QuantLib: a free/open-source library for quantitative finance
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holderextensibleoption.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2014 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 holderextensibleoption.hpp
21 \brief Holder-extensible option
22*/
23
24#ifndef quantlib_holder_extensible_option_hpp
25#define quantlib_holder_extensible_option_hpp
26
29
30namespace QuantLib {
31
32 class GeneralizedBlackScholesProcess;
33
35 public:
36 class arguments;
37 class engine;
39 Option::Type type,
40 Real premium,
41 Date secondExpiryDate,
42 Real secondStrike,
43 const ext::shared_ptr<StrikedTypePayoff>& payoff,
44 const ext::shared_ptr<Exercise>& exercise);
45 void setupArguments(PricingEngine::arguments*) const override;
46
47 protected:
51 };
52
53 class HolderExtensibleOption::arguments : public OneAssetOption::arguments {
54 public:
58
59 void validate() const override;
60 };
61
63 : public GenericEngine<HolderExtensibleOption::arguments,
64 HolderExtensibleOption::results> {};
65
66}
67
68
69#endif
Concrete date class.
Definition: date.hpp:125
template base class for option pricing engines
void setupArguments(PricingEngine::arguments *) const override
Base class for options on a single asset.
ext::shared_ptr< Payoff > payoff() const
Definition: option.hpp:45
ext::shared_ptr< Exercise > exercise() const
Definition: option.hpp:46
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35
Option on a single asset.
Payoffs for various options.