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compoundoption.cpp

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

/*
 Copyright (C) 2009 Dimitri Reiswich

 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/compoundoption/compoundoption.hpp>

namespace QuantLib {

    CompoundOption::CompoundOption(
                   const boost::shared_ptr<StrikedTypePayoff>& motherPayoff,
                   const boost::shared_ptr<Exercise>& motherExercise,
                   const boost::shared_ptr<StrikedTypePayoff>& daughterPayoff,
                   const boost::shared_ptr<Exercise>& daughterExercise)
    : OneAssetOption(daughterPayoff, daughterExercise),
      motherOption_(new OneAssetOption(motherPayoff,motherExercise)) {}

00032     void CompoundOption::setupArguments(PricingEngine::arguments* args) const {

        OneAssetOption::setupArguments(args);

        CompoundOption::arguments* moreArgs =
            dynamic_cast<CompoundOption::arguments*>(args);

        QL_REQUIRE(moreArgs != 0, "wrong argument type");

        moreArgs->motherOption= motherOption_;
    }


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

        OneAssetOption::arguments::validate();

        QL_REQUIRE(motherOption->payoff(),
                   "No payoff given for mother compound option.");
        QL_REQUIRE(motherOption->exercise(),
                   "No exercise given for mother compound option.");
        QL_REQUIRE(motherOption->exercise()->lastDate()<=exercise->lastDate(),
                   "Maturity of mother option exceeds "
                   "maturity of daughter option.");
    }

}

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