1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2002, 2003 Ferdinando Ametrano
5 Copyright (C) 2007 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file forwardvanillaoption.hpp
22 \brief Forward version of a vanilla option
23*/
24
25#ifndef quantlib_forward_vanilla_option_hpp
26#define quantlib_forward_vanilla_option_hpp
27
28#include <ql/instruments/oneassetoption.hpp>
29#include <ql/instruments/payoffs.hpp>
30#include <ql/exercise.hpp>
31#include <ql/settings.hpp>
32
33namespace QuantLib {
34
35 //! %Arguments for forward (strike-resetting) option calculation
36 template <class ArgumentsType>
37 class ForwardOptionArguments : public ArgumentsType {
38 public:
39 ForwardOptionArguments() : moneyness(Null<Real>()),
40 resetDate(Null<Date>()) {}
41 void validate() const override;
42 Real moneyness;
43 Date resetDate;
44 };
45
46 //! %Forward version of a vanilla option
47 /*! \ingroup instruments */
48 class ForwardVanillaOption : public OneAssetOption {
49 public:
50 typedef ForwardOptionArguments<OneAssetOption::arguments> arguments;
51 typedef OneAssetOption::results results;
52 ForwardVanillaOption(Real moneyness,
53 const Date& resetDate,
54 const ext::shared_ptr<StrikedTypePayoff>& payoff,
55 const ext::shared_ptr<Exercise>& exercise);
56 void setupArguments(PricingEngine::arguments*) const override;
57 void fetchResults(const PricingEngine::results*) const override;
58
59 private:
60 // arguments
61 Real moneyness_;
62 Date resetDate_;
63 };
64
65
66 // template definitions
67
68 template <class ArgumentsType>
69 inline void ForwardOptionArguments<ArgumentsType>::validate() const {
70 ArgumentsType::validate();
71
72 QL_REQUIRE(moneyness != Null<Real>(), "null moneyness given");
73 QL_REQUIRE(moneyness > 0.0, "negative or zero moneyness given");
74
75 QL_REQUIRE(resetDate != Null<Date>(), "null reset date given");
76 QL_REQUIRE(resetDate >= Settings::instance().evaluationDate(),
77 "reset date in the past");
78 QL_REQUIRE(this->exercise->lastDate() > resetDate,
79 "reset date later or equal to maturity");
80 }
81
82
83}
84
85
86#endif
87
88

source code of quantlib/ql/instruments/forwardvanillaoption.hpp