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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Dimitri Reiswich
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/compoundoption.hpp>
#include <utility>
namespace QuantLib {
CompoundOption::CompoundOption(const ext::shared_ptr<StrikedTypePayoff>& motherPayoff,
const ext::shared_ptr<Exercise>& motherExercise,
ext::shared_ptr<StrikedTypePayoff> daughterPayoff,
ext::shared_ptr<Exercise> daughterExercise)
: OneAssetOption(motherPayoff, motherExercise), daughterPayoff_(std::move(daughterPayoff)),
daughterExercise_(std::move(daughterExercise)) {}
void CompoundOption::setupArguments(PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
auto* moreArgs = dynamic_cast<CompoundOption::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
moreArgs->daughterPayoff = daughterPayoff_;
moreArgs->daughterExercise = daughterExercise_;
}
void CompoundOption::arguments::validate() const {
OneAssetOption::arguments::validate();
QL_REQUIRE(daughterPayoff,
"no payoff given for underlying option");
QL_REQUIRE(daughterExercise,
"no exercise given for underlying option");
QL_REQUIRE(exercise->lastDate() <= daughterExercise->lastDate(),
"maturity of compound option exceeds "
"maturity of underlying option");
}
}
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