compoundoption.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2009 Dimitri Reiswich
 
 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/compoundoption.hpp>
#include <utility>
 
namespace QuantLib {
 
    CompoundOption::CompoundOption(const ext::shared_ptr<StrikedTypePayoff>& motherPayoff,
                                   const ext::shared_ptr<Exercise>& motherExercise,
                                   ext::shared_ptr<StrikedTypePayoff> daughterPayoff,
                                   ext::shared_ptr<Exercise> daughterExercise)
    : OneAssetOption(motherPayoff, motherExercise), daughterPayoff_(std::move(daughterPayoff)),
      daughterExercise_(std::move(daughterExercise)) {}
 
    void CompoundOption::setupArguments(PricingEngine::arguments* args) const {
        OneAssetOption::setupArguments(args);
 
        auto* moreArgs = dynamic_cast<CompoundOption::arguments*>(args);
        QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
        moreArgs->daughterPayoff = daughterPayoff_;
        moreArgs->daughterExercise = daughterExercise_;
    }
 
    void CompoundOption::arguments::validate() const {
        OneAssetOption::arguments::validate();
        QL_REQUIRE(daughterPayoff,
                   "no payoff given for underlying option");
        QL_REQUIRE(daughterExercise,
                   "no exercise given for underlying option");
        QL_REQUIRE(exercise->lastDate() <= daughterExercise->lastDate(),
                   "maturity of compound option exceeds "
                   "maturity of underlying option");
    }
 
}