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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Warren Chou
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/lookbackoption.hpp>
namespace QuantLib {
ContinuousFloatingLookbackOption::ContinuousFloatingLookbackOption(
Real minmax,
const ext::shared_ptr<TypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff, exercise),
minmax_(minmax) {}
void ContinuousFloatingLookbackOption::setupArguments(
PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
auto* moreArgs = dynamic_cast<ContinuousFloatingLookbackOption::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
moreArgs->minmax = minmax_;
}
void ContinuousFloatingLookbackOption::arguments::validate() const {
OneAssetOption::arguments::validate();
QL_REQUIRE(minmax != Null<Real>(), "null prior extremum");
QL_REQUIRE(minmax >= 0.0, "nonnegative prior extremum required: "
<< minmax << " not allowed");
}
ContinuousFixedLookbackOption::ContinuousFixedLookbackOption(
Real minmax,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff, exercise),
minmax_(minmax) {}
void ContinuousFixedLookbackOption::setupArguments(
PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
auto* moreArgs = dynamic_cast<ContinuousFixedLookbackOption::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
moreArgs->minmax = minmax_;
}
void ContinuousFixedLookbackOption::arguments::validate() const {
OneAssetOption::arguments::validate();
QL_REQUIRE(minmax != Null<Real>(), "null prior extremum");
QL_REQUIRE(minmax >= 0.0, "nonnegative prior extremum required: "
<< minmax << " not allowed");
}
ContinuousPartialFloatingLookbackOption::ContinuousPartialFloatingLookbackOption(
Real minmax,
Real lambda,
Date lookbackPeriodEnd,
const ext::shared_ptr<TypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise)
: ContinuousFloatingLookbackOption(minmax, payoff, exercise),
lambda_(lambda),
lookbackPeriodEnd_(lookbackPeriodEnd) {}
void ContinuousPartialFloatingLookbackOption::setupArguments(
PricingEngine::arguments* args) const {
ContinuousFloatingLookbackOption::setupArguments(args);
auto* moreArgs = dynamic_cast<ContinuousPartialFloatingLookbackOption::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
moreArgs->lambda = lambda_;
moreArgs->lookbackPeriodEnd = lookbackPeriodEnd_;
}
void ContinuousPartialFloatingLookbackOption::arguments::validate() const {
ContinuousFloatingLookbackOption::arguments::validate();
ext::shared_ptr<EuropeanExercise> europeanExercise =
ext::dynamic_pointer_cast<EuropeanExercise>(exercise);
QL_REQUIRE(lookbackPeriodEnd <= europeanExercise->lastDate(),
"lookback start date must be earlier than exercise date");
ext::shared_ptr<FloatingTypePayoff> floatingTypePayoff =
ext::dynamic_pointer_cast<FloatingTypePayoff>(payoff);
if (floatingTypePayoff->optionType() == Option::Call) {
QL_REQUIRE(lambda >= 1.0,
"lambda should be greater than or equal to 1 for calls");
}
if (floatingTypePayoff->optionType() == Option::Put) {
QL_REQUIRE(lambda <= 1.0,
"lambda should be smaller than or equal to 1 for puts");
}
}
ContinuousPartialFixedLookbackOption::ContinuousPartialFixedLookbackOption(
Date lookbackPeriodStart,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise)
: ContinuousFixedLookbackOption(0, payoff, exercise),
lookbackPeriodStart_(lookbackPeriodStart) {}
void ContinuousPartialFixedLookbackOption::setupArguments(
PricingEngine::arguments* args) const {
ContinuousFixedLookbackOption::setupArguments(args);
auto* moreArgs = dynamic_cast<ContinuousPartialFixedLookbackOption::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
moreArgs->lookbackPeriodStart = lookbackPeriodStart_;
}
void ContinuousPartialFixedLookbackOption::arguments::validate() const {
ContinuousFixedLookbackOption::arguments::validate();
ext::shared_ptr<EuropeanExercise> europeanExercise =
ext::dynamic_pointer_cast<EuropeanExercise>(exercise);
QL_REQUIRE(lookbackPeriodStart <= europeanExercise->lastDate(),
"lookback start date must be earlier than exercise date");
}
}
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