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