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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 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 writerextensibleoption.hpp
\brief Writer-extensible option
*/
#ifndef quantlib_writer_extensible_option_hpp
#define quantlib_writer_extensible_option_hpp
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
//! Writer-extensible option
/*! If out of the money at the original exercise date, this option
is extended until a later exercise date with an amended strike.
*/
class WriterExtensibleOption : public OneAssetOption {
public:
class arguments;
class engine;
WriterExtensibleOption(const ext::shared_ptr<PlainVanillaPayoff>& payoff1,
const ext::shared_ptr<Exercise>& exercise1,
const ext::shared_ptr<PlainVanillaPayoff>& payoff2,
ext::shared_ptr<Exercise> exercise2);
// inspectors
ext::shared_ptr<Payoff> payoff2() { return payoff2_; }
ext::shared_ptr<Exercise> exercise2() { return exercise2_; };
// Instrument interface
bool isExpired() const override;
void setupArguments(PricingEngine::arguments*) const override;
private:
ext::shared_ptr<StrikedTypePayoff> payoff2_;
ext::shared_ptr<Exercise> exercise2_;
};
//! Additional arguments for writer-extensible options
class WriterExtensibleOption::arguments
: public OneAssetOption::arguments {
public:
void validate() const override;
ext::shared_ptr<Payoff> payoff2;
ext::shared_ptr<Exercise> exercise2;
};
//! Base engine for writer-extensible options
class WriterExtensibleOption::engine :
public GenericEngine<WriterExtensibleOption::arguments,
WriterExtensibleOption::results> {};
}
#endif
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