QuantLib: a free/open-source library for quantitative finance
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payoff.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2003, 2006 Ferdinando Ametrano
5 Copyright (C) 2006 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file payoff.hpp
22 \brief Option payoff classes
23*/
24
25#ifndef quantlib_payoff_hpp
26#define quantlib_payoff_hpp
27
28#include <ql/types.hpp>
30#include <ql/errors.hpp>
31#include <functional>
32
33namespace QuantLib {
34
35 //! Abstract base class for option payoffs
36 class Payoff {
37 public:
38 virtual ~Payoff() = default;
39 //! \name Payoff interface
40 //@{
41 /*! \warning This method is used for output and comparison between
42 payoffs. It is <b>not</b> meant to be used for writing
43 switch-on-type code.
44 */
45 virtual std::string name() const = 0;
46 virtual std::string description() const = 0;
47 virtual Real operator()(Real price) const = 0;
48 //@}
49 //! \name Visitability
50 //@{
51 virtual void accept(AcyclicVisitor&);
52 //@}
53 };
54
55
56 // inline definitions
57
59 auto* v1 = dynamic_cast<Visitor<Payoff>*>(&v);
60 if (v1 != nullptr)
61 v1->visit(*this);
62 else
63 QL_FAIL("not a payoff visitor");
64 }
65
66}
67
68
69#endif
degenerate base class for the Acyclic Visitor pattern
Definition: visitor.hpp:33
Abstract base class for option payoffs.
Definition: payoff.hpp:36
virtual ~Payoff()=default
virtual void accept(AcyclicVisitor &)
Definition: payoff.hpp:58
virtual Real operator()(Real price) const =0
virtual std::string description() const =0
virtual std::string name() const =0
Visitor for a specific class
Definition: visitor.hpp:40
virtual void visit(T &)=0
Classes and functions for error handling.
#define QL_FAIL(message)
throw an error (possibly with file and line information)
Definition: errors.hpp:92
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35
ext::shared_ptr< BlackVolTermStructure > v
Custom types.
degenerate base class for the Acyclic Visitor pattern