multiassetoption.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2004 Neil Firth
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2007 StatPro Italia srl
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#include <ql/instruments/multiassetoption.hpp>
#include <ql/stochasticprocess.hpp>
#include <ql/exercise.hpp>
#include <ql/event.hpp>
 
namespace QuantLib {
 
    MultiAssetOption::MultiAssetOption(
        const ext::shared_ptr<Payoff>& payoff,
        const ext::shared_ptr<Exercise>& exercise)
    : Option(payoff, exercise) {}
 
    bool MultiAssetOption::isExpired() const {
        return detail::simple_event(exercise_->lastDate()).hasOccurred();
    }
 
    Real MultiAssetOption::delta() const {
        calculate();
        QL_REQUIRE(delta_ != Null<Real>(), "delta not provided");
        return delta_;
    }
 
    Real MultiAssetOption::gamma() const {
        calculate();
        QL_REQUIRE(gamma_ != Null<Real>(), "gamma not provided");
        return gamma_;
    }
 
    Real MultiAssetOption::theta() const {
        calculate();
        QL_REQUIRE(theta_ != Null<Real>(), "theta not provided");
        return theta_;
    }
 
    Real MultiAssetOption::vega() const {
        calculate();
        QL_REQUIRE(vega_ != Null<Real>(), "vega not provided");
        return vega_;
    }
 
    Real MultiAssetOption::rho() const {
        calculate();
        QL_REQUIRE(rho_ != Null<Real>(), "rho not provided");
        return rho_;
    }
 
    Real MultiAssetOption::dividendRho() const {
        calculate();
        QL_REQUIRE(dividendRho_ != Null<Real>(), "dividend rho not provided");
        return dividendRho_;
    }
 
    void MultiAssetOption::setupExpired() const {
        NPV_ = delta_ = gamma_ = theta_ =
            vega_ = rho_ = dividendRho_ =  0.0;
    }
 
    void MultiAssetOption::setupArguments(
                                       PricingEngine::arguments* args) const {
        auto* arguments = dynamic_cast<MultiAssetOption::arguments*>(args);
        QL_REQUIRE(arguments != nullptr, "wrong argument type");
 
        arguments->payoff = payoff_;
        arguments->exercise = exercise_;
    }
 
    void MultiAssetOption::fetchResults(const PricingEngine::results* r) const {
        Option::fetchResults(r);
        const auto* results = dynamic_cast<const Greeks*>(r);
        QL_ENSURE(results != nullptr, "no greeks returned from pricing engine");
        delta_          = results->delta;
        gamma_          = results->gamma;
        theta_          = results->theta;
        vega_           = results->vega;
        rho_            = results->rho;
        dividendRho_    = results->dividendRho;
    }
 
}