text: /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
  
  /*
   Copyright (C) 2015 Thema Consulting SA
  
   This file is part of QuantLib, a free-software/open-source library
   for financial quantitative analysts and developers - http://quantlib.org/
  
   QuantLib is free software: you can redistribute it and/or modify it
   under the terms of the QuantLib license.  You should have received a
   copy of the license along with this program; if not, please email
   <quantlib-dev@lists.sf.net>. The license is also available online at
   <http://quantlib.org/license.shtml>.
  
   This program is distributed in the hope that it will be useful, but WITHOUT
   ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
   FOR A PARTICULAR PURPOSE.  See the license for more details.
  */
  
  #include <ql/experimental/barrieroption/doublebarrieroption.hpp>
  #include <ql/experimental/barrieroption/analyticdoublebarrierengine.hpp>
  #include <ql/instruments/impliedvolatility.hpp>
  #include <ql/exercise.hpp>
  #include <boost/scoped_ptr.hpp>
  
  namespace QuantLib {
  
      DoubleBarrierOption::DoubleBarrierOption(
          DoubleBarrier::Type barrierType,
          Real barrier_lo,
          Real barrier_hi,
          Real rebate,
          const ext::shared_ptr<StrikedTypePayoff>& payoff,
          const ext::shared_ptr<Exercise>& exercise)
      : OneAssetOption(payoff, exercise),
        barrierType_(barrierType), barrier_lo_(barrier_lo), 
        barrier_hi_(barrier_hi), rebate_(rebate) {}
  
      void DoubleBarrierOption::setupArguments(PricingEngine::arguments* args) const {
  
          OneAssetOption::setupArguments(args);
  
          DoubleBarrierOption::arguments* moreArgs =
              dynamic_cast<DoubleBarrierOption::arguments*>(args);
          QL_REQUIRE(moreArgs != 0, "wrong argument type");
          moreArgs->barrierType = barrierType_;
          moreArgs->barrier_lo = barrier_lo_;
          moreArgs->barrier_hi = barrier_hi_;
          moreArgs->rebate = rebate_;
      }
  
  
      Volatility DoubleBarrierOption::impliedVolatility(
               Real targetValue,
               const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
               Real accuracy,
               Size maxEvaluations,
               Volatility minVol,
               Volatility maxVol) const {
  
          QL_REQUIRE(!isExpired(), "option expired");
  
          ext::shared_ptr<SimpleQuote> volQuote(new SimpleQuote);
  
          ext::shared_ptr<GeneralizedBlackScholesProcess> newProcess =
              detail::ImpliedVolatilityHelper::clone(process, volQuote);
  
          // engines are built-in for the time being
          boost::scoped_ptr<PricingEngine> engine;
          switch (exercise_->type()) {
            case Exercise::European:
              engine.reset(new AnalyticDoubleBarrierEngine(newProcess));
              break;
            case Exercise::American:
            case Exercise::Bermudan:
              QL_FAIL("engine not available for non-European barrier option");
              break;
            default:
              QL_FAIL("unknown exercise type");
          }
  
          return detail::ImpliedVolatilityHelper::calculate(*this,
                                                            *engine,
                                                            *volQuote,
                                                            targetValue,
                                                            accuracy,
                                                            maxEvaluations,
                                                            minVol, maxVol);
      }
  
  
      DoubleBarrierOption::arguments::arguments()
      : barrierType(DoubleBarrier::Type(-1)), barrier_lo(Null<Real>()),
        barrier_hi(Null<Real>()), rebate(Null<Real>()) {}
  
      void DoubleBarrierOption::arguments::validate() const {
          OneAssetOption::arguments::validate();
  
          QL_REQUIRE(barrierType == DoubleBarrier::KnockIn ||
                     barrierType == DoubleBarrier::KnockOut ||
                     barrierType == DoubleBarrier::KIKO ||
                     barrierType == DoubleBarrier::KOKI,
                     "Invalid barrier type");
  
          QL_REQUIRE(barrier_lo != Null<Real>(), "no low barrier given");
          QL_REQUIRE(barrier_hi != Null<Real>(), "no high barrier given");
          QL_REQUIRE(rebate != Null<Real>(), "no rebate given");
      }
  
      bool DoubleBarrierOption::engine::triggered(Real underlying) const {
          return underlying <= arguments_.barrier_lo || underlying >= arguments_.barrier_hi;
      }
  
  }
  
  