| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
|---|---|
| 2 | |
| 3 | /* |
| 4 | Copyright (C) 2009 Dimitri Reiswich |
| 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 compoundoption.hpp |
| 21 | \brief Compound option on a single asset |
| 22 | */ |
| 23 | |
| 24 | #ifndef quantlib_compound_option_hpp |
| 25 | #define quantlib_compound_option_hpp |
| 26 | |
| 27 | #include <ql/instruments/oneassetoption.hpp> |
| 28 | #include <ql/instruments/payoffs.hpp> |
| 29 | #include <ql/exercise.hpp> |
| 30 | |
| 31 | namespace QuantLib { |
| 32 | |
| 33 | //! %Compound option (i.e., option on option) on a single asset. |
| 34 | /*! \ingroup instruments */ |
| 35 | class CompoundOption : public OneAssetOption { |
| 36 | public: |
| 37 | class arguments; |
| 38 | class engine; |
| 39 | /*! The mother option is the compound option. |
| 40 | The daughter option is its underlying option. |
| 41 | */ |
| 42 | CompoundOption(const ext::shared_ptr<StrikedTypePayoff>& motherPayoff, |
| 43 | const ext::shared_ptr<Exercise>& motherExercise, |
| 44 | ext::shared_ptr<StrikedTypePayoff> daughterPayoff, |
| 45 | ext::shared_ptr<Exercise> daughterExercise); |
| 46 | void setupArguments(PricingEngine::arguments*) const override; |
| 47 | |
| 48 | private: |
| 49 | ext::shared_ptr<StrikedTypePayoff> daughterPayoff_; |
| 50 | ext::shared_ptr<Exercise> daughterExercise_; |
| 51 | }; |
| 52 | |
| 53 | class CompoundOption::arguments : public OneAssetOption::arguments { |
| 54 | public: |
| 55 | ext::shared_ptr<StrikedTypePayoff> daughterPayoff; |
| 56 | ext::shared_ptr<Exercise> daughterExercise; |
| 57 | void validate() const override; |
| 58 | }; |
| 59 | |
| 60 | //! %Compound-option %engine base class |
| 61 | class CompoundOption::engine : public GenericEngine<CompoundOption::arguments, |
| 62 | CompoundOption::results> {}; |
| 63 | |
| 64 | } |
| 65 | |
| 66 | #endif |
| 67 |