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/holderextensibleoption.hpp> 21 #include <ql/exercise.hpp> 22 23 namespace QuantLib { 24 HolderExtensibleOption(Option::Type type,Real premium,Date secondExpiryDate,Real secondStrike,const ext::shared_ptr<StrikedTypePayoff> & payoff,const ext::shared_ptr<Exercise> & exercise)25 HolderExtensibleOption::HolderExtensibleOption( 26 Option::Type type, 27 Real premium, 28 Date secondExpiryDate, 29 Real secondStrike, 30 const ext::shared_ptr<StrikedTypePayoff>& payoff, 31 const ext::shared_ptr<Exercise>& exercise) 32 : OneAssetOption(payoff,exercise), 33 premium_(premium), 34 secondExpiryDate_(secondExpiryDate), 35 secondStrike_(secondStrike) {} 36 setupArguments(PricingEngine::arguments * args) const37 void HolderExtensibleOption::setupArguments( 38 PricingEngine::arguments* args) const { 39 OneAssetOption::setupArguments(args); 40 HolderExtensibleOption::arguments* moreArgs = 41 dynamic_cast<HolderExtensibleOption::arguments*>(args); 42 QL_REQUIRE(moreArgs != 0, "wrong argument type"); 43 moreArgs->premium = premium_; 44 moreArgs->secondExpiryDate = secondExpiryDate_; 45 moreArgs->secondStrike = secondStrike_; 46 } 47 validate() const48 void HolderExtensibleOption:: arguments::validate() const { 49 OneAssetOption::arguments::validate(); 50 QL_REQUIRE(premium > 0,"negative premium not allowed"); 51 QL_REQUIRE(secondExpiryDate != Date() , "no extending date given"); 52 QL_REQUIRE(secondExpiryDate >= exercise->lastDate(), 53 "extended date is earlier than or equal to first maturity date"); 54 } 55 56 } 57