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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.
*/
/*! \file complexchooseroption.hpp
\brief Complex chooser option
*/
#ifndef quantlib_complex_chooser_option_hpp
#define quantlib_complex_chooser_option_hpp
#include <ql/instruments/oneassetoption.hpp>
namespace QuantLib{
//! Complex chooser option
/*! This option gives the holder the right to choose, at a future
date prior to exercise, whether the option should be a call or
a put. The exercise date and strike are different for the
call and put option.
*/
class ComplexChooserOption : public OneAssetOption {
public:
class arguments;
class engine;
ComplexChooserOption(Date choosingDate,
Real strikeCall,
Real strikePut,
const ext::shared_ptr<Exercise>& exerciseCall,
ext::shared_ptr<Exercise> exercisePut);
void setupArguments(PricingEngine::arguments*) const override;
private:
Date choosingDate_;
Real strikeCall_;
Real strikePut_;
ext::shared_ptr<Exercise> exerciseCall_;
ext::shared_ptr<Exercise> exercisePut_;
};
//! Extra %arguments for complex chooser option
class ComplexChooserOption::arguments : public OneAssetOption::arguments {
public:
void validate() const override;
Date choosingDate;
Real strikeCall;
Real strikePut;
ext::shared_ptr<Exercise> exerciseCall;
ext::shared_ptr<Exercise> exercisePut;
};
//! Complex-chooser-option %engine base class
class ComplexChooserOption::engine : public GenericEngine<ComplexChooserOption::arguments,
ComplexChooserOption::results> {};
}
#endif
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