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/partialtimebarrieroption.hpp>
21 #include <ql/exercise.hpp>
22 
23 namespace QuantLib {
24 
PartialTimeBarrierOption(PartialBarrier::Type barrierType,PartialBarrier::Range barrierRange,Real barrier,Real rebate,Date coverEventDate,const ext::shared_ptr<StrikedTypePayoff> & payoff,const ext::shared_ptr<Exercise> & exercise)25     PartialTimeBarrierOption::PartialTimeBarrierOption(
26                            PartialBarrier::Type barrierType,
27                            PartialBarrier::Range barrierRange,
28                            Real barrier,
29                            Real rebate,
30                            Date coverEventDate,
31                            const ext::shared_ptr<StrikedTypePayoff>& payoff,
32                            const ext::shared_ptr<Exercise>& exercise)
33     : OneAssetOption(payoff, exercise),
34       barrierType_(barrierType), barrierRange_(barrierRange),
35       barrier_(barrier), rebate_(rebate),
36       coverEventDate_(coverEventDate) {}
37 
setupArguments(PricingEngine::arguments * args) const38     void PartialTimeBarrierOption::setupArguments(
39                                        PricingEngine::arguments* args) const {
40         OneAssetOption::setupArguments(args);
41 
42         PartialTimeBarrierOption::arguments* moreArgs =
43             dynamic_cast<PartialTimeBarrierOption::arguments*>(args);
44         QL_REQUIRE(moreArgs != 0, "wrong argument type");
45         moreArgs->barrierType = barrierType_;
46         moreArgs->barrierRange = barrierRange_;
47         moreArgs->barrier = barrier_;
48         moreArgs->rebate = rebate_;
49         moreArgs->coverEventDate = coverEventDate_;
50     }
51 
arguments()52     PartialTimeBarrierOption::arguments::arguments()
53     : barrierType(PartialBarrier::Type(-1)),
54       barrierRange(PartialBarrier::Range(-1)),
55       barrier(Null<Real>()), rebate(Null<Real>()),
56       coverEventDate(Null<Date>()) {}
57 
validate() const58     void PartialTimeBarrierOption::arguments::validate() const {
59         OneAssetOption::arguments::validate();
60 
61         // checking barrier type and suitable barrier range
62         switch (barrierType) {
63           case PartialBarrier::DownIn:
64           case PartialBarrier::UpIn:
65             QL_REQUIRE(barrierRange == PartialBarrier::Start ||
66                        barrierRange == PartialBarrier::End,
67                        "in-barrier requires Start or End range");
68             break;
69           case PartialBarrier::DownOut:
70           case PartialBarrier::UpOut:
71             QL_REQUIRE(barrierRange == PartialBarrier::Start ||
72                        barrierRange == PartialBarrier::EndB1 ||
73                        barrierRange == PartialBarrier::EndB2,
74                        "out-barrier requires Start, EndB1 or EndB2 range");
75             break;
76           default:
77             QL_FAIL("unknown barrier type");
78         }
79 
80         QL_REQUIRE(barrier != Null<Real>(), "no barrier given");
81         QL_REQUIRE(rebate != Null<Real>(), "no rebate given");
82         QL_REQUIRE(coverEventDate != Null<Date>(), "no cover event date given");
83         QL_REQUIRE(coverEventDate < exercise->lastDate(),
84                    "cover event date equal or later than exercise date");
85     }
86 
87 }
88 
89