margrabeoption.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2010 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.
*/
 
/*! \file margrabeoption.hpp
    \brief Margrabe option on two assets
*/
 
#ifndef quantlib_margrabe_option_hpp
#define quantlib_margrabe_option_hpp
 
#include <ql/instruments/multiassetoption.hpp>
 
namespace QuantLib {
 
    //! Margrabe option on two assets
    /*! This option gives the holder the right to exchange Q2 stocks
        of the second asset for Q1 stocks of the first at expiration.
 
        \ingroup instruments
    */
    class MargrabeOption : public MultiAssetOption {
      public:
        class arguments;
        class results;
        class engine;
        MargrabeOption(Integer Q1,
                       Integer Q2,
                       const ext::shared_ptr<Exercise>&);
        void setupArguments(PricingEngine::arguments*) const override;
        Real delta1() const;
        Real delta2() const;
        Real gamma1() const;
        Real gamma2() const;
        void fetchResults(const PricingEngine::results*) const override;
 
      protected:
        Integer Q1_;
        Integer Q2_;
        mutable Real delta1_, delta2_, gamma1_, gamma2_;
    };
 
    //! Extra %arguments for Margrabe option
    class MargrabeOption::arguments : public MultiAssetOption::arguments {
      public:
        arguments() = default;
        void validate() const override;
        Integer Q1 = Null<Integer>();
        Integer Q2 = Null<Integer>();
    };
 
    //! Extra %results for Margrabe option
    class MargrabeOption::results : public MultiAssetOption::results {
      public:
        results() = default;
        Real delta1 = Null<Real>();
        Real delta2 = Null<Real>();
        Real gamma1 = Null<Real>();
        Real gamma2 = Null<Real>();
        void reset() override {
            MultiAssetOption::results::reset();
            delta1 = Null<Real>();
            delta2 = Null<Real>();
            gamma1 = Null<Real>();
            gamma2 = Null<Real>();
        }
    };
 
    //! %Margrabe option %engine base class
    class MargrabeOption::engine : public GenericEngine<MargrabeOption::arguments,
                                                        MargrabeOption::results> {};
}
 
 
#endif