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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003, 2004 Ferdinando Ametrano
Copyright (C) 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.
*/
#include <ql/instruments/asianoption.hpp>
#include <ql/time/date.hpp>
namespace QuantLib {
DiscreteAveragingAsianOption::DiscreteAveragingAsianOption(
Average::Type averageType,
Real runningAccumulator,
Size pastFixings,
const std::vector<Date>& fixingDates,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff, exercise),
averageType_(averageType), runningAccumulator_(runningAccumulator),
pastFixings_(pastFixings), fixingDates_(fixingDates) {
std::sort(fixingDates_.begin(), fixingDates_.end());
}
void DiscreteAveragingAsianOption::setupArguments(
PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
DiscreteAveragingAsianOption::arguments* moreArgs =
dynamic_cast<DiscreteAveragingAsianOption::arguments*>(args);
QL_REQUIRE(moreArgs != 0, "wrong argument type");
moreArgs->averageType = averageType_;
moreArgs->runningAccumulator = runningAccumulator_;
moreArgs->pastFixings = pastFixings_;
moreArgs->fixingDates = fixingDates_;
}
void DiscreteAveragingAsianOption::arguments::validate() const {
OneAssetOption::arguments::validate();
QL_REQUIRE(Integer(averageType) != -1, "unspecified average type");
QL_REQUIRE(pastFixings != Null<Size>(), "null past-fixing number");
QL_REQUIRE(runningAccumulator != Null<Real>(), "null running product");
switch (averageType) {
case Average::Arithmetic:
QL_REQUIRE(runningAccumulator >= 0.0,
"non negative running sum required: "
<< runningAccumulator << " not allowed");
break;
case Average::Geometric:
QL_REQUIRE(runningAccumulator > 0.0,
"positive running product required: "
<< runningAccumulator << " not allowed");
break;
default:
QL_FAIL("invalid average type");
}
// check fixingTimes_ here
}
ContinuousAveragingAsianOption::ContinuousAveragingAsianOption(
Average::Type averageType,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff, exercise),
averageType_(averageType) {}
void ContinuousAveragingAsianOption::setupArguments(
PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
ContinuousAveragingAsianOption::arguments* moreArgs =
dynamic_cast<ContinuousAveragingAsianOption::arguments*>(args);
QL_REQUIRE(moreArgs != 0, "wrong argument type");
moreArgs->averageType = averageType_;
}
void ContinuousAveragingAsianOption::arguments::validate() const {
OneAssetOption::arguments::validate();
QL_REQUIRE(Integer(averageType) != -1, "unspecified average type");
}
}
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