1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2012 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/twoassetbarrieroption.hpp>
21 #include <ql/exercise.hpp>
22 #include <ql/event.hpp>
23 
24 namespace QuantLib {
25 
TwoAssetBarrierOption(Barrier::Type barrierType,Real barrier,const ext::shared_ptr<StrikedTypePayoff> & payoff,const ext::shared_ptr<Exercise> & exercise)26     TwoAssetBarrierOption::TwoAssetBarrierOption(
27                            Barrier::Type barrierType,
28                            Real barrier,
29                            const ext::shared_ptr<StrikedTypePayoff>& payoff,
30                            const ext::shared_ptr<Exercise>& exercise)
31     : Option(payoff, exercise), barrierType_(barrierType), barrier_(barrier) {}
32 
setupArguments(PricingEngine::arguments * args) const33     void TwoAssetBarrierOption::setupArguments(
34                                        PricingEngine::arguments* args) const {
35         Option::setupArguments(args);
36         TwoAssetBarrierOption::arguments* moreArgs =
37             dynamic_cast<TwoAssetBarrierOption::arguments*>(args);
38         QL_REQUIRE(moreArgs != 0, "wrong argument type");
39         moreArgs->barrierType = barrierType_;
40         moreArgs->barrier = barrier_;
41     }
42 
isExpired() const43     bool TwoAssetBarrierOption::isExpired() const {
44         return detail::simple_event(exercise_->lastDate()).hasOccurred();
45     }
46 
arguments()47     TwoAssetBarrierOption::arguments::arguments()
48     : barrierType(Barrier::Type(-1)), barrier(Null<Real>()) {}
49 
validate() const50     void TwoAssetBarrierOption::arguments::validate() const {
51         Option::arguments::validate();
52 
53         switch (barrierType) {
54           case Barrier::DownIn:
55           case Barrier::UpIn:
56           case Barrier::DownOut:
57           case Barrier::UpOut:
58             break;
59           default:
60             QL_FAIL("unknown type");
61         }
62 
63         QL_REQUIRE(barrier != Null<Real>(), "no barrier given");
64     }
65 
triggered(Real underlying) const66     bool TwoAssetBarrierOption::engine::triggered(Real underlying) const {
67         switch (arguments_.barrierType) {
68           case Barrier::DownIn:
69           case Barrier::DownOut:
70             return underlying < arguments_.barrier;
71           case Barrier::UpIn:
72           case Barrier::UpOut:
73             return underlying > arguments_.barrier;
74           default:
75             QL_FAIL("unknown type");
76         }
77     }
78 
79 }
80 
81