QuantLib: a free/open-source library for quantitative finance
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writerextensibleoption.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file writerextensibleoption.hpp
21 \brief Writer-extensible option
22*/
23
24#ifndef quantlib_writer_extensible_option_hpp
25#define quantlib_writer_extensible_option_hpp
26
29#include <ql/exercise.hpp>
30
31namespace QuantLib {
32
33 //! Writer-extensible option
35 public:
36 class arguments;
37 class engine;
38 /*!
39 \param payoff1 The first payoff
40 \param exercise1 The first exercise date
41 \param payoff2 The payoff of the extended option
42 \param exercise2 The second exercise date
43 */
44 WriterExtensibleOption(const ext::shared_ptr<PlainVanillaPayoff>& payoff1,
45 const ext::shared_ptr<Exercise>& exercise1,
46 const ext::shared_ptr<PlainVanillaPayoff>& payoff2,
47 ext::shared_ptr<Exercise> exercise2);
48 // inspectors
49 ext::shared_ptr<Payoff> payoff2() { return payoff2_; }
50 ext::shared_ptr<Exercise> exercise2() { return exercise2_; };
51 // Instrument interface
52 bool isExpired() const override;
53 void setupArguments(PricingEngine::arguments*) const override;
54
55 private:
56 ext::shared_ptr<StrikedTypePayoff> payoff2_;
57 ext::shared_ptr<Exercise> exercise2_;
58 };
59
60 //! Additional arguments for writer-extensible option
63 public:
64 void validate() const override;
65 ext::shared_ptr<Payoff> payoff2;
66 ext::shared_ptr<Exercise> exercise2;
67 };
68
69 //! Base engine
71 public GenericEngine<WriterExtensibleOption::arguments,
72 WriterExtensibleOption::results> {};
73
74}
75
76#endif
template base class for option pricing engines
Base class for options on a single asset.
basic option arguments
Definition: option.hpp:57
Additional arguments for writer-extensible option.
void setupArguments(PricingEngine::arguments *) const override
bool isExpired() const override
returns whether the instrument might have value greater than zero.
ext::shared_ptr< Exercise > exercise2_
ext::shared_ptr< StrikedTypePayoff > payoff2_
ext::shared_ptr< Exercise > exercise2()
ext::shared_ptr< Payoff > payoff2()
Option exercise classes and payoff function.
Definition: any.hpp:35
Option on a single asset.
Payoffs for various options.