optionGreeksDecorator.hpp

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#ifndef JULIAN_OPTIONGREEKSDECORATOR_HPP
#define JULIAN_OPTIONGREEKSDECORATOR_HPP

#include <pricingEngines/optionGreeks/optionGreeks.hpp>

namespace julian {
  class OptionGreeksDecorator: public OptionGreeks {
  public:
    OptionGreeksDecorator(SmartPointer<OptionGreeks> risks): risks_(risks) {}
    
    virtual GreeksIntermediateResults calculateRisks(const SmartPointer<MarketModel>& model,
                            const SmartPointer<PricingEngine>& prizer,
                            const SmartPointer<Option>& option) {
      return risks_->calculateRisks(model, prizer, option);
    }

    virtual std::map<std::string,double> getRisks(const SmartPointer<MarketModel>& model,
                          const SmartPointer<PricingEngine>& prizer,
                          const SmartPointer<Option>& option) {
      auto ret = risks_->calculateRisks(model, prizer, option);
      return ret.PV_and_Greeks_;
    }
    
    OptionGreeksDecorator* clone() const {
      return new OptionGreeksDecorator(*this);
    }
    
    virtual ~OptionGreeksDecorator(){};
  private:
    SmartPointer<OptionGreeks> risks_; 
  };
}

#endif /* JULIAN_OPTIONGREEKSDECORATOR_HPP */