equityforward.hpp

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/*
 Copyright (C) 2016 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 qle/instruments/equityforward.hpp
\brief equityforward instrument
 
\ingroup instruments
*/
 
#ifndef quantext_equity_forward_hpp
#define quantext_equity_forward_hpp
 
#include <ql/currency.hpp>
#include <ql/exchangerate.hpp>
#include <ql/instrument.hpp>
#include <ql/money.hpp>
#include <ql/position.hpp>
#include <ql/quote.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
/*! This class holds the term sheet data for an Equity Forward instrument.
 
\ingroup instruments
*/
class EquityForward : public Instrument {
public:
    class arguments;
    class engine;
    //! \name Constructors
    //@{
    EquityForward( //! Equity Name
        const std::string& name,
        //! Currency
        const Currency& currency,
        //! if true, we are long the forward
        const Position::Type& longShort,
        //! Quantity (number of lots \f$times\f$ lot size)
        const Real& quantity,
        //! Maturity date
        const Date& maturityDate,
        //! Strike
        const Real& strike);
    //! \name Instrument interface
    //@{
    bool isExpired() const override;
    void setupArguments(PricingEngine::arguments*) const override;
    //@}
 
    //! \name Additional interface
    //@{
    const std::string& name() const { return name_; }
    Currency currency() const { return currency_; }
    Position::Type longShort() const { return longShort_; }
    Real quantity() const { return quantity_; }
    Date maturityDate() const { return maturityDate_; }
    Real strike() const { return strike_; }
    //@}
private:
    // data members
    std::string name_;
    Currency currency_;
    Position::Type longShort_;
    Real quantity_;
    Date maturityDate_;
    Real strike_;
};
 
//! \ingroup instruments
class EquityForward::arguments : public virtual PricingEngine::arguments {
public:
    std::string name;
    Currency currency;
    Position::Type longShort;
    Real quantity;
    Date maturityDate;
    Real strike;
    void validate() const override;
};
 
//! \ingroup instruments
class EquityForward::engine : public GenericEngine<EquityForward::arguments, Instrument::results> {};
} // namespace QuantExt
 
#endif