europeanOpt.hpp

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#ifndef JULIAN_EUROPEANOPT_HPP
#define JULIAN_EUROPEANOPT_HPP

#include <instruments/options/option.hpp>

namespace julian {
  class EuropeanOpt: public Option {
  public:
    EuropeanOpt(){};
    EuropeanOpt(Date trade_date, Date start_date, Date expiry_date, Date delivery_date ,
        double notional, double strike, CallPut icp);

    double prizeAnalytically(const SmartPointer<MarketModel>&) const override;
    double prizePaths(std::vector<Path>,double) const override;
    
    Date getExpiry() const override;
    Date getMaturity() const override;
    double getStrike() const override;

    void recordFixing(Date,double) override;
    
    CallPut getType() const;
    double payoff(double) const override;

    std::tuple<Date,Date,double,double,CallPut> getSettings() const;
    
    virtual EuropeanOpt* clone() const override;

    virtual ~EuropeanOpt(){};

    friend std::ostream& operator<<(std::ostream&, EuropeanOpt&);
    friend class boost::serialization::access;
  private:
    Date trade_date_;   
    Date start_date_;   
    Date expiry_date_;  
    Date delivery_date_;  
    double notional_;   
    double strike_; 
    CallPut icp_; 
    template<class Archive>
    void serialize(Archive & ar, const unsigned int){
      boost::serialization::base_object<Option>(*this);
      ar & BOOST_SERIALIZATION_NVP(trade_date_);
      ar & BOOST_SERIALIZATION_NVP(start_date_);
      ar & BOOST_SERIALIZATION_NVP(expiry_date_);
      ar & BOOST_SERIALIZATION_NVP(delivery_date_);

      ar & BOOST_SERIALIZATION_NVP(notional_);
      ar & BOOST_SERIALIZATION_NVP(strike_);
      ar & BOOST_SERIALIZATION_NVP(icp_);
    }
    
  };
} // julian
#endif