basketoption.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2003 Neil Firth
 Copyright (C) 2007 StatPro Italia srl
 Copyright (C) 2007 Joseph Wang
 
 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.
*/
 
/*! \file basketoption.hpp
    \brief Basket option on a number of assets
*/
 
#ifndef quantlib_basket_option_hpp
#define quantlib_basket_option_hpp
 
#include <ql/instruments/multiassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/math/array.hpp>
#include <utility>
 
namespace QuantLib {
 
    class BasketPayoff : public Payoff {
      private:
        ext::shared_ptr<Payoff> basePayoff_;
      public:
        explicit BasketPayoff(ext::shared_ptr<Payoff> p) : basePayoff_(std::move(p)) {}
        ~BasketPayoff() override = default;
        std::string name() const override { return basePayoff_->name(); }
        std::string description() const override { return basePayoff_->description(); }
        Real operator()(Real price) const override { return (*basePayoff_)(price); }
        virtual Real operator()(const Array &a) const {
            return (*basePayoff_)(accumulate(a));
        }
        virtual Real accumulate(const Array &a) const = 0;
        ext::shared_ptr<Payoff> basePayoff() { return basePayoff_; }
    };
 
    class MinBasketPayoff : public BasketPayoff {
      public:
        explicit MinBasketPayoff(const ext::shared_ptr<Payoff> &p)
        : BasketPayoff(p) {}
        Real accumulate(const Array& a) const override {
            return *std::min_element(a.begin(), a.end());
        }
    };
 
    class MaxBasketPayoff : public BasketPayoff {
      public:
        explicit MaxBasketPayoff(const ext::shared_ptr<Payoff> &p)
        : BasketPayoff(p) {}
        Real accumulate(const Array& a) const override {
            return *std::max_element(a.begin(), a.end());
        }
    };
 
    class AverageBasketPayoff : public BasketPayoff {
      public:
        AverageBasketPayoff(const ext::shared_ptr<Payoff>& p, Array a)
        : BasketPayoff(p), weights_(std::move(a)) {}
        AverageBasketPayoff(const ext::shared_ptr<Payoff> &p,
                            Size n)
        : BasketPayoff(p), weights_(n, 1.0/static_cast<Real>(n)) {}
        Real accumulate(const Array& a) const override {
            return std::inner_product(weights_.begin(),
                                      weights_.end(),
                                      a.begin(), Real(0.0));
        }
 
      private:
        Array weights_;
    };
 
 
    class SpreadBasketPayoff : public BasketPayoff {
      public:
        explicit SpreadBasketPayoff(const ext::shared_ptr<Payoff> &p)
        : BasketPayoff(p) {}
        Real accumulate(const Array& a) const override {
            QL_REQUIRE(a.size() == 2, 
                    "payoff is only defined for two underlyings");
            return a[0]-a[1];
        }
    };
    
    //! Basket option on a number of assets
    /*! \ingroup instruments */
    class BasketOption : public MultiAssetOption {
      public:
        class engine;
        BasketOption(const ext::shared_ptr<BasketPayoff>&,
                     const ext::shared_ptr<Exercise>&);
    };
 
    //! %Basket-option %engine base class
    class BasketOption::engine
        : public GenericEngine<BasketOption::arguments,
                               BasketOption::results> {};
 
}
 
 
#endif