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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
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/complexchooseroption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/exercise.hpp>
#include <utility>
namespace QuantLib {
ComplexChooserOption::ComplexChooserOption(
Date choosingDate,
Real strikeCall,
Real strikePut,
const ext::shared_ptr<Exercise>& exerciseCall,
ext::shared_ptr<Exercise> exercisePut)
: OneAssetOption(ext::make_shared<PlainVanillaPayoff>(Option::Call, strikeCall),
exerciseCall),
choosingDate_(choosingDate),
strikeCall_(strikeCall),
strikePut_(strikePut),
exerciseCall_(exerciseCall),
exercisePut_(std::move(exercisePut)) {}
void ComplexChooserOption::setupArguments(PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
auto* moreArgs = dynamic_cast<ComplexChooserOption::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
moreArgs->choosingDate=choosingDate_;
moreArgs->strikeCall=strikeCall_;
moreArgs->strikePut=strikePut_;
moreArgs->exerciseCall = exerciseCall_;
moreArgs->exercisePut = exercisePut_;
}
void ComplexChooserOption::arguments::validate() const {
OneAssetOption::arguments::validate();
QL_REQUIRE(choosingDate != Date() , " no choosing date given");
QL_REQUIRE(choosingDate < exerciseCall->lastDate(),
"choosing date later than or equal to Call maturity date");
QL_REQUIRE(choosingDate < exercisePut->lastDate(),
"choosing date later than or equal to Put maturity date");
}
}
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