twoassetcorrelationoption.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2014 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 twoassetcorrelationoption.hpp
    \brief Two-asset correlation option
*/
 
#ifndef quantlib_two_asset_correlation_option_hpp
#define quantlib_two_asset_correlation_option_hpp
 
#include <ql/instruments/multiassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
 
namespace QuantLib {
 
    //! Two-asset correlation %option
    /*! This option pays a payoff based on the value at exercise of
        the second asset and its corresponding strike, but only if the
        first instrument is also in the money with respect to its own
        strike; if not, the payoff is 0.
 
        \ingroup instruments
    */
    class TwoAssetCorrelationOption : public MultiAssetOption {
      public:
        class arguments;
        class engine;
        TwoAssetCorrelationOption(Option::Type type,
                                  Real strike1,
                                  Real strike2,
                                  const ext::shared_ptr<Exercise>&);
        void setupArguments(PricingEngine::arguments*) const override;
 
      protected:
        Real X2_;
    };
 
    //! %Arguments for two-asset correlation %option
    class TwoAssetCorrelationOption::arguments
        : public MultiAssetOption::arguments {
      public:
        arguments() : X2(Null<Real>()) {}
        void validate() const override {
            MultiAssetOption::arguments::validate();
            QL_REQUIRE(X2 != Null<Real>(), "no X2 given");
        }
        Real X2;
    };
 
    //! Base class for two-asset correlation %option engines
    class TwoAssetCorrelationOption::engine
        : public GenericEngine<TwoAssetCorrelationOption::arguments,
                               TwoAssetCorrelationOption::results> {};
 
}
 
 
#endif