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 #include <ql/experimental/exoticoptions/complexchooseroption.hpp> 21 #include <ql/instruments/payoffs.hpp> 22 #include <ql/exercise.hpp> 23 24 namespace QuantLib { 25 ComplexChooserOption(Date choosingDate,Real strikeCall,Real strikePut,const ext::shared_ptr<Exercise> & exerciseCall,const ext::shared_ptr<Exercise> & exercisePut)26 ComplexChooserOption::ComplexChooserOption( 27 Date choosingDate, 28 Real strikeCall, 29 Real strikePut, 30 const ext::shared_ptr<Exercise>& exerciseCall, 31 const ext::shared_ptr<Exercise>& exercisePut) 32 : OneAssetOption(ext::make_shared<PlainVanillaPayoff>(Option::Call, 33 strikeCall), 34 exerciseCall), 35 choosingDate_(choosingDate), 36 strikeCall_(strikeCall), 37 strikePut_(strikePut), 38 exerciseCall_(exerciseCall), 39 exercisePut_(exercisePut) {} 40 setupArguments(PricingEngine::arguments * args) const41 void ComplexChooserOption::setupArguments( 42 PricingEngine::arguments* args) const { 43 OneAssetOption::setupArguments(args); 44 ComplexChooserOption::arguments* moreArgs = 45 dynamic_cast<ComplexChooserOption::arguments*>(args); 46 QL_REQUIRE(moreArgs != 0, "wrong argument type"); 47 moreArgs->choosingDate=choosingDate_; 48 moreArgs->strikeCall=strikeCall_; 49 moreArgs->strikePut=strikePut_; 50 moreArgs->exerciseCall = exerciseCall_; 51 moreArgs->exercisePut = exercisePut_; 52 } 53 validate() const54 void ComplexChooserOption::arguments::validate() const { 55 OneAssetOption::arguments::validate(); 56 QL_REQUIRE(choosingDate != Date() , " no choosing date given"); 57 QL_REQUIRE(choosingDate < exerciseCall->lastDate(), 58 "choosing date later than or equal to Call maturity date"); 59 QL_REQUIRE(choosingDate < exercisePut->lastDate(), 60 "choosing date later than or equal to Put maturity date"); 61 } 62 63 } 64