Merge pull request #943.

Adding an experimental analytic pricer for forward-start european options in Heston model

QuantLib.vcxproj

@@ -720,6 +720,8 @@
     <ClInclude Include="ql\experimental\finitedifferences\glued1dmesher.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\modtriplebandlinearop.hpp" />
     <ClInclude Include="ql\experimental\finitedifferences\vanillavppoption.hpp" />
+    <ClInclude Include="ql\experimental\forward\all.hpp" />
+    <ClInclude Include="ql\experimental\forward\analytichestonforwardeuropeanengine.hpp" />
     <ClInclude Include="ql\experimental\futures\all.hpp" />
     <ClInclude Include="ql\experimental\futures\overnightindexfuture.hpp" />
     <ClInclude Include="ql\experimental\futures\overnightindexfutureratehelper.hpp" />
@@ -2039,6 +2041,7 @@
     <ClCompile Include="ql\experimental\finitedifferences\fdsimpleklugeextouvppengine.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\glued1dmesher.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\vanillavppoption.cpp" />
+    <ClCompile Include="ql\experimental\forward\analytichestonforwardeuropeanengine.cpp" />
     <ClCompile Include="ql\experimental\futures\overnightindexfuture.cpp" />
     <ClCompile Include="ql\experimental\futures\overnightindexfutureratehelper.cpp" />
     <ClCompile Include="ql\experimental\fx\blackdeltacalculator.cpp" />

QuantLib.vcxproj.filters

@@ -3060,6 +3060,12 @@
     <ClInclude Include="ql\experimental\futures\overnightindexfutureratehelper.hpp">
       <Filter>experimental\futures</Filter>
     </ClInclude>
+    <ClInclude Include="ql\experimental\forward\all.hpp">
+      <Filter>experimental\futures</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\experimental\forward\analytichestonforwardeuropeanengine.hpp">
+      <Filter>experimental\futures</Filter>
+    </ClInclude>
     <ClInclude Include="ql\experimental\fx\all.hpp">
       <Filter>experimental\fx</Filter>
     </ClInclude>
@@ -7027,5 +7033,8 @@
     <ClCompile Include="ql\math\integrals\exponentialintegrals.cpp">
       <Filter>math\integrals</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\forward\analytichestonforwardeuropeanengine.cpp">
+      <Filter>experimental\forward</Filter>
+    </ClCompile>
   </ItemGroup>
 </Project>

configure.ac

@@ -484,6 +484,7 @@ AC_CONFIG_FILES([
     ql/experimental/credit/Makefile
     ql/experimental/exoticoptions/Makefile
     ql/experimental/finitedifferences/Makefile
+    ql/experimental/forward/Makefile
     ql/experimental/futures/Makefile
     ql/experimental/fx/Makefile
     ql/experimental/inflation/Makefile

ql/CMakeLists.txt

@@ -183,6 +183,7 @@ set(QuantLib_SRC
     experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp
     experimental/finitedifferences/glued1dmesher.cpp
     experimental/finitedifferences/vanillavppoption.cpp
+    experimental/forward/analytichestonforwardeuropeanengine.cpp
     experimental/futures/overnightindexfuture.cpp
     experimental/futures/overnightindexfutureratehelper.cpp
     experimental/fx/blackdeltacalculator.cpp
@@ -1149,6 +1150,7 @@ set(QuantLib_HDR
     experimental/finitedifferences/glued1dmesher.hpp
     experimental/finitedifferences/modtriplebandlinearop.hpp
     experimental/finitedifferences/vanillavppoption.hpp
+    experimental/forward/analytichestonforwardeuropeanengine.hpp
     experimental/futures/all.hpp
     experimental/futures/overnightindexfuture.hpp
     experimental/futures/overnightindexfutureratehelper.hpp

ql/experimental/Makefile.am

@@ -1,7 +1,7 @@
 
 SUBDIRS = amortizingbonds averageois barrieroption basismodels callablebonds \
           catbonds commodities convertiblebonds coupons credit \
-          exoticoptions finitedifferences futures fx inflation lattices \
+          exoticoptions finitedifferences forward futures fx inflation lattices \
           math mcbasket models processes risk shortrate swaptions \
           termstructures variancegamma varianceoption volatility
 
@@ -26,6 +26,7 @@ libExperimental_la_LIBADD = \
     credit/libCredit.la \
     exoticoptions/libExoticOptions.la \
     finitedifferences/libMultiDimFDM.la \
+    forward/libForward.la \
     futures/libFutures.la \
     fx/libFX.la \
     inflation/libInflation.la \

ql/experimental/all.hpp

@@ -13,6 +13,7 @@
 #include <ql/experimental/credit/all.hpp>
 #include <ql/experimental/exoticoptions/all.hpp>
 #include <ql/experimental/finitedifferences/all.hpp>
+#include <ql/experimental/forward/all.hpp>
 #include <ql/experimental/futures/all.hpp>
 #include <ql/experimental/fx/all.hpp>
 #include <ql/experimental/inflation/all.hpp>

ql/experimental/forward/Makefile.am

@@ -0,0 +1,45 @@
+
+AM_CPPFLAGS = -I${top_builddir} -I${top_srcdir}
+
+this_includedir=${includedir}/${subdir}
+this_include_HEADERS = \
+    all.hpp \
+    analytichestonforwardeuropeanengine.hpp
+
+cpp_files = \
+    analytichestonforwardeuropeanengine.cpp
+
+if UNITY_BUILD
+
+nodist_libForward_la_SOURCES = unity.cpp
+
+unity.cpp: Makefile.am
+	echo "/* This file is automatically generated; do not edit.     */" > $@
+	echo "/* Add the files to be included into Makefile.am instead. */" >> $@
+	echo >> $@
+	for i in $(cpp_files); do \
+		echo "#include \"${subdir}/$$i\"" >> $@; \
+	done
+
+EXTRA_DIST = $(cpp_files)
+
+else
+
+libForward_la_SOURCES = $(cpp_files)
+
+endif
+
+noinst_LTLIBRARIES = libForward.la
+
+all.hpp: Makefile.am
+	echo "/* This file is automatically generated; do not edit.     */" > ${srcdir}/$@
+	echo "/* Add the files to be included into Makefile.am instead. */" >> ${srcdir}/$@
+	echo >> ${srcdir}/$@
+	for i in $(filter-out all.hpp, $(this_include_HEADERS)); do \
+		echo "#include <${subdir}/$$i>" >> ${srcdir}/$@; \
+	done
+	echo >> ${srcdir}/$@
+	subdirs='$(SUBDIRS)'; for i in $$subdirs; do \
+		echo "#include <${subdir}/$$i/all.hpp>" >> ${srcdir}/$@; \
+	done
+

ql/experimental/forward/all.hpp

@@ -0,0 +1,5 @@
+/* This file is automatically generated; do not edit.     */
+/* Add the files to be included into Makefile.am instead. */
+
+#include <ql/experimental/forward/analytichestonforwardeuropeanengine.hpp>
+