fxbarrieroption.hpp

Go to the documentation of this file.

/*
  Copyright (C) 2017 Quaternion Risk Management Ltd
  All rights reserved.
 
  This file is part of ORE, a free-software/open-source library
  for transparent pricing and risk analysis - http://opensourcerisk.org
  ORE is free software: you can redistribute it and/or modify it
  under the terms of the Modified BSD License.  You should have received a
  copy of the license along with this program.
  The license is also available online at <http://opensourcerisk.org>
  This program is distributed on the basis that it will form a useful
  contribution to risk analytics and model standardisation, but WITHOUT
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
  FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
 */
 
/*! \file ored/portfolio/fxbarrieroption.hpp
   \brief FX Barrier Option data model and serialization
   \ingroup portfolio
*/
 
#pragma once
 
#include <ored/portfolio/barrieroption.hpp>
 
namespace ore {
namespace data {
using std::string;
 
//! Serializable FX Barrier Option
/*!
  \ingroup tradedata
*/
class FxBarrierOption : public FxOptionWithBarrier {
public:
    //! Default constructor
    FxBarrierOption() : ore::data::Trade("FxBarrierOption"), FxOptionWithBarrier("") {}
    
    //! Constructor
    FxBarrierOption(Envelope& env, OptionData option, BarrierData barrier, QuantLib::Date startDate,
                    string calendar, string boughtCurrency, double boughtAmount,
                    string soldCurrency, double soldAmount, string fxIndex = "")
        : ore::data::Trade("FxBarrierOption", env), FxOptionWithBarrier("", env, option, 
            barrier, startDate, calendar, boughtCurrency, boughtAmount, soldCurrency,
            soldAmount, fxIndex) {}
 
    void checkBarriers() override;
 
    //! create the pricing engines
    QuantLib::ext::shared_ptr<QuantLib::PricingEngine>
    vanillaPricingEngine(const QuantLib::ext::shared_ptr<EngineFactory>& ef, const QuantLib::Date& expiryDate,
                           const QuantLib::Date& paymentDate = QuantLib::Date()) override;
    QuantLib::ext::shared_ptr<QuantLib::PricingEngine>
    barrierPricingEngine(const QuantLib::ext::shared_ptr<EngineFactory>& ef, const QuantLib::Date& expiryDate,
                           const QuantLib::Date& paymentDate = QuantLib::Date()) override;
 
};
 
} // namespace data
} // namespace oreplus