/usr/include/ql/instruments/multiassetoption.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.
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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2004 Neil Firth
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 multiassetoption.hpp
\brief Option on multiple assets
*/
#ifndef quantlib_multiasset_option_hpp
#define quantlib_multiasset_option_hpp
#include <ql/option.hpp>
namespace QuantLib {
//! Base class for options on multiple assets
class MultiAssetOption : public Option {
public:
class engine;
class results;
MultiAssetOption(const boost::shared_ptr<Payoff>&,
const boost::shared_ptr<Exercise>&);
//! \name Instrument interface
//@{
bool isExpired() const;
//@}
//! \name greeks
//@{
Real delta() const;
Real gamma() const;
Real theta() const;
Real vega() const;
Real rho() const;
Real dividendRho() const;
//@}
void setupArguments(PricingEngine::arguments*) const;
void fetchResults(const PricingEngine::results*) const;
protected:
void setupExpired() const;
// results
mutable Real delta_, gamma_, theta_,
vega_, rho_, dividendRho_;
};
//! %Results from multi-asset option calculation
class MultiAssetOption::results : public Instrument::results,
public Greeks {
public:
void reset() {
Instrument::results::reset();
Greeks::reset();
}
};
class MultiAssetOption::engine :
public GenericEngine<MultiAssetOption::arguments,
MultiAssetOption::results> {};
}
#endif
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