/usr/include/ql/instruments/dividendvanillaoption.hpp is in libquantlib0-dev 1.12-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 | /* -*- 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.
*/
/*! \file dividendvanillaoption.hpp
\brief Vanilla option on a single asset with discrete dividends
*/
#ifndef quantlib_dividend_vanilla_option_hpp
#define quantlib_dividend_vanilla_option_hpp
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/dividendschedule.hpp>
#include <ql/instruments/payoffs.hpp>
namespace QuantLib {
class GeneralizedBlackScholesProcess;
//! Single-asset vanilla option (no barriers) with discrete dividends
/*! \ingroup instruments */
class DividendVanillaOption : public OneAssetOption {
public:
class arguments;
class engine;
DividendVanillaOption(
const boost::shared_ptr<StrikedTypePayoff>& payoff,
const boost::shared_ptr<Exercise>& exercise,
const std::vector<Date>& dividendDates,
const std::vector<Real>& dividends);
/*! \warning see VanillaOption for notes on implied-volatility
calculation.
*/
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;
protected:
void setupArguments(PricingEngine::arguments*) const;
private:
DividendSchedule cashFlow_;
};
//! %Arguments for dividend vanilla option calculation
class DividendVanillaOption::arguments : public OneAssetOption::arguments {
public:
DividendSchedule cashFlow;
arguments() {}
void validate() const;
};
//! %Dividend-vanilla-option %engine base class
class DividendVanillaOption::engine
: public GenericEngine<DividendVanillaOption::arguments,
DividendVanillaOption::results> {};
}
#endif
|