QuantLib: a free/open-source library for quantitative finance
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partialtimebarrieroption.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 partialtimebarrieroption.hpp
21 \brief Partial-time barrier option
22*/
23
24#ifndef quantlib_partial_time_barrier_option_hpp
25#define quantlib_partial_time_barrier_option_hpp
26
30
31namespace QuantLib {
32
33 class GeneralizedBlackScholesProcess;
34
35 struct PartialBarrier : public Barrier {
36 enum Range { Start, End, EndB1, EndB2 };
37 };
38
40 public:
41 class arguments;
42 class engine;
44 PartialBarrier::Range barrierRange,
45 Real barrier,
46 Real rebate,
47 Date coverEventDate,
48 const ext::shared_ptr<StrikedTypePayoff>& payoff,
49 const ext::shared_ptr<Exercise>& exercise);
50 void setupArguments(PricingEngine::arguments*) const override;
51
52 protected:
58 };
59
60 //! %Arguments for barrier option calculation
63 public:
64 arguments();
70 void validate() const override;
71 };
72
73 //! %Partial-Time-Barrier-Option %engine base class
75 : public GenericEngine<PartialTimeBarrierOption::arguments,
76 PartialTimeBarrierOption::results> {
77 };
78
79}
80
81
82#endif
Barrier type.
Concrete date class.
Definition: date.hpp:125
template base class for option pricing engines
Base class for options on a single asset.
basic option arguments
Definition: option.hpp:57
ext::shared_ptr< Payoff > payoff() const
Definition: option.hpp:45
ext::shared_ptr< Exercise > exercise() const
Definition: option.hpp:46
Arguments for barrier option calculation
Partial-Time-Barrier-Option engine base class
void setupArguments(PricingEngine::arguments *) const override
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35
Option on a single asset.
Payoffs for various options.
Placeholder for enumerated barrier types.
Definition: barriertype.hpp:35