Logo Search packages:      
Sourcecode: quantlib version File versions  Download package


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

 Copyright (C) 2008 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis

 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/experimental/exoticoptions/everestoption.hpp>
#include <ql/instruments/payoffs.hpp>

namespace QuantLib {

    EverestOption::EverestOption(Real notional,
                                 Rate guarantee,
                                 const boost::shared_ptr<Exercise>& exercise)
    : MultiAssetOption(boost::shared_ptr<Payoff>(new NullPayoff), exercise),
      notional_(notional), guarantee_(guarantee) {}

    Rate EverestOption::yield() const {
        QL_REQUIRE(yield_ != Null<Rate>(), "yield not provided");
        return yield_;

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

        EverestOption::arguments* arguments =
        QL_REQUIRE(arguments != 0, "wrong argument type");

        arguments->notional = notional_;
        arguments->guarantee= guarantee_;

00048     void EverestOption::fetchResults(const PricingEngine::results* r) const {
        const EverestOption::results* results =
            dynamic_cast<const EverestOption::results*>(r);
        QL_ENSURE(results != 0,
                  "no results returned from pricing engine");
        yield_ = results->yield;

    : notional(Null<Real>()), guarantee(Null<Rate>()) {}

    void EverestOption::arguments::validate() const {
        QL_REQUIRE(notional != Null<Rate>(), "no notional given");
        QL_REQUIRE(notional != 0.0, "null notional given");
        QL_REQUIRE(guarantee != Null<Rate>(), "no guarantee given");

    void EverestOption::results::reset() {
        yield = Null<Rate>();


Generated by  Doxygen 1.6.0   Back to index