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 /*! \file simplechooseroption.hpp 21 \brief Simple chooser option on a single asset 22 */ 23 24 #ifndef quantlib_simple_chooser_option_hpp 25 #define quantlib_simple_chooser_option_hpp 26 27 #include <ql/instruments/oneassetoption.hpp> 28 29 namespace QuantLib { 30 31 //! Simple chooser option 32 /*! This option gives the holder the right to choose, at a future 33 date prior to exercise, whether the option should be a call or 34 a put. The exercise date and strike are the same for both 35 call and put option. 36 */ 37 class SimpleChooserOption : public OneAssetOption { 38 public: 39 class arguments; 40 class engine; 41 SimpleChooserOption(Date choosingDate, 42 Real strike, 43 const ext::shared_ptr<Exercise>& exercise); 44 void setupArguments(PricingEngine::arguments*) const; 45 protected: 46 Date choosingDate_; 47 }; 48 49 //! Extra %arguments for single chooser option 50 class SimpleChooserOption::arguments 51 : public OneAssetOption::arguments { 52 public: arguments()53 arguments() : choosingDate(Null<Date>()) {} 54 void validate() const; 55 Date choosingDate; 56 }; 57 58 //! Simple chooser option %engine base class 59 class SimpleChooserOption::engine 60 : public GenericEngine<SimpleChooserOption::arguments, 61 SimpleChooserOption::results> {}; 62 63 } 64 65 #endif 66