text: /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
  
  /*
   Copyright (C) 2004, 2007 StatPro Italia srl
  
   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/instruments/dividendvanillaoption.hpp>
  #include <ql/instruments/impliedvolatility.hpp>
  #include <ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp>
  #include <ql/pricingengines/vanilla/fddividendamericanengine.hpp>
  #include <ql/utilities/dataformatters.hpp>
  #include <ql/cashflows/cashflowvectors.hpp>
  #include <ql/exercise.hpp>
  #include <memory>
  #include <algorithm>
  
  namespace QuantLib {
  
      DividendVanillaOption::DividendVanillaOption(
                             const std::shared_ptr<StrikedTypePayoff>& payoff,
                             const std::shared_ptr<Exercise>& exercise,
                             const std::vector<Date>& dividendDates,
                             const std::vector<Real>& dividends)
      : OneAssetOption(payoff, exercise),
        cashFlow_(DividendVector(dividendDates, dividends)) {}
  
  
      Volatility DividendVanillaOption::impliedVolatility(
               Real targetValue,
               const std::shared_ptr<GeneralizedBlackScholesProcess>& process,
               Real accuracy,
               Size maxEvaluations,
               Volatility minVol,
               Volatility maxVol) const {
  
          QL_REQUIRE(!isExpired(), "option expired");
  
          std::shared_ptr<SimpleQuote> volQuote = std::make_shared<SimpleQuote>();
  
          std::shared_ptr<GeneralizedBlackScholesProcess> newProcess =
              detail::ImpliedVolatilityHelper::clone(process, volQuote);
  
          // engines are built-in for the time being
          std::unique_ptr<PricingEngine> engine;
          switch (exercise_->type()) {
            case Exercise::European:
              engine = std::make_unique<AnalyticDividendEuropeanEngine>(newProcess);
              break;
            case Exercise::American:
              engine = std::make_unique<FDDividendAmericanEngine<CrankNicolson>>(
                                                                   newProcess);
              break;
            case Exercise::Bermudan:
              QL_FAIL("engine not available for Bermudan option with dividends");
              break;
            default:
              QL_FAIL("unknown exercise type");
          }
  
          return detail::ImpliedVolatilityHelper::calculate(*this,
                                                            *engine,
                                                            *volQuote,
                                                            targetValue,
                                                            accuracy,
                                                            maxEvaluations,
                                                            minVol, maxVol);
      }
  
  
      void DividendVanillaOption::setupArguments(
                                         PricingEngine::arguments* args) const {
          OneAssetOption::setupArguments(args);
  
          DividendVanillaOption::arguments* arguments =
              dynamic_cast<DividendVanillaOption::arguments*>(args);
          QL_REQUIRE(arguments != 0, "wrong engine type");
  
          arguments->cashFlow = cashFlow_;
      }
  
  
      void DividendVanillaOption::arguments::validate() const {
          OneAssetOption::arguments::validate();
  
          Date exerciseDate = exercise->lastDate();
  
          for (Size i = 0; i < cashFlow.size(); i++) {
              QL_REQUIRE(cashFlow[i]->date() <= exerciseDate,
                         "the " << io::ordinal(i+1) << " dividend date ("
                         << cashFlow[i]->date()
                         << ") is later than the exercise date ("
                         << exerciseDate << ")");
          }
      }
  
  }
  
  