| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2008 StatPro Italia srl |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | #include <ql/event.hpp> |
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| 21 | #include <ql/experimental/varianceoption/varianceoption.hpp> |
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| 22 | #include <utility> |
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| 23 | |
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| 24 | namespace QuantLib { |
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| 25 | |
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| 26 | VarianceOption::VarianceOption(ext::shared_ptr<Payoff> payoff, |
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| 27 | Real notional, |
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| 28 | const Date& startDate, |
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| 29 | const Date& maturityDate) |
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| 30 | : payoff_(std::move(payoff)), notional_(notional), startDate_(startDate), |
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| 31 | maturityDate_(maturityDate) {} |
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| 32 | |
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| 33 | void VarianceOption::setupArguments(PricingEngine::arguments* args) const { |
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| 34 | auto* arguments = dynamic_cast<VarianceOption::arguments*>(args); |
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| 35 | QL_REQUIRE(arguments != nullptr, "wrong argument type" ); |
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| 36 | |
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| 37 | arguments->payoff = payoff_; |
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| 38 | arguments->notional = notional_; |
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| 39 | arguments->startDate = startDate_; |
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| 40 | arguments->maturityDate = maturityDate_; |
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| 41 | } |
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| 42 | |
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| 43 | void VarianceOption::arguments::validate() const { |
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| 44 | QL_REQUIRE(payoff, "no strike given" ); |
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| 45 | QL_REQUIRE(notional != Null<Real>(), "no notional given" ); |
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| 46 | QL_REQUIRE(notional > 0.0, "negative or null notional given" ); |
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| 47 | QL_REQUIRE(startDate != Date(), "null start date given" ); |
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| 48 | QL_REQUIRE(maturityDate != Date(), "null maturity date given" ); |
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| 49 | } |
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| 50 | |
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| 51 | bool VarianceOption::isExpired() const { |
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| 52 | return detail::simple_event(maturityDate_).hasOccurred(); |
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| 53 | } |
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| 54 | |
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| 55 | } |
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| 56 | |
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