| 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) 2004 Neil Firth |
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| 5 | Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl |
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| 6 | Copyright (C) 2007 StatPro Italia srl |
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| 7 | |
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| 8 | This file is part of QuantLib, a free-software/open-source library |
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| 9 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 10 | |
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| 11 | QuantLib is free software: you can redistribute it and/or modify it |
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| 12 | under the terms of the QuantLib license. You should have received a |
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| 13 | copy of the license along with this program; if not, please email |
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| 14 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 15 | <http://quantlib.org/license.shtml>. |
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| 16 | |
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| 17 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 18 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 19 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 20 | */ |
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| 21 | |
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| 22 | #include <ql/instruments/multiassetoption.hpp> |
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| 23 | #include <ql/stochasticprocess.hpp> |
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| 24 | #include <ql/exercise.hpp> |
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| 25 | #include <ql/event.hpp> |
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| 26 | |
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| 27 | namespace QuantLib { |
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| 28 | |
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| 29 | MultiAssetOption::MultiAssetOption( |
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| 30 | const ext::shared_ptr<Payoff>& payoff, |
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| 31 | const ext::shared_ptr<Exercise>& exercise) |
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| 32 | : Option(payoff, exercise) {} |
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| 33 | |
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| 34 | bool MultiAssetOption::isExpired() const { |
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| 35 | return detail::simple_event(exercise_->lastDate()).hasOccurred(); |
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| 36 | } |
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| 37 | |
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| 38 | Real MultiAssetOption::delta() const { |
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| 39 | calculate(); |
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| 40 | QL_REQUIRE(delta_ != Null<Real>(), "delta not provided" ); |
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| 41 | return delta_; |
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| 42 | } |
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| 43 | |
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| 44 | Real MultiAssetOption::gamma() const { |
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| 45 | calculate(); |
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| 46 | QL_REQUIRE(gamma_ != Null<Real>(), "gamma not provided" ); |
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| 47 | return gamma_; |
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| 48 | } |
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| 49 | |
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| 50 | Real MultiAssetOption::theta() const { |
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| 51 | calculate(); |
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| 52 | QL_REQUIRE(theta_ != Null<Real>(), "theta not provided" ); |
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| 53 | return theta_; |
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| 54 | } |
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| 55 | |
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| 56 | Real MultiAssetOption::vega() const { |
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| 57 | calculate(); |
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| 58 | QL_REQUIRE(vega_ != Null<Real>(), "vega not provided" ); |
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| 59 | return vega_; |
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| 60 | } |
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| 61 | |
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| 62 | Real MultiAssetOption::rho() const { |
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| 63 | calculate(); |
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| 64 | QL_REQUIRE(rho_ != Null<Real>(), "rho not provided" ); |
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| 65 | return rho_; |
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| 66 | } |
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| 67 | |
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| 68 | Real MultiAssetOption::dividendRho() const { |
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| 69 | calculate(); |
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| 70 | QL_REQUIRE(dividendRho_ != Null<Real>(), "dividend rho not provided" ); |
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| 71 | return dividendRho_; |
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| 72 | } |
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| 73 | |
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| 74 | void MultiAssetOption::setupExpired() const { |
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| 75 | NPV_ = delta_ = gamma_ = theta_ = |
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| 76 | vega_ = rho_ = dividendRho_ = 0.0; |
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| 77 | } |
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| 78 | |
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| 79 | void MultiAssetOption::setupArguments( |
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| 80 | PricingEngine::arguments* args) const { |
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| 81 | auto* arguments = dynamic_cast<MultiAssetOption::arguments*>(args); |
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| 82 | QL_REQUIRE(arguments != nullptr, "wrong argument type" ); |
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| 83 | |
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| 84 | arguments->payoff = payoff_; |
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| 85 | arguments->exercise = exercise_; |
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| 86 | } |
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| 87 | |
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| 88 | void MultiAssetOption::fetchResults(const PricingEngine::results* r) const { |
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| 89 | Option::fetchResults(r); |
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| 90 | const auto* results = dynamic_cast<const Greeks*>(r); |
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| 91 | QL_ENSURE(results != nullptr, "no greeks returned from pricing engine" ); |
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| 92 | delta_ = results->delta; |
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| 93 | gamma_ = results->gamma; |
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| 94 | theta_ = results->theta; |
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| 95 | vega_ = results->vega; |
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| 96 | rho_ = results->rho; |
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| 97 | dividendRho_ = results->dividendRho; |
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| 98 | } |
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| 99 | |
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| 100 | } |
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| 101 | |
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