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 /*! \file himalayaoption.hpp
21     \brief Himalaya option on a number of assets
22 */
23 
24 #ifndef quantlib_himalaya_option_hpp
25 #define quantlib_himalaya_option_hpp
26 
27 #include <ql/instruments/multiassetoption.hpp>
28 #include <ql/time/date.hpp>
29 #include <vector>
30 
31 namespace QuantLib {
32 
33     //! Himalaya option
34     /*! The payoff of a Himalaya option is computed in the following
35         way: Given a basket of N assets, and N time periods, at the
36         end of each period the option who performed the best is added
37         to the average and then discarded from the basket. At the end
38         of the N, periods the option pays the max between the strike
39         and the average of the best performers.
40 
41         \warning This implementation still does not manage seasoned
42                  options.
43     */
44     class HimalayaOption : public MultiAssetOption {
45       public:
46         class engine;
47         class arguments;
48         class results;
49         HimalayaOption(const std::vector<Date>& fixingDates,
50                        Real strike);
51 
52         void setupArguments(PricingEngine::arguments*) const;
53       private:
54         std::vector<Date> fixingDates_;
55     };
56 
57     class HimalayaOption::arguments : public MultiAssetOption::arguments {
58       public:
59         arguments();
60         void validate() const;
61         std::vector<Date> fixingDates;
62     };
63 
64     class HimalayaOption::results : public MultiAssetOption::results {};
65 
66     class HimalayaOption::engine
67         : public GenericEngine<HimalayaOption::arguments,
68                                HimalayaOption::results> {};
69 
70 }
71 
72 #endif
73