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VanillaOption.h
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VanillaOption.h
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#pragma once
#include <cmath>
#include <cassert>
#include "Option.h"
namespace SiriusFM
{
// Generic European or American (bur not Asian) Call:
template <typename AssetClassA, typename AssetClassB>
class CallOption final : public Option <AssetClassA, AssetClassB>
{
private:
double const m_K; // Strike, K > 0
public:
CallOption (AssetClassA a_assetA,
AssetClassB a_assetB,
double a_K,
time_t a_expirTime,
bool a_isAmerican) :
Option <AssetClassA, AssetClassB>
(a_assetA, a_assetB, a_expirTime, a_isAmerican, false),
m_K(a_K)
{
if (m_K <= 0)
{
throw std::invalid_argument("Negative Strike");
}
}
virtual double PayOff (long a_L,
double const * a_path,
double const * a_t = nullptr) const override
{
assert(a_L > 0 && a_path != nullptr);
return std::max <double> (a_path[a_L - 1] - m_K, 0.0);
}
~CallOption () override {}
};
// Generic European or American (but not Asian) Put:
template <typename AssetClassA, typename AssetClassB>
class PutOption final : public Option <AssetClassA, AssetClassB>
{
private:
double const m_K; // Strike, K > 0
public:
PutOption (AssetClassA a_assetA,
AssetClassB a_assetB,
double a_K,
time_t a_expirTime,
bool a_isAmerican) :
Option <AssetClassA, AssetClassB>
(a_assetA, a_assetB, a_expirTime, a_isAmerican, false),
m_K(a_K)
{
if (m_K <= 0)
{
throw std::invalid_argument("Negative Strike");
}
}
virtual double PayOff (long a_L,
double const * a_path,
double const * a_t = nullptr) const override
{
assert(a_L > 0 && a_path != nullptr);
return std::max <double> (m_K - a_path[a_L - 1], 0.0);
}
~PutOption () override {}
};
//-----------------------------------------------------------------------//
// Alias:
using CallOptionFX = CallOption <CcyE, CcyE>;
using PutOptionFX = PutOption <CcyE, CcyE>;
}