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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Andreas Gaida
Copyright (C) 2008 Ralph Schreyer
Copyright (C) 2008 Klaus Spanderen
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/dividendbarrieroption.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
DividendBarrierOption::DividendBarrierOption(
Barrier::Type barrierType,
Real barrier,
Real rebate,
const boost::shared_ptr<StrikedTypePayoff>& payoff,
const boost::shared_ptr<Exercise>& exercise,
const std::vector<Date>& dividendDates,
const std::vector<Real>& dividends)
: BarrierOption(barrierType, barrier, rebate, payoff, exercise),
cashFlow_(DividendVector(dividendDates, dividends)) {}
void DividendBarrierOption::setupArguments(
PricingEngine::arguments* args) const {
BarrierOption::setupArguments(args);
DividendBarrierOption::arguments* arguments =
dynamic_cast<DividendBarrierOption::arguments*>(args);
QL_REQUIRE(arguments != 0, "wrong engine type");
arguments->cashFlow = cashFlow_;
}
void DividendBarrierOption::arguments::validate() const {
BarrierOption::arguments::validate();
Date exerciseDate = exercise->lastDate();
for (Size i = 0; i < cashFlow.size(); i++) {
QL_REQUIRE(cashFlow[i]->date() <= exerciseDate,
"the " << io::ordinal(i+1) << " dividend date ("
<< cashFlow[i]->date()
<< ") is later than the exercise date ("
<< exerciseDate << ")");
}
}
}
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