pagodaoption.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
 
 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/experimental/exoticoptions/pagodaoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/exercise.hpp>
 
namespace QuantLib {
 
    PagodaOption::PagodaOption(const std::vector<Date>& fixingDates,
                               Real roof,
                               Real fraction)
    : MultiAssetOption(ext::shared_ptr<Payoff>(new NullPayoff),
                       ext::shared_ptr<Exercise>(
                                   new EuropeanExercise(fixingDates.back()))),
      fixingDates_(fixingDates), roof_(roof), fraction_(fraction) {}
 
 
    void PagodaOption::setupArguments(PricingEngine::arguments* args) const {
        MultiAssetOption::setupArguments(args);
 
        auto* arguments = dynamic_cast<PagodaOption::arguments*>(args);
        QL_REQUIRE(arguments != nullptr, "wrong argument type");
 
        arguments->fixingDates = fixingDates_;
        arguments->roof = roof_;
        arguments->fraction = fraction_;
    }
 
 
    PagodaOption::arguments::arguments()
    : roof(Null<Real>()), fraction(Null<Real>()) {}
 
    void PagodaOption::arguments::validate() const {
        MultiAssetOption::arguments::validate();
        QL_REQUIRE(!fixingDates.empty(), "no fixingDates given");
        QL_REQUIRE(roof != Null<Real>(), "no roof given");
        QL_REQUIRE(fraction != Null<Real>(), "no fraction given");
    }
 
}