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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 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/writerextensibleoption.hpp>
#include <ql/event.hpp>
namespace QuantLib {
WriterExtensibleOption::WriterExtensibleOption(
const boost::shared_ptr<PlainVanillaPayoff>& payoff1,
const boost::shared_ptr<Exercise>& exercise1,
const boost::shared_ptr<PlainVanillaPayoff>& payoff2,
const boost::shared_ptr<Exercise>& exercise2)
: OneAssetOption(payoff1, exercise1),
payoff2_(payoff2), exercise2_(exercise2) {}
void WriterExtensibleOption::setupArguments(
PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
WriterExtensibleOption::arguments* otherArguments =
dynamic_cast<WriterExtensibleOption::arguments*>(args);
QL_REQUIRE(otherArguments != 0, "wrong arguments type");
otherArguments->payoff2 = payoff2_;
otherArguments->exercise2 = exercise2_;
}
bool WriterExtensibleOption::isExpired() const {
return detail::simple_event(exercise2_->lastDate()).hasOccurred();
}
void WriterExtensibleOption::arguments::validate() const {
OneAssetOption::arguments::validate();
QL_REQUIRE(payoff2, "no second payoff given");
QL_REQUIRE(exercise2, "no second exercise given");
QL_REQUIRE(exercise2->lastDate() > exercise->lastDate(),
"second exercise date is not later than the first");
}
}
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