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varianceoption.cpp

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

/*
 Copyright (C) 2008 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/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.
*/

#include <ql/experimental/varianceoption/varianceoption.hpp>

namespace QuantLib {

    VarianceOption::VarianceOption(
                          const boost::shared_ptr<Payoff>& payoff,
                          Real notional,
                          const Date& startDate,
                          const Date& maturityDate)
    : payoff_(payoff), notional_(notional),
      startDate_(startDate), maturityDate_(maturityDate) {}

00032     void VarianceOption::setupArguments(PricingEngine::arguments* args) const {
        VarianceOption::arguments* arguments =
            dynamic_cast<VarianceOption::arguments*>(args);
        QL_REQUIRE(arguments != 0, "wrong argument type");

        arguments->payoff = payoff_;
        arguments->notional = notional_;
        arguments->startDate = startDate_;
        arguments->maturityDate = maturityDate_;
    }

    void VarianceOption::arguments::validate() const {
        QL_REQUIRE(payoff, "no strike given");
        QL_REQUIRE(notional != Null<Real>(), "no notional given");
        QL_REQUIRE(notional > 0.0, "negative or null notional given");
        QL_REQUIRE(startDate != Date(), "null start date given");
        QL_REQUIRE(maturityDate != Date(), "null maturity date given");
    }

00051     bool VarianceOption::isExpired() const {
        return maturityDate_ < Settings::instance().evaluationDate();
    }

}



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