/usr/include/ql/pricingengines/basket/kirkengine.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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 Klaus Spanderen
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 kirkengine.hpp
\brief kirk formulae, due to Kirk (1995)
*/
#ifndef quantlib_kirk_engine_hpp
#define quantlib_kirk_engine_hpp
#include <ql/instruments/basketoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
//! Pricing engine for spread option on two futures
/*! This class implements formulae from
"Correlation in the Energy Markets", E. Kirk
Managing Energy Price Risk.
London: Risk Publications and Enron, pp. 71-78
\ingroup basketengines
\test the correctness of the returned value is tested by
reproducing results available in literature.
*/
class KirkEngine : public BasketOption::engine {
public:
KirkEngine(
const boost::shared_ptr<BlackProcess>& process1,
const boost::shared_ptr<BlackProcess>& process2,
Real correlation);
void calculate() const;
private:
boost::shared_ptr<BlackProcess> process1_;
boost::shared_ptr<BlackProcess> process2_;
Real rho_;
};
}
#endif
|