-be56-0242ac120002}</UniqueIdentifier>
</Filter>
<Filter Include="pricingengines\forward">
<UniqueIdentifier>{25671919-a7a3-4197-943c-23a5df4e8146}</UniqueIdentifier>
</Filter>
Expand Down Expand Up @@ -801,9 +804,15 @@
<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>
<ClInclude Include="ql\instruments\compoundoption.hpp">
<Filter>instruments</Filter>
</ClInclude>
<ClInclude Include="ql\instruments\creditdefaultswap.hpp">
<Filter>instruments</Filter>
</ClInclude>
Expand Down Expand Up @@ -858,6 +867,9 @@
<ClInclude Include="ql\instruments\makeyoyinflationcapfloor.hpp">
<Filter>instruments</Filter>
</ClInclude>
<ClInclude Include="ql\instruments\margrabeoption.hpp">
<Filter>instruments</Filter>
</ClInclude>
<ClInclude Include="ql\instruments\multiassetoption.hpp">
<Filter>instruments</Filter>
</ClInclude>
Expand All @@ -882,6 +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>
Expand Down Expand Up @@ -2418,6 +2433,24 @@
<ClInclude Include="ql\pricingengines\basket\stulzengine.hpp">
<Filter>pricingengines\basket</Filter>
</ClInclude>
<ClInclude Include="ql\pricingengines\exotic\all.hpp">
<Filter>pricingengines\exotic</Filter>
</ClInclude>
<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>
Expand Down Expand Up @@ -4661,9 +4694,15 @@
<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>
<ClCompile Include="ql\instruments\compoundoption.cpp">
<Filter>instruments</Filter>
</ClCompile>
<ClCompile Include="ql\instruments\creditdefaultswap.cpp">
<Filter>instruments</Filter>
</ClCompile>
Expand Down Expand Up @@ -4712,6 +4751,9 @@
<ClCompile Include="ql\instruments\makeyoyinflationcapfloor.cpp">
<Filter>instruments</Filter>
</ClCompile>
<ClCompile Include="ql\instruments\margrabeoption.cpp">
<Filter>instruments</Filter>
</ClCompile>
<ClCompile Include="ql\instruments\multiassetoption.cpp">
<Filter>instruments</Filter>
</ClCompile>
Expand All @@ -4736,6 +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>
Expand Down Expand Up @@ -5813,6 +5858,21 @@
<ClCompile Include="ql\pricingengines\cliquet\mcperformanceengine.cpp">
<Filter>pricingengines\cliquet</Filter>
</ClCompile>
<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>
Expand Down Expand Up @@ -6212,15 +6272,6 @@
<ClCompile Include="ql\experimental\fx\deltavolquote.cpp">
<Filter>experimental\fx</Filter>
</ClCompile>
<ClCompile Include="ql\experimental\exoticoptions\analyticamericanmargrabeengine.cpp">
<Filter>experimental\exoticoptions</Filter>
</ClCompile>
<ClCompile Include="ql\experimental\exoticoptions\analyticcomplexchooserengine.cpp">
<Filter>experimental\exoticoptions</Filter>
</ClCompile>
<ClCompile Include="ql\experimental\exoticoptions\analyticeuropeanmargrabeengine.cpp">
<Filter>experimental\exoticoptions</Filter>
</ClCompile>
<ClCompile Include="ql\experimental\exoticoptions\analyticholderextensibleoptionengine.cpp">
<Filter>experimental\exoticoptions</Filter>
</ClCompile>
Expand All @@ -6230,9 +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>
Expand All @@ -6242,9 +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>
Expand All @@ -6263,9 +6308,6 @@
<ClCompile Include="ql\experimental\exoticoptions\kirkspreadoptionengine.cpp">
<Filter>experimental\exoticoptions</Filter>
</ClCompile>
<ClCompile Include="ql\experimental\exoticoptions\margrabeoption.cpp">
<Filter>experimental\exoticoptions</Filter>
</ClCompile>
<ClCompile Include="ql\experimental\exoticoptions\mceverestengine.cpp">
<Filter>experimental\exoticoptions</Filter>
</ClCompile>
Expand All @@ -6281,9 +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>
Expand Down Expand Up @@ -6587,12 +6626,6 @@
<ClCompile Include="ql\experimental\barrieroption\vannavolgabarrierengine.cpp">
<Filter>experimental\barrieroption</Filter>
</ClCompile>
<ClCompile Include="ql\experimental\exoticoptions\analyticcompoundoptionengine.cpp">
<Filter>experimental\exoticoptions</Filter>
</ClCompile>
<ClCompile Include="ql\experimental\exoticoptions\compoundoption.cpp">
<Filter>experimental\exoticoptions</Filter>
</ClCompile>
<ClCompile Include="ql\experimental\inflation\yoycapfloortermpricesurface.cpp">
<Filter>experimental\inflation</Filter>
</ClCompile>
Expand Down
13 changes: 13 additions & 0 deletions cmake/GenerateHeaders.cmake
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Original file line number Diff line number Diff line change
Expand Up @@ -49,6 +49,19 @@ function(generate_dir_headers source_dir binary_dir)
list(FILTER children_hpp EXCLUDE REGEX "amortizingcmsratebond.hpp")
endif ()

# Same for some headers in experimental/exoticoptions
if (${source_dir} MATCHES "experimental" AND ${source_dir} MATCHES "exoticoptions")
list(FILTER children_hpp EXCLUDE REGEX "margrabeoption.hpp")
list(FILTER children_hpp EXCLUDE REGEX "analyticamericanmargrabeengine.hpp")
list(FILTER children_hpp EXCLUDE REGEX "analyticeuropeanmargrabeengine.hpp")
list(FILTER children_hpp EXCLUDE REGEX "compoundoption.hpp")
list(FILTER children_hpp EXCLUDE REGEX "analyticcompoundoptionengine.hpp")
list(FILTER children_hpp EXCLUDE REGEX "simplechooseroption.hpp")
list(FILTER children_hpp EXCLUDE REGEX "analyticsimplechooserengine.hpp")
list(FILTER children_hpp EXCLUDE REGEX "complexchooseroption.hpp")
list(FILTER children_hpp EXCLUDE REGEX "analyticcomplexchooserengine.hpp")
endif ()

list(FILTER children_hpp EXCLUDE REGEX "riskybond.hpp")
list(FILTER children_hpp EXCLUDE REGEX "composite.hpp")
list(FILTER children_hpp EXCLUDE REGEX "lexicographicalview.hpp")
Expand Down
1 change: 1 addition & 0 deletions configure.ac
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Original file line number Diff line number Diff line change
Expand Up @@ -615,6 +615,7 @@ AC_CONFIG_FILES([
ql/pricingengines/capfloor/Makefile
ql/pricingengines/cliquet/Makefile
ql/pricingengines/credit/Makefile
ql/pricingengines/exotic/Makefile
ql/pricingengines/forward/Makefile
ql/pricingengines/inflation/Makefile
ql/pricingengines/lookback/Makefile
Expand Down
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