vannavolgabarrierengine.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2013 Yue Tian
 
 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 vannavolgabarrierengine.hpp
    \brief Vanna/Volga barrier option engine
*/
 
#ifndef quantlib_vanna_volga_barrier_engine_hpp
#define quantlib_vanna_volga_barrier_engine_hpp
 
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/instruments/barrieroption.hpp>
#include <ql/experimental/fx/deltavolquote.hpp>
 
namespace QuantLib {
 
    //! Vanna/Volga barrier option engine
    /*!
        \ingroup barrierengines
    */
    class VannaVolgaBarrierEngine : public BarrierOption::engine {
      public:
 
        // Constructor
        VannaVolgaBarrierEngine(Handle<DeltaVolQuote> atmVol,
                                Handle<DeltaVolQuote> vol25Put,
                                Handle<DeltaVolQuote> vol25Call,
                                Handle<Quote> spotFX,
                                Handle<YieldTermStructure> domesticTS,
                                Handle<YieldTermStructure> foreignTS,
                                bool adaptVanDelta = false,
                                Real bsPriceWithSmile = 0.0);
 
        void calculate() const override;
 
      private:
        const Handle<DeltaVolQuote> atmVol_;
        const Handle<DeltaVolQuote> vol25Put_;
        const Handle<DeltaVolQuote> vol25Call_;
        const Time T_;
        const Handle<Quote> spotFX_;
        const Handle<YieldTermStructure> domesticTS_;
        const Handle<YieldTermStructure> foreignTS_;
        const bool adaptVanDelta_;
        const Real bsPriceWithSmile_;
 
    };
 
 
}
 
#endif