multilegoption.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 multilegoption.hpp
    \brief Multileg Option data model
*/
 
#pragma once
 
#include <ored/portfolio/legdata.hpp>
#include <ored/portfolio/optiondata.hpp>
#include <ored/portfolio/trade.hpp>
 
namespace ore {
namespace data {
 
class MultiLegOption : public Trade {
public:
    // default ctor
    MultiLegOption() : Trade("MultiLegOption"), hasOption_(false) {}
 
    // trade consists only of the underlying
    MultiLegOption(const Envelope& env, const vector<LegData>& underlyingData)
        : Trade("MultiLegOption", env), hasOption_(false), underlyingData_(underlyingData) {}
 
    // trade is an option to exercise into an underlying
    MultiLegOption(const Envelope& env, const OptionData& optionData, const vector<LegData>& underlyingData)
        : Trade("MultiLegOption", env), optionData_(optionData), hasOption_(true), underlyingData_(underlyingData) {}
 
    void build(const QuantLib::ext::shared_ptr<EngineFactory>&) override;
 
    const OptionData& option() { return optionData_; }
    const bool& hasOption() { return hasOption_; }
    const vector<LegData>& underlying() { return underlyingData_; }
 
    void fromXML(XMLNode* node) override;
    XMLNode* toXML(XMLDocument& doc) const override;
 
private:
    OptionData optionData_;
    bool hasOption_;
    vector<LegData> underlyingData_;
};
 
} // namespace data
} // namespace ore