twoassetbarrieroption.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2012 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file twoassetbarrieroption.hpp
    \brief Barrier option on two assets
*/
 
#ifndef quantlib_two_asset_barrier_option_hpp
#define quantlib_two_asset_barrier_option_hpp
 
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/barriertype.hpp>
#include <ql/instruments/payoffs.hpp>
 
namespace QuantLib {
 
    class GeneralizedBlackScholesProcess;
 
    //! %Barrier option on two assets
    /*! The value of the first asset is compared to the strike to
        determine the payoff, while the value of the second asset
        is monitored to check if the barrier is hit.
    */
    class TwoAssetBarrierOption : public Option {
      public:
        class arguments;
        class engine;
        TwoAssetBarrierOption(
                      Barrier::Type barrierType,
                      Real barrier,
                      const ext::shared_ptr<StrikedTypePayoff>& payoff,
                      const ext::shared_ptr<Exercise>& exercise);
 
        bool isExpired() const override;
        void setupArguments(PricingEngine::arguments*) const override;
 
      protected:
        // arguments
        Barrier::Type barrierType_;
        Real barrier_;
    };
 
 
    //! %Arguments for two-asset %barrier %option calculation
    class TwoAssetBarrierOption::arguments : public Option::arguments {
      public:
        arguments();
        Barrier::Type barrierType;
        Real barrier;
        void validate() const override;
    };
 
    //! %Two-asset barrier-option %engine base class
    class TwoAssetBarrierOption::engine
        : public GenericEngine<TwoAssetBarrierOption::arguments,
                               TwoAssetBarrierOption::results> {
      protected:
        bool triggered(Real underlying) const;
    };
 
}
 
 
#endif