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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 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/instruments/partialtimebarrieroption.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
PartialTimeBarrierOption::PartialTimeBarrierOption(
Barrier::Type barrierType,
PartialBarrier::Range barrierRange,
Real barrier,
Real rebate,
Date coverEventDate,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff, exercise),
barrierType_(barrierType), barrierRange_(barrierRange),
barrier_(barrier), rebate_(rebate),
coverEventDate_(coverEventDate) {}
void PartialTimeBarrierOption::setupArguments(
PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
auto* moreArgs = dynamic_cast<PartialTimeBarrierOption::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
moreArgs->barrierType = barrierType_;
moreArgs->barrierRange = barrierRange_;
moreArgs->barrier = barrier_;
moreArgs->rebate = rebate_;
moreArgs->coverEventDate = coverEventDate_;
}
PartialTimeBarrierOption::arguments::arguments()
: barrierType(Barrier::Type(-1)),
barrierRange(PartialBarrier::Range(-1)),
barrier(Null<Real>()), rebate(Null<Real>()) {}
void PartialTimeBarrierOption::arguments::validate() const {
OneAssetOption::arguments::validate();
QL_REQUIRE(barrier != Null<Real>(), "no barrier given");
QL_REQUIRE(rebate != Null<Real>(), "no rebate given");
QL_REQUIRE(coverEventDate != Date(), "no cover event date given");
QL_REQUIRE(coverEventDate < exercise->lastDate(),
"cover event date equal or later than exercise date");
}
}
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