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forwardvanillaoption.hpp

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

/*
 Copyright (C) 2002, 2003 Ferdinando Ametrano
 Copyright (C) 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
 <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.
*/

/*! \file forwardvanillaoption.hpp
    \brief Forward version of a vanilla option
*/

#ifndef quantlib_forward_vanilla_option_hpp
#define quantlib_forward_vanilla_option_hpp

#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/time/date.hpp>

namespace QuantLib {

    //! %Arguments for forward (strike-resetting) option calculation
    template <class ArgumentsType>
00036     class ForwardOptionArguments : public ArgumentsType {
      public:
        ForwardOptionArguments() : moneyness(Null<Real>()),
                                   resetDate(Null<Date>()) {}
        void validate() const;
        Real moneyness;
        Date resetDate;
    };

    //! %Forward version of a vanilla option
    /*! \ingroup instruments */
00047     class ForwardVanillaOption : public OneAssetOption {
      public:
        typedef ForwardOptionArguments<OneAssetOption::arguments> arguments;
        typedef OneAssetOption::results results;
        ForwardVanillaOption(Real moneyness,
                             const Date& resetDate,
                             const boost::shared_ptr<StrikedTypePayoff>& payoff,
                             const boost::shared_ptr<Exercise>& exercise);
        void setupArguments(PricingEngine::arguments*) const;
        void fetchResults(const PricingEngine::results*) const;
      private:
        // arguments
        Real moneyness_;
        Date resetDate_;
    };

}


#endif


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