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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2025 William Day
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 softbarrieroption.hpp
\brief Soft Barrier european option on a single asset
*/
#ifndef quantlib_soft_barrier_option_hpp
#define quantlib_soft_barrier_option_hpp
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/instruments/barriertype.hpp>
namespace QuantLib {
class GeneralizedBlackScholesProcess;
//! Soft barrier option on a single asset
/*! A soft barrier option gets knocked in/out proportionally over the barrier range instead of being knocked in/out in full at a hard barrier.
It is currently only available with European payoff stylet
\ingroup instruments
*/
class SoftBarrierOption : public OneAssetOption {
public:
class arguments;
class engine;
SoftBarrierOption(Barrier::Type barrierType,
Real barrier_lo,
Real barrier_hi,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise);
void setupArguments(PricingEngine::arguments*) const override;
Volatility impliedVolatility(
Real price,
const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
Real accuracy = 1.0e-4,
Size maxEvaluations = 100,
Volatility minVol = 1e-6, // 0 vol values can make the soft barrier formula produce NaN results
Volatility maxVol = 4.0) const;
private:
Barrier::Type barrierType_;
Real barrier_lo_;
Real barrier_hi_;
};
// Arguments for soft barrier option calc
class SoftBarrierOption::arguments : public OneAssetOption::arguments {
public:
arguments();
Barrier::Type barrierType;
Real barrier_lo;
Real barrier_hi;
};
// Base class for soft barrier option engines
class SoftBarrierOption::engine
: public GenericEngine<SoftBarrierOption::arguments,
SoftBarrierOption::results> {};
}
#endif
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