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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap 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 option.hpp
\brief Base option class
*/
#ifndef quantlib_option_hpp
#define quantlib_option_hpp
#include <ql/instrument.hpp>
#include <utility>
namespace QuantLib {
class Payoff;
class Exercise;
//! base option class
class Option : public Instrument {
public:
class arguments;
enum Type { Put = -1,
Call = 1
};
Option(ext::shared_ptr<Payoff> payoff, ext::shared_ptr<Exercise> exercise)
: payoff_(std::move(payoff)), exercise_(std::move(exercise)) {}
void setupArguments(PricingEngine::arguments*) const override;
ext::shared_ptr<Payoff> payoff() const { return payoff_; }
ext::shared_ptr<Exercise> exercise() const { return exercise_; };
protected:
// arguments
ext::shared_ptr<Payoff> payoff_;
ext::shared_ptr<Exercise> exercise_;
};
/*! \relates Option */
std::ostream& operator<<(std::ostream&, Option::Type);
//! basic %option %arguments
class Option::arguments : public virtual PricingEngine::arguments {
public:
arguments() = default;
void validate() const override {
QL_REQUIRE(payoff, "no payoff given");
QL_REQUIRE(exercise, "no exercise given");
}
ext::shared_ptr<Payoff> payoff;
ext::shared_ptr<Exercise> exercise;
};
//! additional %option results
class Greeks : public virtual PricingEngine::results {
public:
void reset() override { delta = gamma = theta = vega = rho = dividendRho = Null<Real>(); }
Real delta, gamma;
Real theta;
Real vega;
Real rho, dividendRho;
};
//! more additional %option results
class MoreGreeks : public virtual PricingEngine::results {
public:
void reset() override {
itmCashProbability = deltaForward = elasticity = thetaPerDay =
strikeSensitivity = Null<Real>();
}
Real itmCashProbability, deltaForward, elasticity, thetaPerDay,
strikeSensitivity;
};
// inline definitions
inline void Option::setupArguments(PricingEngine::arguments* args) const {
auto* arguments = dynamic_cast<Option::arguments*>(args);
QL_REQUIRE(arguments != nullptr, "wrong argument type");
arguments->payoff = payoff_;
arguments->exercise = exercise_;
}
inline std::ostream& operator<<(std::ostream& out, Option::Type type) {
switch (type) {
case Option::Call:
return out << "Call";
case Option::Put:
return out << "Put";
default:
QL_FAIL("unknown option type");
}
}
}
#endif
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