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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003, 2004 Ferdinando Ametrano
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
<https://www.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/asianoption.hpp>
#include <ql/time/date.hpp>
#include <ql/settings.hpp>
#include <algorithm>
#include <utility>
namespace QuantLib {
DiscreteAveragingAsianOption::DiscreteAveragingAsianOption(
Average::Type averageType,
Real runningAccumulator,
Size pastFixings,
std::vector<Date> fixingDates,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff, exercise), averageType_(averageType),
runningAccumulator_(runningAccumulator), pastFixings_(pastFixings),
fixingDates_(std::move(fixingDates)), allPastFixingsProvided_(false) {
std::sort(fixingDates_.begin(), fixingDates_.end());
// Add a hard override to the runningAccumulator if pastFixings is 0
// (ie. the option is unseasoned)
if (pastFixings_ == 0) {
if (averageType == Average::Geometric) {
runningAccumulator_ = 1.0;
} else if (averageType == Average::Arithmetic) {
runningAccumulator_ = 0.0;
} else {
QL_FAIL("Unrecognised average type, must be Average::Arithmetic or Average::Geometric");
}
}
}
DiscreteAveragingAsianOption::DiscreteAveragingAsianOption(
Average::Type averageType,
std::vector<Date> fixingDates,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise,
std::vector<Real> allPastFixings)
: OneAssetOption(payoff, exercise), averageType_(averageType), runningAccumulator_(0.0),
pastFixings_(0), fixingDates_(std::move(fixingDates)),
allPastFixingsProvided_(true), allPastFixings_(std::move(allPastFixings)) {}
void DiscreteAveragingAsianOption::setupArguments(
PricingEngine::arguments* args) const {
Real runningAccumulator = runningAccumulator_;
Size pastFixings = pastFixings_;
std::vector<Date> fixingDates = fixingDates_;
// If the option was initialised with a list of fixings, before pricing we
// compare the evaluation date to the fixing dates, and set up the pastFixings,
// fixingDates, and runningAccumulator accordingly
if (allPastFixingsProvided_) {
std::vector<Date> futureFixingDates = std::vector<Date>();
Date today = Settings::instance().evaluationDate();
pastFixings = 0;
for (auto fixingDate : fixingDates_) {
if (fixingDate < today) {
pastFixings += 1;
} else {
futureFixingDates.push_back(fixingDate);
}
}
fixingDates = futureFixingDates;
if (pastFixings > allPastFixings_.size())
QL_FAIL("Not enough past fixings have been provided for the required historical fixing dates");
if (averageType_ == Average::Geometric) {
runningAccumulator = 1.0;
for (Size i=0; i<pastFixings; i++)
runningAccumulator *= allPastFixings_[i];
} else if (averageType_ == Average::Arithmetic) {
runningAccumulator = 0.0;
for (Size i=0; i<pastFixings; i++)
runningAccumulator += allPastFixings_[i];
} else {
QL_FAIL("Unrecognised average type, must be Average::Arithmetic or Average::Geometric");
}
}
OneAssetOption::setupArguments(args);
auto* moreArgs = dynamic_cast<DiscreteAveragingAsianOption::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
moreArgs->averageType = averageType_;
moreArgs->runningAccumulator = runningAccumulator;
moreArgs->pastFixings = pastFixings;
moreArgs->fixingDates = fixingDates;
}
void DiscreteAveragingAsianOption::arguments::validate() const {
OneAssetOption::arguments::validate();
QL_REQUIRE(Integer(averageType) != -1, "unspecified average type");
QL_REQUIRE(pastFixings != Null<Size>(), "null past-fixing number");
QL_REQUIRE(runningAccumulator != Null<Real>(), "null running product");
switch (averageType) {
case Average::Arithmetic:
QL_REQUIRE(runningAccumulator >= 0.0,
"non negative running sum required: "
<< runningAccumulator << " not allowed");
break;
case Average::Geometric:
QL_REQUIRE(runningAccumulator > 0.0,
"positive running product required: "
<< runningAccumulator << " not allowed");
break;
default:
QL_FAIL("invalid average type");
}
// check fixingTimes_ here
}
ContinuousAveragingAsianOption::ContinuousAveragingAsianOption(
Average::Type averageType,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff, exercise),
averageType_(averageType) {}
void ContinuousAveragingAsianOption::setupArguments(
PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
auto* moreArgs = dynamic_cast<ContinuousAveragingAsianOption::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
moreArgs->averageType = averageType_;
}
void ContinuousAveragingAsianOption::arguments::validate() const {
OneAssetOption::arguments::validate();
QL_REQUIRE(Integer(averageType) != -1, "unspecified average type");
}
}
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