1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2008 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/himalayaoption.hpp>
21 #include <ql/instruments/payoffs.hpp>
22 #include <ql/exercise.hpp>
23 
24 namespace QuantLib {
25 
HimalayaOption(const std::vector<Date> & fixingDates,Real strike)26     HimalayaOption::HimalayaOption(const std::vector<Date>& fixingDates,
27                                    Real strike)
28     : MultiAssetOption(ext::shared_ptr<Payoff>(
29                                 new PlainVanillaPayoff(Option::Call, strike)),
30                        ext::shared_ptr<Exercise>(
31                                    new EuropeanExercise(fixingDates.back()))),
32       fixingDates_(fixingDates) {}
33 
setupArguments(PricingEngine::arguments * args) const34     void HimalayaOption::setupArguments(PricingEngine::arguments* args) const {
35         MultiAssetOption::setupArguments(args);
36 
37         HimalayaOption::arguments* arguments =
38             dynamic_cast<HimalayaOption::arguments*>(args);
39         QL_REQUIRE(arguments != 0, "wrong argument type");
40 
41         arguments->fixingDates = fixingDates_;
42     }
43 
arguments()44     HimalayaOption::arguments::arguments() {}
45 
validate() const46     void HimalayaOption::arguments::validate() const {
47         MultiAssetOption::arguments::validate();
48         QL_REQUIRE(!fixingDates.empty(), "no fixing dates given");
49     }
50 
51 }
52 
53