| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
|---|---|
| 2 | |
| 3 | /* |
| 4 | Copyright (C) 2008 StatPro Italia srl |
| 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 | |
| 20 | /*! \file varianceoption.hpp |
| 21 | \brief Variance option |
| 22 | */ |
| 23 | |
| 24 | #ifndef quantlib_variance_option_hpp |
| 25 | #define quantlib_variance_option_hpp |
| 26 | |
| 27 | #include <ql/processes/blackscholesprocess.hpp> |
| 28 | #include <ql/instruments/payoffs.hpp> |
| 29 | #include <ql/option.hpp> |
| 30 | #include <ql/position.hpp> |
| 31 | |
| 32 | namespace QuantLib { |
| 33 | |
| 34 | //! Variance option |
| 35 | /*! \warning This class does not manage seasoned variance options. |
| 36 | |
| 37 | \ingroup instruments |
| 38 | */ |
| 39 | class VarianceOption : public Instrument { |
| 40 | public: |
| 41 | class arguments; |
| 42 | class results; |
| 43 | class engine; |
| 44 | VarianceOption(ext::shared_ptr<Payoff> payoff, |
| 45 | Real notional, |
| 46 | const Date& startDate, |
| 47 | const Date& maturityDate); |
| 48 | //! \name Instrument interface |
| 49 | //@{ |
| 50 | bool isExpired() const override; |
| 51 | //@} |
| 52 | //! \name Inspectors |
| 53 | //@{ |
| 54 | Date startDate() const; |
| 55 | Date maturityDate() const; |
| 56 | Real notional() const; |
| 57 | ext::shared_ptr<Payoff> payoff() const; |
| 58 | //@} |
| 59 | void setupArguments(PricingEngine::arguments* args) const override; |
| 60 | |
| 61 | protected: |
| 62 | // data members |
| 63 | ext::shared_ptr<Payoff> payoff_; |
| 64 | Real notional_; |
| 65 | Date startDate_, maturityDate_; |
| 66 | }; |
| 67 | |
| 68 | |
| 69 | //! %Arguments for forward fair-variance calculation |
| 70 | class VarianceOption::arguments : public virtual PricingEngine::arguments { |
| 71 | public: |
| 72 | arguments() : notional(Null<Real>()) {} |
| 73 | void validate() const override; |
| 74 | ext::shared_ptr<Payoff> payoff; |
| 75 | Real notional; |
| 76 | Date startDate; |
| 77 | Date maturityDate; |
| 78 | }; |
| 79 | |
| 80 | |
| 81 | //! %Results from variance-option calculation |
| 82 | class VarianceOption::results : public Instrument::results {}; |
| 83 | |
| 84 | //! base class for variance-option engines |
| 85 | class VarianceOption::engine : |
| 86 | public GenericEngine<VarianceOption::arguments, |
| 87 | VarianceOption::results> {}; |
| 88 | |
| 89 | |
| 90 | // inline definitions |
| 91 | |
| 92 | inline Date VarianceOption::startDate() const { |
| 93 | return startDate_; |
| 94 | } |
| 95 | |
| 96 | inline Date VarianceOption::maturityDate() const { |
| 97 | return maturityDate_; |
| 98 | } |
| 99 | |
| 100 | inline Real VarianceOption::notional() const { |
| 101 | return notional_; |
| 102 | } |
| 103 | |
| 104 | inline ext::shared_ptr<Payoff> VarianceOption::payoff() const { |
| 105 | return payoff_; |
| 106 | } |
| 107 | |
| 108 | } |
| 109 | |
| 110 | |
| 111 | #endif |
| 112 |