Logo Search packages:      
Sourcecode: quantlib version File versions


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

 Copyright (C) 2004, 2007 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

 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>
#include <ql/cashflows/cashflowvectors.hpp>

namespace QuantLib {

        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),
      cashFlow_(DividendVector(dividendDates, dividends)) {

00037     void DividendVanillaOption::setupArguments(
                                       PricingEngine::arguments* args) const {

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

        arguments->cashFlow = cashFlow_;

    void DividendVanillaOption::arguments::validate() const {

        Date exerciseDate = exercise->lastDate();

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


Generated by  Doxygen 1.6.0   Back to index