1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Warren Chou
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/lookbackoption.hpp>
namespace QuantLib {
ContinuousFloatingLookbackOption::ContinuousFloatingLookbackOption(
Real minmax,
const boost::shared_ptr<TypePayoff>& payoff,
const boost::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff, exercise),
minmax_(minmax) {}
void ContinuousFloatingLookbackOption::setupArguments(
PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
ContinuousFloatingLookbackOption::arguments* moreArgs =
dynamic_cast<ContinuousFloatingLookbackOption::arguments*>(args);
QL_REQUIRE(moreArgs != 0, "wrong argument type");
moreArgs->minmax = minmax_;
}
void ContinuousFloatingLookbackOption::arguments::validate() const {
OneAssetOption::arguments::validate();
QL_REQUIRE(minmax != Null<Real>(), "null prior extremum");
QL_REQUIRE(minmax >= 0.0, "nonnegative prior extremum required: "
<< minmax << " not allowed");
}
ContinuousFixedLookbackOption::ContinuousFixedLookbackOption(
Real minmax,
const boost::shared_ptr<StrikedTypePayoff>& payoff,
const boost::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff, exercise),
minmax_(minmax) {}
void ContinuousFixedLookbackOption::setupArguments(
PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
ContinuousFixedLookbackOption::arguments* moreArgs =
dynamic_cast<ContinuousFixedLookbackOption::arguments*>(args);
QL_REQUIRE(moreArgs != 0, "wrong argument type");
moreArgs->minmax = minmax_;
}
void ContinuousFixedLookbackOption::arguments::validate() const {
OneAssetOption::arguments::validate();
QL_REQUIRE(minmax != Null<Real>(), "null prior extremum");
QL_REQUIRE(minmax >= 0.0, "nonnegative prior extremum required: "
<< minmax << " not allowed");
}
}
|
