/usr/include/ql/instruments/cliquetoption.hpp is in libquantlib0-dev 1.12-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2003, 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.
*/
/*! \file cliquetoption.hpp
\brief Cliquet option
*/
#ifndef ql_cliquet_option_hpp
#define ql_cliquet_option_hpp
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/time/date.hpp>
#include <vector>
namespace QuantLib {
class EuropeanExercise;
//! cliquet (Ratchet) option
/*! A cliquet option, also known as Ratchet option, is a series of
forward-starting (a.k.a. deferred strike) options where the
strike for each forward start option is set equal to a fixed
percentage of the spot price at the beginning of each period.
\todo
- add local/global caps/floors
- add accrued coupon and last fixing
\ingroup instruments
*/
class CliquetOption : public OneAssetOption {
public:
class arguments;
class engine;
CliquetOption(const boost::shared_ptr<PercentageStrikePayoff>&,
const boost::shared_ptr<EuropeanExercise>& maturity,
const std::vector<Date>& resetDates);
void setupArguments(PricingEngine::arguments*) const;
private:
std::vector<Date> resetDates_;
};
//! %Arguments for cliquet option calculation
// should inherit from a strikeless version of VanillaOption::arguments
class CliquetOption::arguments : public OneAssetOption::arguments {
public:
arguments() : accruedCoupon(Null<Real>()),
lastFixing(Null<Real>()),
localCap(Null<Real>()),
localFloor(Null<Real>()),
globalCap(Null<Real>()),
globalFloor(Null<Real>()) {}
void validate() const;
Real accruedCoupon, lastFixing;
Real localCap, localFloor, globalCap, globalFloor;
std::vector<Date> resetDates;
};
//! Cliquet %engine base class
class CliquetOption::engine
: public GenericEngine<CliquetOption::arguments,
CliquetOption::results> {};
}
#endif
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