partialtimebarrieroption.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2014 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.
*/
 
#include <ql/experimental/exoticoptions/partialtimebarrieroption.hpp>
#include <ql/exercise.hpp>
 
namespace QuantLib {
 
    PartialTimeBarrierOption::PartialTimeBarrierOption(
                           PartialBarrier::Type barrierType,
                           PartialBarrier::Range barrierRange,
                           Real barrier,
                           Real rebate,
                           Date coverEventDate,
                           const ext::shared_ptr<StrikedTypePayoff>& payoff,
                           const ext::shared_ptr<Exercise>& exercise)
    : OneAssetOption(payoff, exercise),
      barrierType_(barrierType), barrierRange_(barrierRange),
      barrier_(barrier), rebate_(rebate),
      coverEventDate_(coverEventDate) {}
 
    void PartialTimeBarrierOption::setupArguments(
                                       PricingEngine::arguments* args) const {
        OneAssetOption::setupArguments(args);
 
        auto* moreArgs = dynamic_cast<PartialTimeBarrierOption::arguments*>(args);
        QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
        moreArgs->barrierType = barrierType_;
        moreArgs->barrierRange = barrierRange_;
        moreArgs->barrier = barrier_;
        moreArgs->rebate = rebate_;
        moreArgs->coverEventDate = coverEventDate_;
    }
 
    PartialTimeBarrierOption::arguments::arguments()
    : barrierType(PartialBarrier::Type(-1)),
      barrierRange(PartialBarrier::Range(-1)),
      barrier(Null<Real>()), rebate(Null<Real>()),
      coverEventDate(Null<Date>()) {}
 
    void PartialTimeBarrierOption::arguments::validate() const {
        OneAssetOption::arguments::validate();
        
        // checking barrier type and suitable barrier range
        switch (barrierType) {
          case PartialBarrier::DownIn:
          case PartialBarrier::UpIn:
            QL_REQUIRE(barrierRange == PartialBarrier::Start ||
                       barrierRange == PartialBarrier::End,
                       "in-barrier requires Start or End range");
            break;
          case PartialBarrier::DownOut:
          case PartialBarrier::UpOut:
            QL_REQUIRE(barrierRange == PartialBarrier::Start ||
                       barrierRange == PartialBarrier::EndB1 ||
                       barrierRange == PartialBarrier::EndB2,
                       "out-barrier requires Start, EndB1 or EndB2 range");
            break;
          default:
            QL_FAIL("unknown barrier type");
        }
 
        QL_REQUIRE(barrier != Null<Real>(), "no barrier given");
        QL_REQUIRE(rebate != Null<Real>(), "no rebate given");
        QL_REQUIRE(coverEventDate != Null<Date>(), "no cover event date given");
        QL_REQUIRE(coverEventDate < exercise->lastDate(),
                   "cover event date equal or later than exercise date");
    }
 
}