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 pagodaoption.hpp
21     \brief Roofed Asian option on a number of assets
22 */
23 
24 #ifndef quantlib_pagoda_option_hpp
25 #define quantlib_pagoda_option_hpp
26 
27 #include <ql/instruments/multiassetoption.hpp>
28 #include <ql/time/date.hpp>
29 #include <vector>
30 
31 namespace QuantLib {
32 
33     //! Roofed Asian option on a number of assets
34     /*! The payoff is a given fraction multiplied by the minimum
35         between a given roof and the positive portfolio performance.
36         If the performance of the portfolio is below then the payoff
37         is null.
38 
39         \warning This implementation still does not manage seasoned
40                  options.
41 
42         \ingroup instruments
43     */
44     class PagodaOption : public MultiAssetOption {
45       public:
46         class engine;
47         class arguments;
48         PagodaOption(const std::vector<Date>& fixingDates,
49                      Real roof,
50                      Real fraction);
51         void setupArguments(PricingEngine::arguments*) const;
52       protected:
53         // arguments
54         std::vector<Date> fixingDates_;
55         Real roof_;
56         Real fraction_;
57     };
58 
59 
60     class PagodaOption::arguments : public MultiAssetOption::arguments {
61       public:
62         arguments();
63         void validate() const;
64         std::vector<Date> fixingDates;
65         Real roof; Real fraction;
66     };
67 
68 
69     //! %Pagoda-option %engine base class
70     class PagodaOption::engine
71         : public GenericEngine<PagodaOption::arguments,
72                                PagodaOption::results> {};
73 
74 }
75 
76 #endif
77