1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2010 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 margrabeoption.hpp
21     \brief Margrabe option on two assets
22 */
23 
24 #ifndef quantlib_margrabe_option_hpp
25 #define quantlib_margrabe_option_hpp
26 
27 #include <ql/instruments/multiassetoption.hpp>
28 
29 namespace QuantLib {
30 
31     //! Margrabe option on two assets
32     /*! This option gives the holder the right to exchange Q2 stocks
33         of the second asset for Q1 stocks of the first at expiration.
34 
35         \ingroup instruments
36     */
37     class MargrabeOption : public MultiAssetOption {
38       public:
39         class arguments;
40         class results;
41         class engine;
42         MargrabeOption(Integer Q1,
43                        Integer Q2,
44                        const ext::shared_ptr<Exercise>&);
45         void setupArguments(PricingEngine::arguments*) const;
46         Real delta1() const;
47         Real delta2() const;
48         Real gamma1() const;
49         Real gamma2() const;
50         void fetchResults(const PricingEngine::results*) const;
51       protected:
52         Integer Q1_;
53         Integer Q2_;
54         mutable Real delta1_, delta2_, gamma1_, gamma2_;
55     };
56 
57     //! Extra %arguments for Margrabe option
58     class MargrabeOption::arguments
59         : public MultiAssetOption::arguments {
60       public:
arguments()61         arguments() : Q1(Null<Integer>()),
62                       Q2(Null<Integer>()) {}
63         void validate() const;
64         Integer Q1;
65         Integer Q2;
66     };
67 
68     //! Extra %results for Margrabe option
69     class MargrabeOption::results
70         : public MultiAssetOption::results {
71       public:
results()72         results() : delta1(Null<Real>()),
73                     delta2(Null<Real>()),
74                     gamma1(Null<Real>()),
75                     gamma2(Null<Real>()) {}
76         Real delta1;
77         Real delta2;
78         Real gamma1;
79         Real gamma2;
reset()80         void reset() {
81             MultiAssetOption::results::reset();
82             delta1 = Null<Real>();
83             delta2 = Null<Real>();
84             gamma1 = Null<Real>();
85             gamma2 = Null<Real>();
86         }
87     };
88 
89     //! %Margrabe option %engine base class
90     class MargrabeOption::engine
91         : public GenericEngine<MargrabeOption::arguments,
92                                MargrabeOption::results> {};
93 }
94 
95 
96 #endif
97