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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Andrea Odetti
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/experimental/mcbasket/pathmultiassetoption.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/event.hpp>
namespace QuantLib {
PathMultiAssetOption::PathMultiAssetOption(
const ext::shared_ptr<PricingEngine>& engine) {
if (engine != nullptr)
setPricingEngine(engine);
}
bool PathMultiAssetOption::isExpired() const {
return detail::simple_event(fixingDates().back()).hasOccurred();
}
void PathMultiAssetOption::setupExpired() const {
NPV_ = 0.0;
}
void PathMultiAssetOption::setupArguments(PricingEngine::arguments* args)
const {
auto* arguments = dynamic_cast<PathMultiAssetOption::arguments*>(args);
QL_REQUIRE(arguments != nullptr, "wrong argument type");
arguments->payoff = pathPayoff();
arguments->fixingDates = fixingDates();
}
void PathMultiAssetOption::arguments::validate() const {
QL_REQUIRE(payoff, "no payoff given");
QL_REQUIRE(!fixingDates.empty(), "no dates given");
}
}
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