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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2012 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/twoassetbarrieroption.hpp>
#include <ql/exercise.hpp>
#include <ql/event.hpp>
namespace QuantLib {
TwoAssetBarrierOption::TwoAssetBarrierOption(
Barrier::Type barrierType,
Real barrier,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise)
: Option(payoff, exercise), barrierType_(barrierType), barrier_(barrier) {}
void TwoAssetBarrierOption::setupArguments(
PricingEngine::arguments* args) const {
Option::setupArguments(args);
auto* moreArgs = dynamic_cast<TwoAssetBarrierOption::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
moreArgs->barrierType = barrierType_;
moreArgs->barrier = barrier_;
}
bool TwoAssetBarrierOption::isExpired() const {
return detail::simple_event(exercise_->lastDate()).hasOccurred();
}
TwoAssetBarrierOption::arguments::arguments()
: barrierType(Barrier::Type(-1)), barrier(Null<Real>()) {}
void TwoAssetBarrierOption::arguments::validate() const {
Option::arguments::validate();
switch (barrierType) {
case Barrier::DownIn:
case Barrier::UpIn:
case Barrier::DownOut:
case Barrier::UpOut:
break;
default:
QL_FAIL("unknown type");
}
QL_REQUIRE(barrier != Null<Real>(), "no barrier given");
}
bool TwoAssetBarrierOption::engine::triggered(Real underlying) const {
switch (arguments_.barrierType) {
case Barrier::DownIn:
case Barrier::DownOut:
return underlying < arguments_.barrier;
case Barrier::UpIn:
case Barrier::UpOut:
return underlying > arguments_.barrier;
default:
QL_FAIL("unknown type");
}
}
}
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