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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2025 William Day
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/exercise.hpp>
#include <ql/instruments/softbarrieroption.hpp>
#include <ql/instruments/impliedvolatility.hpp>
#include <ql/pricingengines/barrier/analyticsoftbarrierengine.hpp>
namespace QuantLib {
SoftBarrierOption::SoftBarrierOption(
Barrier::Type barrierType,
Real barrier_lo,
Real barrier_hi,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff, exercise),
barrierType_(barrierType), barrier_lo_(barrier_lo),
barrier_hi_(barrier_hi) {}
void SoftBarrierOption::setupArguments(PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
auto* moreArgs = dynamic_cast<SoftBarrierOption::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
moreArgs->barrierType = barrierType_;
moreArgs->barrier_lo = barrier_lo_;
moreArgs->barrier_hi = barrier_hi_;
}
Volatility SoftBarrierOption::impliedVolatility(
Real targetValue,
const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
Real accuracy,
Size maxEvaluations,
Volatility minVol,
Volatility maxVol) const {
QL_REQUIRE(!isExpired(), "option expired");
ext::shared_ptr<SimpleQuote> volQuote(new SimpleQuote);
ext::shared_ptr<GeneralizedBlackScholesProcess> newProcess =
detail::ImpliedVolatilityHelper::clone(process, volQuote);
std::unique_ptr<PricingEngine> engine;
switch (exercise_->type()) {
case Exercise::European:
engine = std::make_unique<AnalyticSoftBarrierEngine>(newProcess);
break;
case Exercise::American:
case Exercise::Bermudan:
QL_FAIL("engine not available for non-European soft barrier option");
default:
QL_FAIL("unknown exercise type");
}
return detail::ImpliedVolatilityHelper::calculate(*this,
*engine,
*volQuote,
targetValue,
accuracy,
maxEvaluations,
minVol, maxVol);
}
SoftBarrierOption::arguments::arguments()
: barrierType(Barrier::Type(-1)),
barrier_lo(Null<Real>()), barrier_hi(Null<Real>()) {}
}
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