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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 StatPro Italia srl
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/event.hpp>
#include <ql/experimental/varianceoption/varianceoption.hpp>
#include <utility>
namespace QuantLib {
VarianceOption::VarianceOption(ext::shared_ptr<Payoff> payoff,
Real notional,
const Date& startDate,
const Date& maturityDate)
: payoff_(std::move(payoff)), notional_(notional), startDate_(startDate),
maturityDate_(maturityDate) {}
void VarianceOption::setupArguments(PricingEngine::arguments* args) const {
auto* arguments = dynamic_cast<VarianceOption::arguments*>(args);
QL_REQUIRE(arguments != nullptr, "wrong argument type");
arguments->payoff = payoff_;
arguments->notional = notional_;
arguments->startDate = startDate_;
arguments->maturityDate = maturityDate_;
}
void VarianceOption::arguments::validate() const {
QL_REQUIRE(payoff, "no strike given");
QL_REQUIRE(notional != Null<Real>(), "no notional given");
QL_REQUIRE(notional > 0.0, "negative or null notional given");
QL_REQUIRE(startDate != Date(), "null start date given");
QL_REQUIRE(maturityDate != Date(), "null maturity date given");
}
bool VarianceOption::isExpired() const {
return detail::simple_event(maturityDate_).hasOccurred();
}
}
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