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 /*! \file holderextensibleoption.hpp 21 \brief Holder-extensible option 22 */ 23 24 #ifndef quantlib_holder_extensible_option_hpp 25 #define quantlib_holder_extensible_option_hpp 26 27 #include <ql/instruments/payoffs.hpp> 28 #include <ql/instruments/oneassetoption.hpp> 29 30 namespace QuantLib { 31 32 class GeneralizedBlackScholesProcess; 33 34 class HolderExtensibleOption : public OneAssetOption { 35 public: 36 class arguments; 37 class engine; 38 HolderExtensibleOption( 39 Option::Type type, 40 Real premium, 41 Date secondExpiryDate, 42 Real secondStrike, 43 const ext::shared_ptr<StrikedTypePayoff>& payoff, 44 const ext::shared_ptr<Exercise>& exercise); 45 void setupArguments(PricingEngine::arguments*) const; 46 protected: 47 Real premium_; 48 Date secondExpiryDate_; 49 Real secondStrike_; 50 }; 51 52 class HolderExtensibleOption::arguments : public OneAssetOption::arguments { 53 public: 54 Real premium; 55 Date secondExpiryDate; 56 Real secondStrike; 57 58 void validate() const; 59 }; 60 61 class HolderExtensibleOption::engine 62 : public GenericEngine<HolderExtensibleOption::arguments, 63 HolderExtensibleOption::results> {}; 64 65 } 66 67 68 #endif 69