multilegoption.hpp

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/*
 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 multi leg option instrument
*/
 
#pragma once
 
#include <ql/cashflow.hpp>
#include <ql/currency.hpp>
#include <ql/exercise.hpp>
#include <ql/instrument.hpp>
#include <ql/instruments/swaption.hpp>
#include <ql/pricingengine.hpp>
#include <ql/settings.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
class MultiLegOption : public Instrument {
public:
    class arguments;
    class results;
    class engine;
 
    //! exercise = nullptr means that the instrument is identical to the underlying itself (i.e. a swap)
    MultiLegOption(const std::vector<Leg>& legs, const std::vector<bool>& payer, const std::vector<Currency>& currency,
                   const QuantLib::ext::shared_ptr<Exercise>& exercise = QuantLib::ext::shared_ptr<Exercise>(),
                   const Settlement::Type settlementType = Settlement::Physical,
                   Settlement::Method settlementMethod = Settlement::PhysicalOTC);
 
    const std::vector<Leg>& legs() const { return legs_; }
    const std::vector<bool>& payer() const { return payer_; }
    const std::vector<Currency>& currency() const { return currency_; }
    const QuantLib::ext::shared_ptr<Exercise> exercise() const { return exercise_; }
    const Settlement::Type settlementType() const { return settlementType_; }
    const Settlement::Method settlementMethod() const { return settlementMethod_; }
 
    void deepUpdate() override;
    bool isExpired() const override;
    void setupArguments(PricingEngine::arguments*) const override;
    void fetchResults(const PricingEngine::results*) const override;
 
    const Date& maturityDate() const { return maturity_; }
    Real underlyingNpv() const;
 
private:
    const std::vector<Leg> legs_;
    const std::vector<bool> payer_;
    const std::vector<Currency> currency_;
    const QuantLib::ext::shared_ptr<Exercise> exercise_;
    const Settlement::Type settlementType_;
    const Settlement::Method settlementMethod_;
    Date maturity_;
    // results
    mutable Real underlyingNpv_;
};
 
class MultiLegOption::arguments : public virtual PricingEngine::arguments {
public:
    std::vector<Leg> legs;
    std::vector<bool> payer;
    std::vector<Currency> currency;
    QuantLib::ext::shared_ptr<Exercise> exercise;
    Settlement::Type settlementType;
    Settlement::Method settlementMethod;
    void validate() const override {}
};
 
class MultiLegOption::results : public Instrument::results {
public:
    Real underlyingNpv;
    void reset() override;
};
 
class MultiLegOption::engine : public GenericEngine<MultiLegOption::arguments, MultiLegOption::results> {};
 
} // namespace QuantExt