spotRelatedRange.hpp

#ifndef MARIAN_SPOTRELATEDRANGE_HPP
#define MARIAN_SPOTRELATEDRANGE_HPP

#include <financial/gridRange/rangeSetup.hpp>

namespace marian {

  class SpotRelatedRange : public DCRangeSetup<SpotRelatedRange> {
  public:
    SpotRelatedRange():
      low_(0.5), up_(2.0) {}
      
    SpotRelatedRange(double low, double up):
      low_(low),up_(up) {}
    
    double getUpperBound(Market mkt,SmartPointer<Option>) const override {
      return mkt.spot * up_;
    }
  
    double getLowerBound(Market mkt,SmartPointer<Option>) const override {
      return mkt.spot * low_;
    }
    
    virtual ~SpotRelatedRange(){};
  private:
    double low_;  
    double up_;   
  };
  
}  // namespace marian

#endif /* MARIAN_SPOTRELATEDRANGE_HPP */