pathmultiassetoption.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Andrea Odetti
 
 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 pathmultiassetoption.hpp
    \brief Option on multiple assets
*/
 
#ifndef quantlib_path_multiasset_option_hpp
#define quantlib_path_multiasset_option_hpp
 
#include <ql/instrument.hpp>
#include <ql/stochasticprocess.hpp>
#include <ql/math/matrix.hpp>
#include <ql/experimental/mcbasket/pathpayoff.hpp>
 
namespace QuantLib {
 
    //! Base class for path-dependent options on multiple assets
    class PathMultiAssetOption : public Instrument {
      public:
        explicit PathMultiAssetOption(
                        const ext::shared_ptr<PricingEngine>& engine
                                        = ext::shared_ptr<PricingEngine>());
 
        //! \name Instrument interface
        //@{
        class arguments;
        class results;
        class engine;
 
        bool isExpired() const override;
 
        void setupArguments(PricingEngine::arguments*) const override;
 
        virtual ext::shared_ptr<PathPayoff> pathPayoff()  const = 0;
        virtual std::vector<Date>             fixingDates() const = 0;
 
      protected:
        void setupExpired() const override;
    };
 
    //! %Arguments for multi-asset option calculation
    class PathMultiAssetOption::arguments
        : public virtual PricingEngine::arguments {
      public:
        arguments() = default;
        void validate() const override;
 
        ext::shared_ptr<PathPayoff>        payoff;
        std::vector<Date>                    fixingDates;
    };
 
    //! %Results from multi-asset option calculation
    class PathMultiAssetOption::results : public Instrument::results {
      public:
        void reset() override { Instrument::results::reset(); }
    };
 
    class PathMultiAssetOption::engine
        : public GenericEngine<PathMultiAssetOption::arguments,
                               PathMultiAssetOption::results> {};
 
}
 
 
#endif