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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Ferdinando Ametrano
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/pricingengines/blackscholescalculator.hpp>
namespace QuantLib {
BlackScholesCalculator::BlackScholesCalculator(
const boost::shared_ptr<StrikedTypePayoff>& payoff,
Real spot,
DiscountFactor growth,
Real stdDev,
DiscountFactor discount)
: BlackCalculator(payoff, spot*growth/discount, stdDev, discount),
spot_(spot), growth_(growth)
{
QL_REQUIRE(spot_>0.0,
"spot (" << spot_ << ") must be positive");
QL_REQUIRE(growth_>0.0,
"growth (" << growth_ << ") must be positive");
}
BlackScholesCalculator::BlackScholesCalculator(Option::Type type,
Real strike,
Real spot,
DiscountFactor growth,
Real stdDev,
DiscountFactor discount)
: BlackCalculator(type, strike, spot*growth/discount, stdDev, discount),
spot_(spot), growth_(growth)
{
QL_REQUIRE(spot_>0.0,
"spot (" << spot_ << ") must be positive");
QL_REQUIRE(growth_>0.0,
"growth (" << growth_ << ") must be positive");
}
}
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