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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
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/experimental/exoticoptions/everestoption.hpp>
#include <ql/instruments/payoffs.hpp>
namespace QuantLib {
EverestOption::EverestOption(Real notional,
Rate guarantee,
const boost::shared_ptr<Exercise>& exercise)
: MultiAssetOption(boost::shared_ptr<Payoff>(new NullPayoff), exercise),
notional_(notional), guarantee_(guarantee) {}
Rate EverestOption::yield() const {
calculate();
QL_REQUIRE(yield_ != Null<Rate>(), "yield not provided");
return yield_;
}
void EverestOption::setupArguments(PricingEngine::arguments* args) const {
MultiAssetOption::setupArguments(args);
EverestOption::arguments* arguments =
dynamic_cast<EverestOption::arguments*>(args);
QL_REQUIRE(arguments != 0, "wrong argument type");
arguments->notional = notional_;
arguments->guarantee= guarantee_;
}
void EverestOption::fetchResults(const PricingEngine::results* r) const {
MultiAssetOption::fetchResults(r);
const EverestOption::results* results =
dynamic_cast<const EverestOption::results*>(r);
QL_ENSURE(results != 0,
"no results returned from pricing engine");
yield_ = results->yield;
}
EverestOption::arguments::arguments()
: notional(Null<Real>()), guarantee(Null<Rate>()) {}
void EverestOption::arguments::validate() const {
MultiAssetOption::arguments::validate();
QL_REQUIRE(notional != Null<Rate>(), "no notional given");
QL_REQUIRE(notional != 0.0, "null notional given");
QL_REQUIRE(guarantee != Null<Rate>(), "no guarantee given");
}
void EverestOption::results::reset() {
MultiAssetOption::results::reset();
yield = Null<Rate>();
}
}
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