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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file option.cpp
\brief Base option class
\fullpath
ql/%option.cpp
*/
// $Id: option.cpp,v 1.9 2002/02/26 10:30:30 marmar Exp $
#include <ql/option.hpp>
namespace QuantLib {
Option::Option(const Handle<OptionPricingEngine>& engine,
const std::string& isinCode, const std::string& description)
: Instrument(isinCode, description), engine_(engine) {
QL_REQUIRE(!engine_.isNull(), "Option: null pricing engine not allowed");
}
Option::~Option() {}
void Option::setPricingEngine(const Handle<OptionPricingEngine>& engine) {
QL_REQUIRE(!engine.isNull(), "Option: null pricing engine not allowed");
engine_ = engine;
// this will trigger recalculation and notify observers
update();
setupEngine();
}
void Option::performCalculations() const {
setupEngine();
engine_->validateParameters();
engine_->calculate();
const OptionValue* results =
dynamic_cast<const OptionValue*>(engine_->results());
QL_ENSURE(results != 0, "no results returned from option pricer");
NPV_ = results->value;
}
}
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