| 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) 2002, 2003 Ferdinando Ametrano |
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| 5 | Copyright (C) 2007 StatPro Italia srl |
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| 6 | |
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| 7 | This file is part of QuantLib, a free-software/open-source library |
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| 8 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 9 | |
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| 10 | QuantLib is free software: you can redistribute it and/or modify it |
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| 11 | under the terms of the QuantLib license. You should have received a |
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| 12 | copy of the license along with this program; if not, please email |
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| 13 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 14 | <http://quantlib.org/license.shtml>. |
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| 15 | |
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| 16 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 17 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 18 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 19 | */ |
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| 20 | |
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| 21 | #include <ql/instruments/forwardvanillaoption.hpp> |
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| 22 | |
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| 23 | namespace QuantLib { |
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| 24 | |
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| 25 | ForwardVanillaOption::ForwardVanillaOption( |
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| 26 | Real moneyness, |
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| 27 | const Date& resetDate, |
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| 28 | const ext::shared_ptr<StrikedTypePayoff>& payoff, |
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| 29 | const ext::shared_ptr<Exercise>& exercise) |
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| 30 | : OneAssetOption(payoff, exercise), |
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| 31 | moneyness_(moneyness), resetDate_(resetDate) {} |
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| 32 | |
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| 33 | void ForwardVanillaOption::setupArguments( |
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| 34 | PricingEngine::arguments* args) const { |
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| 35 | OneAssetOption::setupArguments(args); |
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| 36 | auto* arguments = dynamic_cast<ForwardVanillaOption::arguments*>(args); |
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| 37 | QL_REQUIRE(arguments != nullptr, "wrong argument type" ); |
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| 38 | |
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| 39 | arguments->moneyness = moneyness_; |
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| 40 | arguments->resetDate = resetDate_; |
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| 41 | |
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| 42 | } |
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| 43 | |
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| 44 | void ForwardVanillaOption::fetchResults( |
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| 45 | const PricingEngine::results* r) const { |
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| 46 | OneAssetOption::fetchResults(r); |
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| 47 | const auto* results = dynamic_cast<const ForwardVanillaOption::results*>(r); |
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| 48 | QL_ENSURE(results != nullptr, "no results returned from pricing engine" ); |
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| 49 | delta_ = results->delta; |
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| 50 | gamma_ = results->gamma; |
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| 51 | theta_ = results->theta; |
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| 52 | vega_ = results->vega; |
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| 53 | rho_ = results->rho; |
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| 54 | dividendRho_ = results->dividendRho; |
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| 55 | } |
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| 56 | |
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| 57 | } |
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| 58 | |
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| 59 | |
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