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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010, 2011 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.
*/
/*! \file vanillaswingoption.cpp
\brief vanilla swing option class
*/
#include <ql/event.hpp>
#include <ql/instruments/vanillaswingoption.hpp>
namespace QuantLib {
namespace {
const Size secPerDay = 24u*3600u;
std::pair<std::vector<Date>, std::vector<Size> >
createDateTimes(const Date& from, const Date& to, Size stepSize) {
std::vector<Size> secs;
std::vector<Date> dates;
Date iterDate = from;
Size iterStepSize = 0u;
while (iterDate <= to) {
dates.push_back(iterDate);
secs.push_back(iterStepSize);
iterStepSize+=stepSize;
if (iterStepSize >= secPerDay) {
iterDate+=1L;
iterStepSize%=secPerDay;
}
}
return std::pair<std::vector<Date>,std::vector<Size> >(dates, secs);
}
}
SwingExercise::SwingExercise(const std::vector<Date>& dates,
const std::vector<Size>& seconds)
: BermudanExercise(dates),
seconds_(seconds.empty() ? std::vector<Size>(dates.size(), 0u)
: seconds) {
QL_REQUIRE(dates_.size() == seconds_.size(),
"dates and seconds must have the same size");
for (Size i=0; i < dates_.size(); ++i) {
QL_REQUIRE(seconds_[i] < secPerDay,
"a date can not have more than 24*3600 seconds");
if (i > 0) {
QL_REQUIRE(dates_[i-1] < dates_[i]
|| (dates_[i-1] == dates_[i]
&& seconds_[i-1] < seconds_[i]),
"date times must be sorted");
}
}
}
SwingExercise::SwingExercise(const Date& from,
const Date& to, Size stepSizeSecs)
: BermudanExercise(createDateTimes(from, to, stepSizeSecs).first),
seconds_(createDateTimes(from, to, stepSizeSecs).second) {
}
const std::vector<Size>& SwingExercise::seconds() const { return seconds_; }
std::vector<Time> SwingExercise::exerciseTimes(const DayCounter& dc,
const Date& refDate) const {
std::vector<Time> exerciseTimes;
exerciseTimes.reserve(dates().size());
for (Size i=0; i<dates().size(); ++i) {
Time t = dc.yearFraction(refDate, dates()[i]);
const Time dt
= dc.yearFraction(refDate, dates()[i]+Period(1u, Days)) - t;
t += dt*seconds()[i]/(24*3600.);
QL_REQUIRE(t >= 0, "exercise dates must not contain past date");
exerciseTimes.push_back(t);
}
return exerciseTimes;
}
void VanillaSwingOption::arguments::validate() const {
QL_REQUIRE(payoff, "no payoff given");
QL_REQUIRE(exercise, "no exercise given");
QL_REQUIRE(minExerciseRights <= maxExerciseRights,
"minExerciseRights <= maxExerciseRights")
QL_REQUIRE(exercise->dates().size() >= maxExerciseRights,
"number of exercise rights exceeds "
"number of exercise dates");
}
void VanillaSwingOption::setupArguments(
PricingEngine::arguments* args) const {
VanillaSwingOption::arguments* arguments =
dynamic_cast<VanillaSwingOption::arguments*>(args);
QL_REQUIRE(arguments != 0, "wrong argument type");
arguments->payoff
= boost::dynamic_pointer_cast<StrikedTypePayoff>(payoff_);
arguments->exercise
= boost::dynamic_pointer_cast<SwingExercise>(exercise_);
arguments->minExerciseRights = minExerciseRights_;
arguments->maxExerciseRights = maxExerciseRights_;
}
bool VanillaSwingOption::isExpired() const {
return detail::simple_event(exercise_->lastDate()).hasOccurred();
}
}
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