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 partialtimebarrieroption.hpp
21     \brief Partial-time barrier option
22 */
23 
24 #ifndef quantlib_partial_time_barrier_option_hpp
25 #define quantlib_partial_time_barrier_option_hpp
26 
27 #include <ql/instruments/oneassetoption.hpp>
28 #include <ql/instruments/barriertype.hpp>
29 #include <ql/instruments/payoffs.hpp>
30 
31 namespace QuantLib {
32 
33     class GeneralizedBlackScholesProcess;
34 
35     struct PartialBarrier : public Barrier {
36         enum Range { Start, End, EndB1, EndB2 };
37     };
38 
39     class PartialTimeBarrierOption : public OneAssetOption {
40       public:
41         class arguments;
42         class engine;
43         PartialTimeBarrierOption(PartialBarrier::Type barrierType,
44             PartialBarrier::Range barrierRange,
45             Real barrier,
46             Real rebate,
47             Date coverEventDate,
48             const ext::shared_ptr<StrikedTypePayoff>& payoff,
49             const ext::shared_ptr<Exercise>& exercise);
50         void setupArguments(PricingEngine::arguments*) const;
51       protected:
52         PartialBarrier::Type barrierType_;
53         PartialBarrier::Range barrierRange_;
54         Real barrier_;
55         Real rebate_;
56         Date coverEventDate_;
57     };
58 
59     //! %Arguments for barrier option calculation
60     class PartialTimeBarrierOption::arguments
61         : public OneAssetOption::arguments {
62       public:
63         arguments();
64         PartialBarrier::Type barrierType;
65         PartialBarrier::Range barrierRange;
66         Real barrier;
67         Real rebate;
68         Date coverEventDate;
69         void validate() const;
70     };
71 
72     //! %Partial-Time-Barrier-Option %engine base class
73     class PartialTimeBarrierOption::engine
74         : public GenericEngine<PartialTimeBarrierOption::arguments,
75                                PartialTimeBarrierOption::results> {
76     };
77 
78 }
79 
80 
81 #endif
82