| 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) 2010 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis |
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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/simplechooseroption.hpp> |
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| 21 | #include <ql/instruments/payoffs.hpp> |
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| 22 | #include <ql/exercise.hpp> |
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| 23 | |
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| 24 | namespace QuantLib { |
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| 25 | |
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| 26 | SimpleChooserOption::SimpleChooserOption(Date choosingDate, |
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| 27 | Real strike, |
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| 28 | const ext::shared_ptr<Exercise>& exercise) |
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| 29 | : OneAssetOption(ext::make_shared<PlainVanillaPayoff>(args: Option::Call, args&: strike), |
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| 30 | exercise), |
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| 31 | choosingDate_(choosingDate) {} |
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| 32 | |
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| 33 | void SimpleChooserOption::setupArguments(PricingEngine::arguments* args) const { |
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| 34 | OneAssetOption::setupArguments(args); |
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| 35 | auto* moreArgs = dynamic_cast<SimpleChooserOption::arguments*>(args); |
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| 36 | QL_REQUIRE(moreArgs != nullptr, "wrong argument type" ); |
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| 37 | moreArgs->choosingDate=choosingDate_; |
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| 38 | } |
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| 39 | |
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| 40 | void SimpleChooserOption::arguments::validate() const { |
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| 41 | OneAssetOption::arguments::validate(); |
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| 42 | QL_REQUIRE(choosingDate != Date(), " no choosing date given" ); |
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| 43 | QL_REQUIRE(choosingDate < exercise->lastDate(), |
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| 44 | "choosing date later than or equal to maturity date" ); |
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| 45 | } |
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| 46 | |
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| 47 | } |
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| 48 | |
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