| 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) 2009 Dimitri Reiswich |
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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/compoundoption.hpp> |
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| 21 | #include <utility> |
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| 22 | |
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| 23 | namespace QuantLib { |
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| 24 | |
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| 25 | CompoundOption::CompoundOption(const ext::shared_ptr<StrikedTypePayoff>& motherPayoff, |
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| 26 | const ext::shared_ptr<Exercise>& motherExercise, |
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| 27 | ext::shared_ptr<StrikedTypePayoff> daughterPayoff, |
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| 28 | ext::shared_ptr<Exercise> daughterExercise) |
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| 29 | : OneAssetOption(motherPayoff, motherExercise), daughterPayoff_(std::move(daughterPayoff)), |
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| 30 | daughterExercise_(std::move(daughterExercise)) {} |
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| 31 | |
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| 32 | void CompoundOption::setupArguments(PricingEngine::arguments* args) const { |
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| 33 | OneAssetOption::setupArguments(args); |
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| 34 | |
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| 35 | auto* moreArgs = dynamic_cast<CompoundOption::arguments*>(args); |
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| 36 | QL_REQUIRE(moreArgs != nullptr, "wrong argument type" ); |
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| 37 | moreArgs->daughterPayoff = daughterPayoff_; |
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| 38 | moreArgs->daughterExercise = daughterExercise_; |
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| 39 | } |
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| 40 | |
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| 41 | void CompoundOption::arguments::validate() const { |
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| 42 | OneAssetOption::arguments::validate(); |
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| 43 | QL_REQUIRE(daughterPayoff, |
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| 44 | "no payoff given for underlying option" ); |
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| 45 | QL_REQUIRE(daughterExercise, |
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| 46 | "no exercise given for underlying option" ); |
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| 47 | QL_REQUIRE(exercise->lastDate() <= daughterExercise->lastDate(), |
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| 48 | "maturity of compound option exceeds " |
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| 49 | "maturity of underlying option" ); |
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| 50 | } |
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| 51 | |
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| 52 | } |
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| 53 | |
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