Files

ContinuousTimeOptionBase.h

#pragma once

#include "ContinuousTimeOption.h"
#include "BlackScholesModel.h"

/**
 *  Convenience class for eliminating the drudgery of
 *  writing option classes
 */
class ContinuousTimeOptionBase : public ContinuousTimeOption {
public:
    virtual ~ContinuousTimeOptionBase() {}

    double getMaturity() const {
        return maturity;
    }

    void setMaturity( double maturity ) {
        this->maturity = maturity;
    }

    double getStrike() const {
        return strike;
    }
    
    void setStrike( double strike ) {
        this->strike = strike;
    }

    /*  
     *  Convenience method to calculate an approximate price
     *  for the option using the most appropriate method for
     *  the given option. Note that since you can't control
     *  the accuracy of the calculation this isn't a good method
     *  for general use, but is handy for tests.
     */
    virtual double price( const BlackScholesModel& model ) const;

private:
    double maturity;
    double strike;
};

////////////////


void testContinuousTimeOptionBase();