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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 Klaus Spanderen
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 vanillavppoption.cpp
*/
#include <ql/event.hpp>
#include <ql/instruments/basketoption.hpp>
#include <ql/instruments/vanillaswingoption.hpp>
#include <ql/experimental/finitedifferences/vanillavppoption.hpp>
namespace QuantLib {
namespace {
class IdenticalPayoff : public Payoff {
public:
std::string name() const override { return "IdenticalPayoff"; }
std::string description() const override { return name(); }
Real operator()(Real price) const override { return price; }
};
}
VanillaVPPOption::VanillaVPPOption(
Real heatRate,
Real pMin, Real pMax,
Size tMinUp, Size tMinDown,
Real startUpFuel, Real startUpFixCost,
const ext::shared_ptr<SwingExercise>& exercise,
Size nStarts, Size nRunningHours)
: MultiAssetOption(ext::shared_ptr<Payoff>(), exercise),
heatRate_(heatRate),
pMin_(pMin), pMax_(pMax),
tMinUp_(tMinUp), tMinDown_(tMinDown),
startUpFuel_(startUpFuel),
startUpFixCost_(startUpFixCost),
nStarts_(nStarts),
nRunningHours_(nRunningHours) {
Array weigths(2);
weigths[0] = 1.0; weigths[1] = -heatRate;
payoff_ = ext::shared_ptr<Payoff>(new AverageBasketPayoff(
ext::shared_ptr<Payoff>(new IdenticalPayoff()), weigths));
}
void VanillaVPPOption::arguments::validate() const {
QL_REQUIRE(exercise, "no exercise given");
QL_REQUIRE(nStarts == Null<Size>() || nRunningHours == Null<Size>(),
"either a start limit or fuel limit is supported");
}
void VanillaVPPOption::setupArguments(
PricingEngine::arguments* args) const {
MultiAssetOption::setupArguments(args);
auto* arguments = dynamic_cast<VanillaVPPOption::arguments*>(args);
QL_REQUIRE(arguments != nullptr, "wrong argument type");
arguments->heatRate = heatRate_;
arguments->pMin = pMin_;
arguments->pMax = pMax_;
arguments->tMinUp = tMinUp_;
arguments->tMinDown = tMinDown_;
arguments->startUpFuel = startUpFuel_;
arguments->startUpFixCost = startUpFixCost_;
arguments->nStarts = nStarts_;
arguments->nRunningHours = nRunningHours_;
}
bool VanillaVPPOption::isExpired() const {
return detail::simple_event(exercise_->lastDate()).hasOccurred();
}
}
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