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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Neil Firth
Copyright (C) 2007 StatPro Italia srl
Copyright (C) 2007 Joseph Wang
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 basketoption.hpp
\brief Basket option on a number of assets
*/
#ifndef quantlib_basket_option_hpp
#define quantlib_basket_option_hpp
#include <ql/instruments/multiassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/math/array.hpp>
#include <utility>
namespace QuantLib {
class BasketPayoff : public Payoff {
private:
ext::shared_ptr<Payoff> basePayoff_;
public:
explicit BasketPayoff(ext::shared_ptr<Payoff> p) : basePayoff_(std::move(p)) {}
~BasketPayoff() override = default;
std::string name() const override { return basePayoff_->name(); }
std::string description() const override { return basePayoff_->description(); }
Real operator()(Real price) const override { return (*basePayoff_)(price); }
virtual Real operator()(const Array &a) const {
return (*basePayoff_)(accumulate(a));
}
virtual Real accumulate(const Array &a) const = 0;
ext::shared_ptr<Payoff> basePayoff() { return basePayoff_; }
};
class MinBasketPayoff : public BasketPayoff {
public:
explicit MinBasketPayoff(const ext::shared_ptr<Payoff> &p)
: BasketPayoff(p) {}
Real accumulate(const Array& a) const override {
return *std::min_element(a.begin(), a.end());
}
};
class MaxBasketPayoff : public BasketPayoff {
public:
explicit MaxBasketPayoff(const ext::shared_ptr<Payoff> &p)
: BasketPayoff(p) {}
Real accumulate(const Array& a) const override {
return *std::max_element(a.begin(), a.end());
}
};
class AverageBasketPayoff : public BasketPayoff {
public:
AverageBasketPayoff(const ext::shared_ptr<Payoff>& p, Array weights)
: BasketPayoff(p), weights_(std::move(weights)) {}
AverageBasketPayoff(const ext::shared_ptr<Payoff> &p,
Size n)
: BasketPayoff(p), weights_(n, 1.0/static_cast<Real>(n)) {}
Real accumulate(const Array& a) const override {
return std::inner_product(weights_.begin(),
weights_.end(),
a.begin(), Real(0.0));
}
const Array& weights() const { return weights_; }
private:
Array weights_;
};
class SpreadBasketPayoff : public BasketPayoff {
public:
explicit SpreadBasketPayoff(const ext::shared_ptr<Payoff> &p)
: BasketPayoff(p) {}
Real accumulate(const Array& a) const override {
QL_REQUIRE(a.size() == 2,
"payoff is only defined for two underlyings");
return a[0]-a[1];
}
};
//! Basket option on a number of assets
/*! \ingroup instruments */
class BasketOption : public MultiAssetOption {
public:
class engine;
BasketOption(const ext::shared_ptr<BasketPayoff>&,
const ext::shared_ptr<Exercise>&);
};
//! %Basket-option %engine base class
class BasketOption::engine
: public GenericEngine<BasketOption::arguments,
BasketOption::results> {};
}
#endif
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