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dividendvanillaoption.cpp

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

/*
 Copyright (C) 2004 StatPro Italia 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
 <http://quantlib.org/reference/license.html>.

 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.
*/

#include <ql/Instruments/dividendvanillaoption.hpp>
#include <ql/Utilities/dataformatters.hpp>

namespace QuantLib {

    DividendVanillaOption::DividendVanillaOption(
        const boost::shared_ptr<StochasticProcess>& process,
        const boost::shared_ptr<StrikedTypePayoff>& payoff,
        const boost::shared_ptr<Exercise>& exercise,
        const std::vector<Date>& dividendDates,
        const std::vector<Real>& dividends,
        const boost::shared_ptr<PricingEngine>& engine)
    : VanillaOption(process, payoff, exercise, engine),
      dividendDates_(dividendDates), dividends_(dividends) {}

00035     void DividendVanillaOption::setupArguments(Arguments* args) const {
        VanillaOption::setupArguments(args);

        DividendVanillaOption::arguments* arguments =
            dynamic_cast<DividendVanillaOption::arguments*>(args);
        QL_REQUIRE(arguments != 0, "wrong engine type");

        arguments->dividendDates = dividendDates_;
        arguments->dividends = dividends_;
    }


    void DividendVanillaOption::arguments::validate() const {
        #if defined(QL_PATCH_MSVC6)
        VanillaOption::arguments copy = *this;
        copy.validate();
        #else
        VanillaOption::arguments::validate();
        #endif

        QL_REQUIRE(dividends.size() == dividendDates.size(),
                   "the number of dividends is different from "
                   "the number of dates");

        Date exerciseDate = exercise->lastDate();

        for (Size i = 0; i < dividends.size(); i++) {
            QL_REQUIRE(dividendDates[i] <= exerciseDate,
                       "the " << io::ordinal(i) << " dividend date ("
                       << dividendDates[i]
                       << ") is later than the exercise date ("
                       << exerciseDate << ")");
        }
    }

}


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