1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2014 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
5 
6  This file is part of QuantLib, a free-software/open-source library
7  for financial quantitative analysts and developers - http://quantlib.org/
8 
9  QuantLib is free software: you can redistribute it and/or modify it
10  under the terms of the QuantLib license.  You should have received a
11  copy of the license along with this program; if not, please email
12  <quantlib-dev@lists.sf.net>. The license is also available online at
13  <http://quantlib.org/license.shtml>.
14 
15  This program is distributed in the hope that it will be useful, but WITHOUT
16  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17  FOR A PARTICULAR PURPOSE.  See the license for more details.
18 */
19 
20 /*! \file analyticcomplexchooserengine.hpp
21     \brief Analytic engine for complex chooser option
22 */
23 
24 #ifndef quantlib_analytic_complex_chooser_engine_hpp
25 #define quantlib_analytic_complex_chooser_engine_hpp
26 
27 #include <ql/experimental/exoticoptions/complexchooseroption.hpp>
28 #include <ql/processes/blackscholesprocess.hpp>
29 #include <ql/pricingengines/blackscholescalculator.hpp>
30 
31 namespace QuantLib {
32 
33     class AnalyticComplexChooserEngine : public ComplexChooserOption::engine {
34       public:
35         explicit AnalyticComplexChooserEngine(
36             const ext::shared_ptr<GeneralizedBlackScholesProcess>& process);
37         void calculate() const;
38 
39       private:
40         ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
41         Real strike(Option::Type optionType) const;
42         Time choosingTime() const;
43         Time putMaturity() const;
44         Time callMaturity() const;
45         Volatility volatility(Time t) const;
46 
47         Rate dividendYield(Time t) const;
48         DiscountFactor dividendDiscount(Time t) const;
49 
50         Rate riskFreeRate(Time t) const;
51         DiscountFactor riskFreeDiscount(Time t) const;
52 
53         BlackScholesCalculator bsCalculator(Real spot,
54                                             Option::Type optionType) const;
55         Real CriticalValueChooser() const;
56         Real ComplexChooser() const;
57     };
58 
59 }
60 
61 
62 #endif
63