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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003, 2006 Ferdinando Ametrano
Copyright (C) 2006 Warren Chou
Copyright (C) 2006, 2008 StatPro Italia srl
Copyright (C) 2006 Chiara Fornarola
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/payoffs.hpp>
namespace QuantLib {
std::string NullPayoff::name() const {
return "Null";
}
std::string NullPayoff::description() const {
return name();
}
Real NullPayoff::operator()(Real) const {
QL_FAIL("dummy payoff given");
}
void NullPayoff::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<NullPayoff>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
Payoff::accept(v);
}
std::string TypePayoff::description() const {
std::ostringstream result;
result << name() << " " << optionType();
return result.str();
}
//std::string StrikedPayoff::description() const {
// std::ostringstream result;
// result << ", " << strike() << " strike";
// return result.str();
//}
Real FloatingTypePayoff::operator()(Real) const {
QL_FAIL("floating payoff not handled");
}
Real FloatingTypePayoff::operator()(Real price, Real strike) const {
switch (type_) {
case Option::Call:
return std::max<Real>(price - strike,0.0);
case Option::Put:
return std::max<Real>(strike - price,0.0);
default:
QL_FAIL("unknown/illegal option type");
}
}
std::string StrikedTypePayoff::description() const {
std::ostringstream result;
result << TypePayoff::description() << ", " <<
strike() << " strike";
return result.str();
}
void FloatingTypePayoff::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<FloatingTypePayoff>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
Payoff::accept(v);
}
Real PlainVanillaPayoff::operator()(Real price) const {
switch (type_) {
case Option::Call:
return std::max<Real>(price-strike_,0.0);
case Option::Put:
return std::max<Real>(strike_-price,0.0);
default:
QL_FAIL("unknown/illegal option type");
}
}
void PlainVanillaPayoff::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<PlainVanillaPayoff>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
Payoff::accept(v);
}
Real PercentageStrikePayoff::operator()(Real price) const {
switch (type_) {
case Option::Call:
return price*std::max<Real>(Real(1.0)-strike_,0.0);
case Option::Put:
return price*std::max<Real>(strike_-Real(1.0),0.0);
default:
QL_FAIL("unknown/illegal option type");
}
}
void PercentageStrikePayoff::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<PercentageStrikePayoff>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
Payoff::accept(v);
}
Real AssetOrNothingPayoff::operator()(Real price) const {
switch (type_) {
case Option::Call:
return (price-strike_ > 0.0 ? price : 0.0);
case Option::Put:
return (strike_-price > 0.0 ? price : 0.0);
default:
QL_FAIL("unknown/illegal option type");
}
}
void AssetOrNothingPayoff::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<AssetOrNothingPayoff>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
Payoff::accept(v);
}
std::string CashOrNothingPayoff::description() const {
std::ostringstream result;
result << StrikedTypePayoff::description() << ", " << cashPayoff() << " cash payoff";
return result.str();
}
Real CashOrNothingPayoff::operator()(Real price) const {
switch (type_) {
case Option::Call:
return (price-strike_ > 0.0 ? cashPayoff_ : 0.0);
case Option::Put:
return (strike_-price > 0.0 ? cashPayoff_ : 0.0);
default:
QL_FAIL("unknown/illegal option type");
}
}
void CashOrNothingPayoff::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<CashOrNothingPayoff>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
Payoff::accept(v);}
std::string GapPayoff::description() const {
std::ostringstream result;
result << StrikedTypePayoff::description() << ", " << secondStrike() << " strike payoff";
return result.str();
}
Real GapPayoff::operator()(Real price) const {
switch (type_) {
case Option::Call:
return (price-strike_ >= 0.0 ? Real(price-secondStrike_) : 0.0);
case Option::Put:
return (strike_ - price >= 0.0 ? Real(secondStrike_ - price) : 0.0);
default:
QL_FAIL("unknown/illegal option type");
}
}
void GapPayoff::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<GapPayoff>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
Payoff::accept(v);
}
Real SuperFundPayoff::operator()(Real price) const {
return (price>=strike_ && price<secondStrike_) ? Real(price/strike_) : 0.0;
}
void SuperFundPayoff::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<SuperFundPayoff>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
Payoff::accept(v);
}
std::string SuperSharePayoff::description() const {
std::ostringstream result;
result << StrikedTypePayoff::description() << ", " << secondStrike() << " second strike"<< ", " << cashPayoff() << " amount";
return result.str();
}
Real SuperSharePayoff::operator()(Real price) const {
return (price>=strike_ && price<secondStrike_) ? cashPayoff_ : 0.0;
}
void SuperSharePayoff::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<SuperSharePayoff>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
Payoff::accept(v);
}
}
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