1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ 2 3 /* 4 Copyright (C) 2011 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 spreadoption.hpp 21 \brief Spread option on two assets 22 */ 23 24 #ifndef quantlib_spread_option_hpp 25 #define quantlib_spread_option_hpp 26 27 #include <ql/instruments/multiassetoption.hpp> 28 #include <ql/instruments/payoffs.hpp> 29 30 namespace QuantLib { 31 32 //! Spread option on two assets 33 class SpreadOption : public MultiAssetOption { 34 public: 35 class engine; SpreadOption(const ext::shared_ptr<PlainVanillaPayoff> & payoff,const ext::shared_ptr<Exercise> & exercise)36 SpreadOption(const ext::shared_ptr<PlainVanillaPayoff>& payoff, 37 const ext::shared_ptr<Exercise>& exercise) 38 : MultiAssetOption(payoff, exercise) {} 39 }; 40 41 //! %Spread option %engine base class 42 class SpreadOption::engine 43 : public GenericEngine<SpreadOption::arguments, 44 SpreadOption::results> {}; 45 46 } 47 48 49 #endif 50