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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/holderextensibleoption.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
HolderExtensibleOption::HolderExtensibleOption(
Option::Type type,
Real premium,
Date secondExpiryDate,
Real secondStrike,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff,exercise),
premium_(premium),
secondExpiryDate_(secondExpiryDate),
secondStrike_(secondStrike) {}
void HolderExtensibleOption::setupArguments(
PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
auto* moreArgs = dynamic_cast<HolderExtensibleOption::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
moreArgs->premium = premium_;
moreArgs->secondExpiryDate = secondExpiryDate_;
moreArgs->secondStrike = secondStrike_;
}
void HolderExtensibleOption:: arguments::validate() const {
OneAssetOption::arguments::validate();
QL_REQUIRE(premium > 0,"negative premium not allowed");
QL_REQUIRE(secondExpiryDate != Date() , "no extending date given");
QL_REQUIRE(secondExpiryDate >= exercise->lastDate(),
"extended date is earlier than or equal to first maturity date");
}
}
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