QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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simplechooseroption.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2010 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
22#include <ql/exercise.hpp>
23
24namespace QuantLib {
25
27 Real strike,
28 const ext::shared_ptr<Exercise>& exercise)
29 : OneAssetOption(ext::make_shared<PlainVanillaPayoff>(Option::Call, strike),
30 exercise),
31 choosingDate_(choosingDate) {}
32
35 auto* moreArgs = dynamic_cast<SimpleChooserOption::arguments*>(args);
36 QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
37 moreArgs->choosingDate=choosingDate_;
38 }
39
41 OneAssetOption::arguments::validate();
42 QL_REQUIRE(choosingDate != Date(), " no choosing date given");
43 QL_REQUIRE(choosingDate < exercise->lastDate(),
44 "choosing date later than or equal to maturity date");
45 }
46
47}
Concrete date class.
Definition: date.hpp:125
virtual void setupArguments(PricingEngine::arguments *) const
Definition: instrument.cpp:45
Base class for options on a single asset.
base option class
Definition: option.hpp:36
Plain-vanilla payoff.
Definition: payoffs.hpp:105
Extra arguments for single chooser option.
void setupArguments(PricingEngine::arguments *) const override
SimpleChooserOption(Date choosingDate, Real strike, const ext::shared_ptr< Exercise > &exercise)
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Definition: errors.hpp:117
Option exercise classes and payoff function.
QL_REAL Real
real number
Definition: types.hpp:50
Simple chooser option on a single asset.
Definition: any.hpp:35
Payoffs for various options.