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

/*

 Copyright (C) 2010 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

 <https://www.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 margrabeoption.hpp

    \brief Margrabe option on two assets

*/

#ifndef quantlib_margrabe_option_hpp

#define quantlib_margrabe_option_hpp

#include <ql/instruments/multiassetoption.hpp>

namespace QuantLib {

    //! Margrabe option on two assets

    /*! This option gives the holder the right to exchange Q2 stocks

        of the second asset for Q1 stocks of the first at expiration.

        \ingroup instruments

    */

    class MargrabeOption : public MultiAssetOption {

      public:

        class arguments;

        class results;

        class engine;

        MargrabeOption(Integer Q1,

                       Integer Q2,

                       const ext::shared_ptr<Exercise>&);

        void setupArguments(PricingEngine::arguments*) const override;

        Real delta1() const;

        Real delta2() const;

        Real gamma1() const;

        Real gamma2() const;

        void fetchResults(const PricingEngine::results*) const override;

      protected:

        Integer Q1_;

        Integer Q2_;

        mutable Real delta1_, delta2_, gamma1_, gamma2_;

    };

    //! Extra %arguments for Margrabe option

    class MargrabeOption::arguments : public MultiAssetOption::arguments {

      public:

        arguments() = default;

        void validate() const override;

        Integer Q1 = Null<Integer>();

        Integer Q2 = Null<Integer>();

    };

    //! Extra %results for Margrabe option

    class MargrabeOption::results : public MultiAssetOption::results {

      public:

        results() = default;

        Real delta1 = Null<Real>();

        Real delta2 = Null<Real>();

        Real gamma1 = Null<Real>();

        Real gamma2 = Null<Real>();

        void reset() override {

            MultiAssetOption::results::reset();

            delta1 = Null<Real>();

            delta2 = Null<Real>();

            gamma1 = Null<Real>();

            gamma2 = Null<Real>();

        }

    };

    //! %Margrabe option %engine base class

    class MargrabeOption::engine : public GenericEngine<MargrabeOption::arguments,

                                                        MargrabeOption::results> {};

}

#endif