1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2003, 2006 Ferdinando Ametrano
5 Copyright (C) 2006 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file payoff.hpp
22 \brief Option payoff classes
23*/
24
25#ifndef quantlib_payoff_hpp
26#define quantlib_payoff_hpp
27
28#include <ql/types.hpp>
29#include <ql/patterns/visitor.hpp>
30#include <ql/errors.hpp>
31#include <functional>
32
33namespace QuantLib {
34
35 //! Abstract base class for option payoffs
36 class Payoff {
37 public:
38 /*! \deprecated Use `auto` or `decltype` instead.
39 Deprecated in version 1.29.
40 */
41 QL_DEPRECATED
42 typedef Real argument_type;
43
44 /*! \deprecated Use `auto` or `decltype` instead.
45 Deprecated in version 1.29.
46 */
47 QL_DEPRECATED
48 typedef Real result_type;
49
50 virtual ~Payoff() = default;
51 //! \name Payoff interface
52 //@{
53 /*! \warning This method is used for output and comparison between
54 payoffs. It is <b>not</b> meant to be used for writing
55 switch-on-type code.
56 */
57 virtual std::string name() const = 0;
58 virtual std::string description() const = 0;
59 virtual Real operator()(Real price) const = 0;
60 //@}
61 //! \name Visitability
62 //@{
63 virtual void accept(AcyclicVisitor&);
64 //@}
65 };
66
67
68 // inline definitions
69
70 inline void Payoff::accept(AcyclicVisitor& v) {
71 auto* v1 = dynamic_cast<Visitor<Payoff>*>(&v);
72 if (v1 != nullptr)
73 v1->visit(*this);
74 else
75 QL_FAIL("not a payoff visitor");
76 }
77
78}
79
80
81#endif
82

source code of quantlib/ql/payoff.hpp