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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 Master IMAFA - Polytech'Nice Sophia - Universit 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/simplechooseroption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
SimpleChooserOption::SimpleChooserOption(
Date choosingDate,
Real strike,
const boost::shared_ptr<Exercise>& exercise)
: OneAssetOption(boost::shared_ptr<Payoff>(
new PlainVanillaPayoff(Option::Call, strike)),
exercise),
choosingDate_(choosingDate) {}
void SimpleChooserOption::setupArguments(
PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
SimpleChooserOption::arguments* moreArgs =
dynamic_cast<SimpleChooserOption::arguments*>(args);
QL_REQUIRE(moreArgs != 0, "wrong argument type");
moreArgs->choosingDate=choosingDate_;
}
void SimpleChooserOption::arguments::validate() const {
OneAssetOption::arguments::validate();
QL_REQUIRE(choosingDate != Date(), " no choosing date given");
QL_REQUIRE(choosingDate < exercise->lastDate(),
"choosing date later than or equal to maturity date");
}
}
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