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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2002, 2003 Ferdinando Ametrano
Copyright (C) 2007 StatPro Italia 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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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.
*/
#include <ql/instruments/quantovanillaoption.hpp>
namespace QuantLib {
QuantoVanillaOption::QuantoVanillaOption(
const boost::shared_ptr<StrikedTypePayoff>& payoff,
const boost::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff, exercise) {}
Real QuantoVanillaOption::qvega() const {
calculate();
QL_REQUIRE(qvega_ != Null<Real>(),
"exchange rate vega calculation failed");
return qvega_;
}
Real QuantoVanillaOption::qrho() const {
calculate();
QL_REQUIRE(qrho_ != Null<Real>(),
"foreign interest rate rho calculation failed");
return qrho_;
}
Real QuantoVanillaOption::qlambda() const {
calculate();
QL_REQUIRE(qlambda_ != Null<Real>(),
"quanto correlation sensitivity calculation failed");
return qlambda_;
}
void QuantoVanillaOption::setupExpired() const {
OneAssetOption::setupExpired();
qvega_ = qrho_ = qlambda_ = 0.0;
}
void QuantoVanillaOption::fetchResults(
const PricingEngine::results* r) const {
OneAssetOption::fetchResults(r);
const QuantoVanillaOption::results* quantoResults =
dynamic_cast<const QuantoVanillaOption::results*>(r);
QL_ENSURE(quantoResults != 0,
"no quanto results returned from pricing engine");
qrho_ = quantoResults->qrho;
qvega_ = quantoResults->qvega;
qlambda_ = quantoResults->qlambda;
}
}
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