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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003, 2004 Neil Firth
Copyright (C) 2003, 2004 Ferdinando Ametrano
Copyright (C) 2003, 2004, 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.
*/
/*! \file barrieroption.hpp
\brief Barrier option on a single asset
*/
#ifndef quantlib_barrier_option_hpp
#define quantlib_barrier_option_hpp
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/barriertype.hpp>
#include <ql/instruments/payoffs.hpp>
namespace QuantLib {
class GeneralizedBlackScholesProcess;
//! %Barrier option on a single asset.
/*! The analytic pricing engine will be used if none if passed.
\ingroup instruments
*/
class BarrierOption : public OneAssetOption {
public:
class arguments;
class engine;
BarrierOption(Barrier::Type barrierType,
Real barrier,
Real rebate,
const boost::shared_ptr<StrikedTypePayoff>& payoff,
const boost::shared_ptr<Exercise>& exercise);
void setupArguments(PricingEngine::arguments*) const;
/*! \warning see VanillaOption for notes on implied-volatility
calculation.
*/
Volatility impliedVolatility(
Real price,
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Real accuracy = 1.0e-4,
Size maxEvaluations = 100,
Volatility minVol = 1.0e-7,
Volatility maxVol = 4.0) const;
protected:
// arguments
Barrier::Type barrierType_;
Real barrier_;
Real rebate_;
};
//! %Arguments for barrier option calculation
class BarrierOption::arguments : public OneAssetOption::arguments {
public:
arguments();
Barrier::Type barrierType;
Real barrier;
Real rebate;
void validate() const;
};
//! %Barrier-option %engine base class
class BarrierOption::engine
: public GenericEngine<BarrierOption::arguments,
BarrierOption::results> {
protected:
bool triggered(Real underlying) const;
};
}
#endif
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