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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 Klaus Spanderen
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 vanillaswingoption.hpp
\brief vanilla swing option class
*/
#ifndef quantlib_vanilla_swing_option_hpp
#define quantlib_vanilla_swing_option_hpp
#include <ql/exercise.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/instruments/oneassetoption.hpp>
namespace QuantLib {
//! Swing exercise
/*! A Swing option can only be exercised at a set of fixed date times
*/
class SwingExercise : public BermudanExercise {
public:
explicit SwingExercise(const std::vector<Date>& dates,
const std::vector<Size>& seconds = std::vector<Size>());
SwingExercise(const Date& from, const Date& to, Size stepSizeSecs);
const std::vector<Size>& seconds() const;
std::vector<Time> exerciseTimes(const DayCounter& dc,
const Date& refDate) const;
private:
const std::vector<Size> seconds_;
};
class VanillaForwardPayoff : public StrikedTypePayoff {
public:
VanillaForwardPayoff(Option::Type type, Real strike)
: StrikedTypePayoff(type, strike) {}
std::string name() const override { return "ForwardTypePayoff"; }
Real operator()(Real price) const override;
void accept(AcyclicVisitor&) override;
};
//! base option class
class VanillaSwingOption : public OneAssetOption {
public:
class arguments;
VanillaSwingOption(const ext::shared_ptr<Payoff>& payoff,
const ext::shared_ptr<SwingExercise>& ex,
Size minExerciseRights, Size maxExerciseRights)
: OneAssetOption(payoff, ex),
minExerciseRights_(minExerciseRights),
maxExerciseRights_(maxExerciseRights) {}
bool isExpired() const override;
void setupArguments(PricingEngine::arguments*) const override;
private:
const Size minExerciseRights_, maxExerciseRights_;
};
class VanillaSwingOption::arguments
: public virtual PricingEngine::arguments {
public:
arguments() = default;
void validate() const override;
Size minExerciseRights, maxExerciseRights;
ext::shared_ptr<StrikedTypePayoff> payoff;
ext::shared_ptr<SwingExercise> exercise;
};
}
#endif
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