/usr/include/ql/pricingengines/vanilla/analyticeuropeanengine.hpp is in libquantlib0-dev 1.12-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2002, 2003, 2004 Ferdinando Ametrano
Copyright (C) 2002, 2003 RiskMap srl
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 analyticeuropeanengine.hpp
\brief Analytic European engine
*/
#ifndef quantlib_analytic_european_engine_hpp
#define quantlib_analytic_european_engine_hpp
#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
//! Pricing engine for European vanilla options using analytical formulae
/*! \ingroup vanillaengines
\test
- the correctness of the returned value is tested by
reproducing results available in literature.
- the correctness of the returned greeks is tested by
reproducing results available in literature.
- the correctness of the returned greeks is tested by
reproducing numerical derivatives.
- the correctness of the returned implied volatility is tested
by using it for reproducing the target value.
- the implied-volatility calculation is tested by checking
that it does not modify the option.
- the correctness of the returned value in case of
cash-or-nothing digital payoff is tested by reproducing
results available in literature.
- the correctness of the returned value in case of
asset-or-nothing digital payoff is tested by reproducing
results available in literature.
- the correctness of the returned value in case of gap digital
payoff is tested by reproducing results available in
literature.
- the correctness of the returned greeks in case of
cash-or-nothing digital payoff is tested by reproducing
numerical derivatives.
*/
class AnalyticEuropeanEngine : public VanillaOption::engine {
public:
/*! This constructor triggers the usual calculation, in which
the risk-free rate in the given process is used for both
forecasting and discounting.
*/
AnalyticEuropeanEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>&);
/*! This constructor allows to use a different term structure
for discounting the payoff. As usual, the risk-free rate
from the given process is used for forecasting the forward
price.
*/
AnalyticEuropeanEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
const Handle<YieldTermStructure>& discountCurve);
void calculate() const;
private:
boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
Handle<YieldTermStructure> discountCurve_;
};
}
#endif
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