1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2009 Dimitri Reiswich
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 compoundoption.hpp
21     \brief Compound option on a single asset
22 */
23 
24 #ifndef quantlib_compound_option_hpp
25 #define quantlib_compound_option_hpp
26 
27 #include <ql/instruments/oneassetoption.hpp>
28 #include <ql/instruments/payoffs.hpp>
29 #include <ql/exercise.hpp>
30 
31 namespace QuantLib {
32 
33     //! %Compound option on a single asset.
34     /*! \ingroup instruments */
35     class CompoundOption : public OneAssetOption {
36       public:
37         class arguments;
38         class engine;
39         // Mother is the compound Option.
40         // Daughter is the option which plays the role of the underlying.
41         CompoundOption(const ext::shared_ptr<StrikedTypePayoff>& motherPayoff,
42                        const ext::shared_ptr<Exercise>& motherExercise,
43                        const ext::shared_ptr<StrikedTypePayoff>& daughterPayoff,
44                        const ext::shared_ptr<Exercise>& daughterExercise);
45         void setupArguments(PricingEngine::arguments*) const;
46 
47       private:
48         ext::shared_ptr<StrikedTypePayoff> daughterPayoff_;
49         ext::shared_ptr<Exercise> daughterExercise_;
50     };
51 
52     class CompoundOption::arguments : public OneAssetOption::arguments {
53       public:
54         ext::shared_ptr<StrikedTypePayoff> daughterPayoff;
55         ext::shared_ptr<Exercise> daughterExercise;
56         void validate() const;
57     };
58 
59     //! %Compound-option %engine base class
60     class CompoundOption::engine
61         : public GenericEngine<CompoundOption::arguments,
62                                CompoundOption::results> {};
63 
64 }
65 
66 #endif
67