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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2002, 2003 Ferdinando Ametrano
Copyright (C) 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/instruments/forwardvanillaoption.hpp>
namespace QuantLib {
ForwardVanillaOption::ForwardVanillaOption(
Real moneyness,
const Date& resetDate,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff, exercise),
moneyness_(moneyness), resetDate_(resetDate) {}
void ForwardVanillaOption::setupArguments(
PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
auto* arguments = dynamic_cast<ForwardVanillaOption::arguments*>(args);
QL_REQUIRE(arguments != nullptr, "wrong argument type");
arguments->moneyness = moneyness_;
arguments->resetDate = resetDate_;
}
void ForwardVanillaOption::fetchResults(
const PricingEngine::results* r) const {
OneAssetOption::fetchResults(r);
const auto* results = dynamic_cast<const ForwardVanillaOption::results*>(r);
QL_ENSURE(results != nullptr, "no results returned from pricing engine");
delta_ = results->delta;
gamma_ = results->gamma;
theta_ = results->theta;
vega_ = results->vega;
rho_ = results->rho;
dividendRho_ = results->dividendRho;
}
}
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