/usr/include/ql/pricingengines/americanpayoffathit.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) 2004 Ferdinando Ametrano
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 americanpayoffathit.hpp
\brief Analytical formulae for american exercise with payoff at hit
*/
#ifndef quantlib_americanpayoffathit_h
#define quantlib_americanpayoffathit_h
#include <ql/instruments/payoffs.hpp>
namespace QuantLib {
//! Analytic formula for American exercise payoff at-hit options
/*! \todo calculate greeks */
class AmericanPayoffAtHit {
public:
AmericanPayoffAtHit(
Real spot,
DiscountFactor discount,
DiscountFactor dividendDiscount,
Real variance,
const boost::shared_ptr<StrikedTypePayoff>& payoff);
Real value() const;
Real delta() const;
Real gamma() const;
Real rho(Time maturity) const;
private:
Real spot_;
DiscountFactor discount_, dividendDiscount_;
Real variance_;
Volatility stdDev_;
Real strike_, K_, DKDstrike_;
Real mu_, lambda_, muPlusLambda_, muMinusLambda_, log_H_S_;
Real D1_, D2_, cum_d1_, cum_d2_;
Real alpha_, beta_, DalphaDd1_, DbetaDd2_;
bool inTheMoney_;
Real forward_, X_, DXDstrike_;
};
// inline definitions
inline Real AmericanPayoffAtHit::value() const {
return K_ * (forward_ * alpha_ + X_ * beta_);
}
}
#endif
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