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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.
*/
#include <ql/instruments/twoassetcorrelationoption.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
TwoAssetCorrelationOption::TwoAssetCorrelationOption(
Option::Type type,
Real strike1,
Real strike2,
const ext::shared_ptr<Exercise>& exercise)
: MultiAssetOption(ext::make_shared<PlainVanillaPayoff>(type, strike1),
exercise), X2_(strike2) {}
void TwoAssetCorrelationOption::setupArguments(
PricingEngine::arguments* args) const {
MultiAssetOption::setupArguments(args);
auto* moreArgs = dynamic_cast<TwoAssetCorrelationOption::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
moreArgs->X2 = X2_;
}
}
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