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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.
*/
/*! \file compoundoption.hpp
\brief Compound option on a single asset
*/
#ifndef quantlib_compound_option_hpp
#define quantlib_compound_option_hpp
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
//! %Compound option (i.e., option on option) on a single asset.
/*! \ingroup instruments */
class CompoundOption : public OneAssetOption {
public:
class arguments;
class engine;
/*! The mother option is the compound option.
The daughter option is its underlying option.
*/
CompoundOption(const ext::shared_ptr<StrikedTypePayoff>& motherPayoff,
const ext::shared_ptr<Exercise>& motherExercise,
ext::shared_ptr<StrikedTypePayoff> daughterPayoff,
ext::shared_ptr<Exercise> daughterExercise);
void setupArguments(PricingEngine::arguments*) const override;
private:
ext::shared_ptr<StrikedTypePayoff> daughterPayoff_;
ext::shared_ptr<Exercise> daughterExercise_;
};
class CompoundOption::arguments : public OneAssetOption::arguments {
public:
ext::shared_ptr<StrikedTypePayoff> daughterPayoff;
ext::shared_ptr<Exercise> daughterExercise;
void validate() const override;
};
//! %Compound-option %engine base class
class CompoundOption::engine : public GenericEngine<CompoundOption::arguments,
CompoundOption::results> {};
}
#endif
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