| 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 Paul Farrington |
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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/instruments/quantobarrieroption.hpp> |
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| 21 | |
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| 22 | namespace QuantLib { |
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| 23 | |
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| 24 | QuantoBarrierOption::QuantoBarrierOption( |
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| 25 | Barrier::Type barrierType, |
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| 26 | Real barrier, |
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| 27 | Real rebate, |
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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 | : BarrierOption(barrierType, barrier, rebate, payoff, exercise) {} |
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| 31 | |
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| 32 | Real QuantoBarrierOption::qvega() const { |
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| 33 | calculate(); |
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| 34 | QL_REQUIRE(qvega_ != Null<Real>(), |
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| 35 | "exchange rate vega calculation failed" ); |
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| 36 | return qvega_; |
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| 37 | } |
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| 38 | |
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| 39 | Real QuantoBarrierOption::qrho() const { |
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| 40 | calculate(); |
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| 41 | QL_REQUIRE(qrho_ != Null<Real>(), |
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| 42 | "foreign interest rate rho calculation failed" ); |
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| 43 | return qrho_; |
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| 44 | } |
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| 45 | |
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| 46 | Real QuantoBarrierOption::qlambda() const { |
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| 47 | calculate(); |
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| 48 | QL_REQUIRE(qlambda_ != Null<Real>(), |
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| 49 | "quanto correlation sensitivity calculation failed" ); |
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| 50 | return qlambda_; |
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| 51 | } |
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| 52 | |
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| 53 | void QuantoBarrierOption::setupExpired() const { |
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| 54 | BarrierOption::setupExpired(); |
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| 55 | qvega_ = qrho_ = qlambda_ = 0.0; |
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| 56 | } |
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| 57 | |
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| 58 | void QuantoBarrierOption::fetchResults( |
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| 59 | const PricingEngine::results* r) const { |
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| 60 | BarrierOption::fetchResults(r); |
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| 61 | const auto* quantoResults = dynamic_cast<const QuantoBarrierOption::results*>(r); |
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| 62 | QL_ENSURE(quantoResults != nullptr, "no quanto results returned from pricing engine" ); |
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| 63 | qrho_ = quantoResults->qrho; |
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| 64 | qvega_ = quantoResults->qvega; |
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| 65 | qlambda_ = quantoResults->qlambda; |
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| 66 | } |
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| 67 | |
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| 68 | } |
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| 69 | |
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| 70 | |
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