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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 Copyright (C) 2003 Ferdinando Ametrano
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl

 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

 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 oneassetoption.hpp
    \brief Option on a single asset

#ifndef quantlib_oneasset_option_hpp
#define quantlib_oneasset_option_hpp

#include <ql/option.hpp>
#include <ql/stochasticprocess.hpp>
#include <ql/quote.hpp>

namespace QuantLib {

    //! Base class for options on a single asset
00035     class OneAssetOption : public Option {
        class engine;
        OneAssetOption(const boost::shared_ptr<StochasticProcess>&,
                       const boost::shared_ptr<Payoff>&,
                       const boost::shared_ptr<Exercise>&,
                       const boost::shared_ptr<PricingEngine>& engine =
        //! \name Instrument interface
        class arguments;
        class results;
        bool isExpired() const;
        //! \name greeks
        Real delta() const;
        Real deltaForward() const;
        Real elasticity() const;
        Real gamma() const;
        Real theta() const;
        Real thetaPerDay() const;
        Real vega() const;
        Real rho() const;
        Real dividendRho() const;
        Real itmCashProbability() const;
        /*! \warning currently, this method returns the Black-Scholes
                     implied volatility. It will give unconsistent
                     results if the pricing was performed with any other
                     methods (such as jump-diffusion models.)
            \warning options with a gamma that changes sign have
                     values that are <b>not</b> monotonic in the
                     volatility, e.g binary options. In these cases
                     the calculation can fail and the result (if any)
                     is almost meaningless.  Another possible source of
                     failure is to have a target value that is not
                     attainable with any volatility, e.g., a
                     target value lower than the intrinsic value in the
                     case of American options.

        Volatility impliedVolatility(Real price,
                                     Real accuracy = 1.0e-4,
                                     Size maxEvaluations = 100,
                                     Volatility minVol = QL_MIN_VOLATILITY,
                                     Volatility maxVol = QL_MAX_VOLATILITY)
        void setupArguments(Arguments*) const;
        void setupExpired() const;
        void performCalculations() const;
        // results
        mutable Real delta_, deltaForward_, elasticity_, gamma_, theta_,
            thetaPerDay_, vega_, rho_, dividendRho_, itmCashProbability_;
        // arguments
        boost::shared_ptr<StochasticProcess> stochasticProcess_;
        // helper class for implied volatility calculation
        class ImpliedVolHelper {
            ImpliedVolHelper(const boost::shared_ptr<PricingEngine>& engine,
                             Real targetValue);
            Real operator()(Volatility x) const;
            boost::shared_ptr<PricingEngine> engine_;
            Real targetValue_;
            boost::shared_ptr<SimpleQuote> vol_;
            const Value* results_;

    //! %Arguments for single-asset option calculation
00108     class OneAssetOption::arguments : public Option::arguments {
        arguments() {}
        void validate() const;
        boost::shared_ptr<StochasticProcess> stochasticProcess;

    //! %Results from single-asset option calculation
00116     class OneAssetOption::results : public Value,
                                    public Greeks,
                                    public MoreGreeks {
        void reset() {
    class OneAssetOption::engine :
        public GenericEngine<OneAssetOption::arguments,
                              OneAssetOption::results> {};


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