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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 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/margrabeoption.hpp>
#include <ql/instruments/payoffs.hpp>
namespace QuantLib {
MargrabeOption::MargrabeOption(Integer Q1,
Integer Q2,
const ext::shared_ptr<Exercise>& exercise)
: MultiAssetOption(ext::shared_ptr<Payoff>(new NullPayoff), exercise),
Q1_(Q1),
Q2_(Q2) {}
Real MargrabeOption::delta1() const {
calculate();
QL_REQUIRE(delta1_ != Null<Real>(), "delta1 not provided");
return delta1_;
}
Real MargrabeOption::delta2() const {
calculate();
QL_REQUIRE(delta2_ != Null<Real>(), "delta2 not provided");
return delta2_;
}
Real MargrabeOption::gamma1() const {
calculate();
QL_REQUIRE(gamma1_ != Null<Real>(), "gamma1 not provided");
return gamma1_;
}
Real MargrabeOption::gamma2() const {
calculate();
QL_REQUIRE(gamma2_ != Null<Real>(), "gamma2 not provided");
return gamma2_;
}
void MargrabeOption::setupArguments(PricingEngine::arguments* args) const {
MultiAssetOption::setupArguments(args);
auto* moreArgs = dynamic_cast<MargrabeOption::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
moreArgs->Q1 = Q1_;
moreArgs->Q2 = Q2_;
}
void MargrabeOption::arguments::validate() const {
MultiAssetOption::arguments::validate();
QL_REQUIRE(Q1 != Null<Integer>(), "unspecified quantity for asset 1");
QL_REQUIRE(Q2 != Null<Integer>(), "unspecified quantity for asset 2");
QL_REQUIRE(Q1 > 0, "quantity of asset 1 must be positive");
QL_REQUIRE(Q2 > 0, "quantity of asset 2 must be positive");
}
void MargrabeOption::fetchResults(const PricingEngine::results* r) const {
MultiAssetOption::fetchResults(r);
const auto* results = dynamic_cast<const MargrabeOption::results*>(r);
QL_REQUIRE(results != nullptr, "wrong result type");
delta1_ = results->delta1;
delta2_ = results->delta2;
gamma1_ = results->gamma1;
gamma2_ = results->gamma2;
}
}
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