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