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 #include <ql/experimental/exoticoptions/simplechooseroption.hpp> 21 #include <ql/instruments/payoffs.hpp> 22 #include <ql/exercise.hpp> 23 24 namespace QuantLib { 25 SimpleChooserOption(Date choosingDate,Real strike,const ext::shared_ptr<Exercise> & exercise)26 SimpleChooserOption::SimpleChooserOption( 27 Date choosingDate, 28 Real strike, 29 const ext::shared_ptr<Exercise>& exercise) 30 : OneAssetOption(ext::shared_ptr<Payoff>( 31 new PlainVanillaPayoff(Option::Call, strike)), 32 exercise), 33 choosingDate_(choosingDate) {} 34 setupArguments(PricingEngine::arguments * args) const35 void SimpleChooserOption::setupArguments( 36 PricingEngine::arguments* args) const { 37 OneAssetOption::setupArguments(args); 38 SimpleChooserOption::arguments* moreArgs = 39 dynamic_cast<SimpleChooserOption::arguments*>(args); 40 QL_REQUIRE(moreArgs != 0, "wrong argument type"); 41 moreArgs->choosingDate=choosingDate_; 42 } 43 validate() const44 void SimpleChooserOption::arguments::validate() const { 45 OneAssetOption::arguments::validate(); 46 QL_REQUIRE(choosingDate != Date(), " no choosing date given"); 47 QL_REQUIRE(choosingDate < exercise->lastDate(), 48 "choosing date later than or equal to maturity date"); 49 } 50 51 } 52