QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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compoundoption.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2009 Dimitri Reiswich
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
21#include <utility>
22
23namespace QuantLib {
24
25 CompoundOption::CompoundOption(const ext::shared_ptr<StrikedTypePayoff>& motherPayoff,
26 const ext::shared_ptr<Exercise>& motherExercise,
27 ext::shared_ptr<StrikedTypePayoff> daughterPayoff,
28 ext::shared_ptr<Exercise> daughterExercise)
29 : OneAssetOption(motherPayoff, motherExercise), daughterPayoff_(std::move(daughterPayoff)),
30 daughterExercise_(std::move(daughterExercise)) {}
31
34
35 auto* moreArgs = dynamic_cast<CompoundOption::arguments*>(args);
36 QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
37 moreArgs->daughterPayoff = daughterPayoff_;
38 moreArgs->daughterExercise = daughterExercise_;
39 }
40
42 OneAssetOption::arguments::validate();
44 "no payoff given for underlying option");
46 "no exercise given for underlying option");
47 QL_REQUIRE(exercise->lastDate() <= daughterExercise->lastDate(),
48 "maturity of compound option exceeds "
49 "maturity of underlying option");
50 }
51
52}
ext::shared_ptr< Exercise > daughterExercise
ext::shared_ptr< StrikedTypePayoff > daughterPayoff
void setupArguments(PricingEngine::arguments *) const override
ext::shared_ptr< Exercise > daughterExercise_
ext::shared_ptr< StrikedTypePayoff > daughterPayoff_
CompoundOption(const ext::shared_ptr< StrikedTypePayoff > &motherPayoff, const ext::shared_ptr< Exercise > &motherExercise, ext::shared_ptr< StrikedTypePayoff > daughterPayoff, ext::shared_ptr< Exercise > daughterExercise)
virtual void setupArguments(PricingEngine::arguments *) const
Definition: instrument.cpp:45
Base class for options on a single asset.
ext::shared_ptr< Exercise > exercise() const
Definition: option.hpp:46
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Definition: errors.hpp:117
Compound option on a single asset.
Definition: any.hpp:35
STL namespace.