QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
twoassetcorrelationoption.cpp
Go to the documentation of this file.
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
21#include <ql/exercise.hpp>
22
23namespace QuantLib {
24
26 Option::Type type,
27 Real strike1,
28 Real strike2,
29 const ext::shared_ptr<Exercise>& exercise)
30 : MultiAssetOption(ext::make_shared<PlainVanillaPayoff>(type, strike1),
31 exercise), X2_(strike2) {}
32
34 PricingEngine::arguments* args) const {
36 auto* moreArgs = dynamic_cast<TwoAssetCorrelationOption::arguments*>(args);
37 QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
38
39 moreArgs->X2 = X2_;
40 }
41
42}
43
Base class for options on multiple assets.
void setupArguments(PricingEngine::arguments *) const override
Plain-vanilla payoff.
Definition: payoffs.hpp:105
void setupArguments(PricingEngine::arguments *) const override
TwoAssetCorrelationOption(Option::Type type, Real strike1, Real strike2, const ext::shared_ptr< 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
Definition: any.hpp:35
Two-asset correlation option.