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compoundoption.hpp

/* -*- 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.
*/

/*! \file compoundoption.hpp
    \brief Compound option on a single asset
*/

#ifndef quantlib_compound_option_hpp
#define quantlib_compound_option_hpp

#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/exercise.hpp>

namespace QuantLib {

    //! %Compound option on a single asset.
    /*! \ingroup instruments */
00035     class CompoundOption : public OneAssetOption {
      public:
        class arguments;
        class engine;

        // Mother is the Compound Option.
        // Daughter is the Option which plays the role of the underlying.
        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);

        void setupArguments(PricingEngine::arguments*) const;

      protected:
        boost::shared_ptr<OneAssetOption> motherOption_;
    };

00053     class CompoundOption::arguments : public OneAssetOption::arguments {
      public:
        boost::shared_ptr<OneAssetOption> motherOption;
        void validate() const;
    };

    //! %Compound-option %engine base class
00060     class CompoundOption::engine
        : public GenericEngine<CompoundOption::arguments,
                               CompoundOption::results> {};

}

#endif

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