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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Neil Firth
Copyright (C) 2003 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/exercise.hpp>
#include <ql/instruments/barrieroption.hpp>
#include <ql/instruments/dividendbarrieroption.hpp>
#include <ql/instruments/impliedvolatility.hpp>
#include <ql/pricingengines/barrier/analyticbarrierengine.hpp>
#include <memory>
namespace QuantLib {
BarrierOption::BarrierOption(
Barrier::Type barrierType,
Real barrier,
Real rebate,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff, exercise),
barrierType_(barrierType), barrier_(barrier), rebate_(rebate) {}
void BarrierOption::setupArguments(PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
auto* moreArgs = dynamic_cast<BarrierOption::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
moreArgs->barrierType = barrierType_;
moreArgs->barrier = barrier_;
moreArgs->rebate = rebate_;
/* this is a workaround in case an engine is used for both barrier
and dividend options. The dividends might have been set by another
instrument and need to be cleared. */
auto* arguments = dynamic_cast<DividendBarrierOption::arguments*>(args);
if (arguments != nullptr) {
arguments->cashFlow.clear();
}
}
Volatility BarrierOption::impliedVolatility(
Real targetValue,
const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
Real accuracy,
Size maxEvaluations,
Volatility minVol,
Volatility maxVol) const {
QL_REQUIRE(!isExpired(), "option expired");
ext::shared_ptr<SimpleQuote> volQuote(new SimpleQuote);
ext::shared_ptr<GeneralizedBlackScholesProcess> newProcess =
detail::ImpliedVolatilityHelper::clone(process, volQuote);
// engines are built-in for the time being
std::unique_ptr<PricingEngine> engine;
switch (exercise_->type()) {
case Exercise::European:
engine = std::make_unique<AnalyticBarrierEngine>(newProcess);
break;
case Exercise::American:
case Exercise::Bermudan:
QL_FAIL("engine not available for non-European barrier option");
break;
default:
QL_FAIL("unknown exercise type");
}
return detail::ImpliedVolatilityHelper::calculate(*this,
*engine,
*volQuote,
targetValue,
accuracy,
maxEvaluations,
minVol, maxVol);
}
BarrierOption::arguments::arguments()
: barrierType(Barrier::Type(-1)), barrier(Null<Real>()),
rebate(Null<Real>()) {}
void BarrierOption::arguments::validate() const {
OneAssetOption::arguments::validate();
switch (barrierType) {
case Barrier::DownIn:
case Barrier::UpIn:
case Barrier::DownOut:
case Barrier::UpOut:
break;
default:
QL_FAIL("unknown type");
}
QL_REQUIRE(barrier != Null<Real>(), "no barrier given");
QL_REQUIRE(rebate != Null<Real>(), "no rebate given");
}
bool BarrierOption::engine::triggered(Real underlying) const {
switch (arguments_.barrierType) {
case Barrier::DownIn:
case Barrier::DownOut:
return underlying < arguments_.barrier;
case Barrier::UpIn:
case Barrier::UpOut:
return underlying > arguments_.barrier;
default:
QL_FAIL("unknown type");
}
}
}
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