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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.hpp
\brief Base option class
\fullpath
ql/%option.hpp
*/
// $Id: option.hpp,v 1.9 2002/01/30 14:55:31 lballabio Exp $
#ifndef quantlib_option_h
#define quantlib_option_h
#include <ql/instrument.hpp>
#include <ql/argsandresults.hpp>
#include <ql/handle.hpp>
#include <ql/null.hpp>
namespace QuantLib {
class OptionPricingEngine;
//! base option class
class Option : public Instrument {
public:
enum Type { Call, Put, Straddle };
Option(const Handle<OptionPricingEngine>& engine,
const std::string& isinCode = "",
const std::string& description = "");
virtual ~Option();
void setPricingEngine(const Handle<OptionPricingEngine>&);
protected:
virtual void setupEngine() const = 0;
/*! \warning this method simply launches the engine and copies the
returned value into NPV_. It does <b>not</b> set isExpired_.
This should be taken care of by redefining this method in
derived classes and calling this implementation after
checking for validity and only if the check succeeded.
*/
virtual void performCalculations() const;
Handle<OptionPricingEngine> engine_;
};
//! %option pricing results
/*! It must be noted that there's no result data specifying
whether the option is expired. The expiry condition should be
checked before calling the engine.
*/
class OptionValue : public virtual Results {
public:
OptionValue() : value(Null<double>()) {}
double value;
};
//! %option pricing results
class OptionGreeks : public virtual Results {
public:
OptionGreeks() : delta(Null<double>()), gamma(Null<double>()),
theta(Null<double>()), vega(Null<double>()),
rho(Null<double>()), dividendRho(Null<double>()) {}
double delta, gamma;
double theta;
double vega;
double rho, dividendRho;
};
//! base class for option pricing engines
class OptionPricingEngine {
public:
virtual ~OptionPricingEngine() {}
virtual Arguments* parameters() = 0;
virtual void validateParameters() const = 0;
virtual void calculate() const = 0;
virtual const Results* results() const = 0;
};
}
#endif
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