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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 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.
*/
/*! \file simplechooseroption.hpp
\brief Simple chooser option on a single asset
*/
#ifndef quantlib_simple_chooser_option_hpp
#define quantlib_simple_chooser_option_hpp
#include <ql/instruments/oneassetoption.hpp>
namespace QuantLib {
//! Simple chooser option
/*! This option gives the holder the right to choose, at a future
date prior to exercise, whether the option should be a call or
a put. The exercise date and strike are the same for both
call and put option.
*/
class SimpleChooserOption : public OneAssetOption {
public:
class arguments;
class engine;
SimpleChooserOption(Date choosingDate,
Real strike,
const ext::shared_ptr<Exercise>& exercise);
void setupArguments(PricingEngine::arguments*) const override;
private:
Date choosingDate_;
};
//! Extra %arguments for single chooser option
class SimpleChooserOption::arguments : public OneAssetOption::arguments {
public:
arguments() = default;
void validate() const override;
Date choosingDate;
};
//! Simple-chooser-option %engine base class
class SimpleChooserOption::engine : public GenericEngine<SimpleChooserOption::arguments,
SimpleChooserOption::results> {};
}
#endif
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