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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.
*/
/*! \file pathmultiassetoption.hpp
\brief Option on multiple assets
*/
#ifndef quantlib_path_multiasset_option_hpp
#define quantlib_path_multiasset_option_hpp
#include <ql/instrument.hpp>
#include <ql/stochasticprocess.hpp>
#include <ql/math/matrix.hpp>
#include <ql/experimental/mcbasket/pathpayoff.hpp>
namespace QuantLib {
//! Base class for path-dependent options on multiple assets
class PathMultiAssetOption : public Instrument {
public:
explicit PathMultiAssetOption(
const ext::shared_ptr<PricingEngine>& engine
= ext::shared_ptr<PricingEngine>());
//! \name Instrument interface
//@{
class arguments;
class results;
class engine;
bool isExpired() const override;
void setupArguments(PricingEngine::arguments*) const override;
virtual ext::shared_ptr<PathPayoff> pathPayoff() const = 0;
virtual std::vector<Date> fixingDates() const = 0;
protected:
void setupExpired() const override;
};
//! %Arguments for multi-asset option calculation
class PathMultiAssetOption::arguments
: public virtual PricingEngine::arguments {
public:
arguments() = default;
void validate() const override;
ext::shared_ptr<PathPayoff> payoff;
std::vector<Date> fixingDates;
};
//! %Results from multi-asset option calculation
class PathMultiAssetOption::results : public Instrument::results {
public:
void reset() override { Instrument::results::reset(); }
};
class PathMultiAssetOption::engine
: public GenericEngine<PathMultiAssetOption::arguments,
PathMultiAssetOption::results> {};
}
#endif
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