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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.
*/
/*! \file partialtimebarrieroption.hpp
\brief Partial-time barrier option
*/
#ifndef quantlib_partial_time_barrier_option_hpp
#define quantlib_partial_time_barrier_option_hpp
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/barriertype.hpp>
#include <ql/instruments/payoffs.hpp>
namespace QuantLib {
class GeneralizedBlackScholesProcess;
//! choice of time range for partial-time barrier options
struct PartialBarrier {
enum Range { Start = 0, /*!< Monitor the barrier from the
start of the option lifetime
until the so-called cover event. */
EndB1 = 2, /*!< Monitor the barrier from the
cover event to the exercise
date; trigger a knock-out only
if the barrier is hit or crossed
from either side, regardless of
the underlying value when
monitoring starts. */
EndB2 = 3 /*!< Monitor the barrier from the
cover event to the exercise
date; immediately trigger a
knock-out if the underlying
value is on the wrong side of
the barrier when monitoring
starts. */
};
};
//! Partial-time %barrier %option
/*! A particular type of %barrier %option in which the barrier is
only monitored for a part of the option's lifetime; either
from start to a so-called cover event, or from the cover event
to the exercise date.
*/
class PartialTimeBarrierOption : public OneAssetOption {
public:
class arguments;
class engine;
PartialTimeBarrierOption(
Barrier::Type barrierType,
PartialBarrier::Range barrierRange,
Real barrier,
Real rebate,
Date coverEventDate,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise);
void setupArguments(PricingEngine::arguments*) const override;
protected:
Barrier::Type barrierType_;
PartialBarrier::Range barrierRange_;
Real barrier_;
Real rebate_;
Date coverEventDate_;
};
//! %Arguments for partial-time %barrier %option calculation
class PartialTimeBarrierOption::arguments
: public OneAssetOption::arguments {
public:
arguments();
Barrier::Type barrierType;
PartialBarrier::Range barrierRange;
Real barrier;
Real rebate;
Date coverEventDate;
void validate() const override;
};
//! Base class for partial-time %barrier %option engines
class PartialTimeBarrierOption::engine
: public GenericEngine<PartialTimeBarrierOption::arguments,
PartialTimeBarrierOption::results> {
};
}
#endif
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