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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004, 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/exercise.hpp>
#include <ql/instruments/cliquetoption.hpp>
#include <utility>
namespace QuantLib {
CliquetOption::CliquetOption(const ext::shared_ptr<PercentageStrikePayoff>& payoff,
const ext::shared_ptr<EuropeanExercise>& maturity,
std::vector<Date> resetDates)
: OneAssetOption(payoff, maturity), resetDates_(std::move(resetDates)) {}
void CliquetOption::setupArguments(PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
// set accrued coupon, last fixing, caps, floors
auto* moreArgs = dynamic_cast<CliquetOption::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong engine type");
moreArgs->resetDates = resetDates_;
}
void CliquetOption::arguments::validate() const {
OneAssetOption::arguments::validate();
ext::shared_ptr<PercentageStrikePayoff> moneyness =
ext::dynamic_pointer_cast<PercentageStrikePayoff>(payoff);
QL_REQUIRE(moneyness,
"wrong payoff type");
QL_REQUIRE(moneyness->strike() > 0.0,
"negative or zero moneyness given");
QL_REQUIRE(accruedCoupon == Null<Real>() || accruedCoupon >= 0.0,
"negative accrued coupon");
QL_REQUIRE(localCap == Null<Real>() || localCap >= 0.0,
"negative local cap");
QL_REQUIRE(localFloor == Null<Real>() || localFloor >= 0.0,
"negative local floor");
QL_REQUIRE(globalCap == Null<Real>() || globalCap >= 0.0,
"negative global cap");
QL_REQUIRE(globalFloor == Null<Real>() || globalFloor >= 0.0,
"negative global floor");
QL_REQUIRE(!resetDates.empty(),
"no reset dates given");
for (Size i=0; i<resetDates.size(); ++i) {
QL_REQUIRE(exercise->lastDate() > resetDates[i],
"reset date greater or equal to maturity");
QL_REQUIRE(i == 0 || resetDates[i] > resetDates[i-1],
"unsorted reset dates");
}
}
}
|
