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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 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/experimental/exoticoptions/pagodaoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
PagodaOption::PagodaOption(const std::vector<Date>& fixingDates,
Real roof,
Real fraction)
: MultiAssetOption(ext::shared_ptr<Payoff>(new NullPayoff),
ext::shared_ptr<Exercise>(
new EuropeanExercise(fixingDates.back()))),
fixingDates_(fixingDates), roof_(roof), fraction_(fraction) {}
void PagodaOption::setupArguments(PricingEngine::arguments* args) const {
MultiAssetOption::setupArguments(args);
auto* arguments = dynamic_cast<PagodaOption::arguments*>(args);
QL_REQUIRE(arguments != nullptr, "wrong argument type");
arguments->fixingDates = fixingDates_;
arguments->roof = roof_;
arguments->fraction = fraction_;
}
PagodaOption::arguments::arguments()
: roof(Null<Real>()), fraction(Null<Real>()) {}
void PagodaOption::arguments::validate() const {
MultiAssetOption::arguments::validate();
QL_REQUIRE(!fixingDates.empty(), "no fixingDates given");
QL_REQUIRE(roof != Null<Real>(), "no roof given");
QL_REQUIRE(fraction != Null<Real>(), "no fraction given");
}
}
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