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