/usr/include/ql/instruments/vanillaoption.hpp is in libquantlib0-dev 1.4-2+b1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 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.
*/
/*! \file vanillaoption.hpp
\brief Vanilla option on a single asset
*/
#ifndef quantlib_vanilla_option_hpp
#define quantlib_vanilla_option_hpp
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
namespace QuantLib {
class GeneralizedBlackScholesProcess;
//! Vanilla option (no discrete dividends, no barriers) on a single asset
/*! \ingroup instruments */
class VanillaOption : public OneAssetOption {
public:
VanillaOption(const boost::shared_ptr<StrikedTypePayoff>&,
const boost::shared_ptr<Exercise>&);
/*! \warning currently, this method returns the Black-Scholes
implied volatility using analytic formulas for
European options and a finite-difference method
for American and Bermudan options. It will give
unconsistent results if the pricing was performed
with any other methods (such as jump-diffusion
models.)
\warning options with a gamma that changes sign (e.g.,
binary options) have values that are <b>not</b>
monotonic in the volatility. In these cases, the
calculation can fail and the result (if any) is
almost meaningless. Another possible source of
failure is to have a target value that is not
attainable with any volatility, e.g., a target
value lower than the intrinsic value in the case
of American options.
*/
Volatility impliedVolatility(
Real price,
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Real accuracy = 1.0e-4,
Size maxEvaluations = 100,
Volatility minVol = 1.0e-7,
Volatility maxVol = 4.0) const;
};
}
#endif
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