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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 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.
*/
/*! \file varianceoption.hpp
\brief Variance option
*/
#ifndef quantlib_variance_option_hpp
#define quantlib_variance_option_hpp
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/option.hpp>
#include <ql/position.hpp>
namespace QuantLib {
//! Variance option
/*! \warning This class does not manage seasoned variance options.
\ingroup instruments
*/
class VarianceOption : public Instrument {
public:
class arguments;
class results;
class engine;
VarianceOption(const boost::shared_ptr<Payoff>& payoff,
Real notional,
const Date& startDate,
const Date& maturityDate);
//! \name Instrument interface
//@{
bool isExpired() const;
//@}
//! \name Inspectors
//@{
Date startDate() const;
Date maturityDate() const;
Real notional() const;
boost::shared_ptr<Payoff> payoff() const;
//@}
void setupArguments(PricingEngine::arguments* args) const;
protected:
// data members
boost::shared_ptr<Payoff> payoff_;
Real notional_;
Date startDate_, maturityDate_;
};
//! %Arguments for forward fair-variance calculation
class VarianceOption::arguments : public virtual PricingEngine::arguments {
public:
arguments() : notional(Null<Real>()) {}
void validate() const;
boost::shared_ptr<Payoff> payoff;
Real notional;
Date startDate;
Date maturityDate;
};
//! %Results from variance-option calculation
class VarianceOption::results : public Instrument::results {};
//! base class for variance-option engines
class VarianceOption::engine :
public GenericEngine<VarianceOption::arguments,
VarianceOption::results> {};
// inline definitions
inline Date VarianceOption::startDate() const {
return startDate_;
}
inline Date VarianceOption::maturityDate() const {
return maturityDate_;
}
inline Real VarianceOption::notional() const {
return notional_;
}
inline boost::shared_ptr<Payoff> VarianceOption::payoff() const {
return payoff_;
}
}
#endif
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