twoassetbarrieroption.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2012 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.
*/
 
/*! \file twoassetbarrieroption.hpp
    \brief Barrier option on two assets
*/
 
#ifndef quantlib_two_asset_barrier_option_hpp
#define quantlib_two_asset_barrier_option_hpp
 
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/barriertype.hpp>
#include <ql/instruments/payoffs.hpp>
 
namespace QuantLib {
 
    class GeneralizedBlackScholesProcess;
 
    //! %Barrier option on two assets
    /*! \ingroup instruments */
    class TwoAssetBarrierOption : public Option {
      public:
        class arguments;
        class engine;
        TwoAssetBarrierOption(
                      Barrier::Type barrierType,
                      Real barrier,
                      const ext::shared_ptr<StrikedTypePayoff>& payoff,
                      const ext::shared_ptr<Exercise>& exercise);
 
        bool isExpired() const override;
        void setupArguments(PricingEngine::arguments*) const override;
 
      protected:
        // arguments
        Barrier::Type barrierType_;
        Real barrier_;
    };
 
 
    //! %Arguments for two-asset %barrier %option calculation
    class TwoAssetBarrierOption::arguments : public Option::arguments {
      public:
        arguments();
        Barrier::Type barrierType;
        Real barrier;
        void validate() const override;
    };
 
    //! %Two-asset barrier-option %engine base class
    class TwoAssetBarrierOption::engine
        : public GenericEngine<TwoAssetBarrierOption::arguments,
                               TwoAssetBarrierOption::results> {
      protected:
        bool triggered(Real underlying) const;
    };
 
}
 
 
#endif