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 #include <ql/experimental/exoticoptions/twoassetcorrelationoption.hpp> 21 #include <ql/exercise.hpp> 22 23 namespace QuantLib { 24 TwoAssetCorrelationOption(Option::Type type,Real strike1,Real strike2,const ext::shared_ptr<Exercise> & exercise)25 TwoAssetCorrelationOption::TwoAssetCorrelationOption( 26 Option::Type type, 27 Real strike1, 28 Real strike2, 29 const ext::shared_ptr<Exercise>& exercise) 30 : MultiAssetOption(ext::make_shared<PlainVanillaPayoff>(type, strike1), 31 exercise), X2_(strike2) {} 32 setupArguments(PricingEngine::arguments * args) const33 void TwoAssetCorrelationOption::setupArguments( 34 PricingEngine::arguments* args) const { 35 MultiAssetOption::setupArguments(args); 36 TwoAssetCorrelationOption::arguments* moreArgs = 37 dynamic_cast<TwoAssetCorrelationOption::arguments*>(args); 38 QL_REQUIRE(moreArgs != 0, "wrong argument type"); 39 40 moreArgs->X2 = X2_; 41 } 42 43 } 44 45