Files

UpAndInOption.cpp

#include "UpAndInOption.h"
#include "BarrierOption.h"

using namespace std;


double UpAndInOption::payoff(
	const std::vector<double>& prices) const {
	int n = prices.size();
	double in = false;
	for (int i = 0; i<n; i++) {
		if (prices[i]>getBarrier()) {
			in = true;
		}
	}
	if (!in) {
		return 0.0;
	}
	double stockAtMaturity = prices.back();
	if (stockAtMaturity>getStrike()) {
		return stockAtMaturity - getStrike();
	}
	else {
		return 0.0;
	}
}

/////////////////////////////////////
//
//   TESTS
//
/////////////////////////////////////


void testUpAndInOption() {
	UpAndInOption o;
	o.setBarrier(100);
	o.setStrike(70);
	vector<double> prices;
	prices.push_back(120);
	prices.push_back(80);
	ASSERT_APPROX_EQUAL(o.payoff(prices), 10.0, 0.001);
	prices[0] = 90;
	ASSERT_APPROX_EQUAL(o.payoff(prices), 0.0, 0.001);
	prices[1] = 60;
	ASSERT_APPROX_EQUAL(o.payoff(prices), 0.0, 0.001);
}