/src/quantlib/ql/exercise.hpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb |
5 | | Copyright (C) 2003 Ferdinando Ametrano |
6 | | Copyright (C) 2006 StatPro Italia srl |
7 | | |
8 | | This file is part of QuantLib, a free-software/open-source library |
9 | | for financial quantitative analysts and developers - http://quantlib.org/ |
10 | | |
11 | | QuantLib is free software: you can redistribute it and/or modify it |
12 | | under the terms of the QuantLib license. You should have received a |
13 | | copy of the license along with this program; if not, please email |
14 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
15 | | <http://quantlib.org/license.shtml>. |
16 | | |
17 | | This program is distributed in the hope that it will be useful, but WITHOUT |
18 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
19 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
20 | | */ |
21 | | |
22 | | /*! \file exercise.hpp |
23 | | \brief Option exercise classes and payoff function |
24 | | */ |
25 | | |
26 | | #ifndef quantlib_exercise_type_h |
27 | | #define quantlib_exercise_type_h |
28 | | |
29 | | #include <ql/time/date.hpp> |
30 | | #include <vector> |
31 | | |
32 | | namespace QuantLib { |
33 | | |
34 | | //! Base exercise class |
35 | | class Exercise { |
36 | | public: |
37 | | enum Type { |
38 | | American, Bermudan, European |
39 | | }; |
40 | | // constructor |
41 | 521k | explicit Exercise(Type type) : type_(type) {} |
42 | 521k | virtual ~Exercise() = default; |
43 | | // inspectors |
44 | 0 | Type type() const { return type_; } |
45 | 0 | Date date(Size index) const { return dates_[index]; } |
46 | 0 | Date dateAt(Size index) const { return dates_.at(index); } |
47 | | //! Returns all exercise dates |
48 | 0 | const std::vector<Date>& dates() const { return dates_; } |
49 | | Date lastDate() const; |
50 | | protected: |
51 | | std::vector<Date> dates_; |
52 | | Type type_; |
53 | | }; |
54 | | |
55 | | //! Early-exercise base class |
56 | | /*! The payoff can be at exercise (the default) or at expiry */ |
57 | | class EarlyExercise : public Exercise { |
58 | | public: |
59 | | EarlyExercise(Type type, |
60 | | bool payoffAtExpiry = false) |
61 | 521k | : Exercise(type), payoffAtExpiry_(payoffAtExpiry) {} |
62 | 0 | bool payoffAtExpiry() const { return payoffAtExpiry_; } |
63 | | private: |
64 | | bool payoffAtExpiry_; |
65 | | }; |
66 | | |
67 | | //! American exercise |
68 | | /*! An American option can be exercised at any time between two |
69 | | predefined dates; the first date might be omitted, in which |
70 | | case the option can be exercised at any time before the expiry. |
71 | | |
72 | | \todo check that everywhere the American condition is applied |
73 | | from earliestDate and not earlier |
74 | | */ |
75 | | class AmericanExercise : public EarlyExercise { |
76 | | public: |
77 | | AmericanExercise(const Date& earliestDate, |
78 | | const Date& latestDate, |
79 | | bool payoffAtExpiry = false); |
80 | | AmericanExercise(const Date& latestDate, |
81 | | bool payoffAtExpiry = false); |
82 | | }; |
83 | | |
84 | | //! Bermudan exercise |
85 | | /*! A Bermudan option can only be exercised at a set of fixed dates. |
86 | | */ |
87 | | class BermudanExercise : public EarlyExercise { |
88 | | public: |
89 | | BermudanExercise(const std::vector<Date>& dates, |
90 | | bool payoffAtExpiry = false); |
91 | | }; |
92 | | |
93 | | //! European exercise |
94 | | /*! A European option can only be exercised at one (expiry) date. |
95 | | */ |
96 | | class EuropeanExercise : public Exercise { |
97 | | public: |
98 | | EuropeanExercise(const Date& date); |
99 | | }; |
100 | | |
101 | | } |
102 | | |
103 | | |
104 | | #endif |