/usr/include/ql/pricingengines/vanilla/fddividendshoutengine.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) 2005 Joseph Wang
Copyright (C) 2009 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 fddividendshoutengine.hpp
\brief base class for shout engine with dividends
*/
#ifndef quantlib_fd_dividend_shout_engine_hpp
#define quantlib_fd_dividend_shout_engine_hpp
#include <ql/instruments/dividendvanillaoption.hpp>
#include <ql/pricingengines/vanilla/fddividendengine.hpp>
#include <ql/pricingengines/vanilla/fdconditions.hpp>
#include <ql/methods/finitedifferences/shoutcondition.hpp>
namespace QuantLib {
//! Finite-differences shout engine with dividends
/*! \ingroup vanillaengines */
template <template <class> class Scheme = CrankNicolson>
class FDDividendShoutEngine
: public FDEngineAdapter<FDShoutCondition<FDDividendEngine<Scheme> >,
DividendVanillaOption::engine> {
typedef FDEngineAdapter<FDShoutCondition<FDDividendEngine<Scheme> >,
DividendVanillaOption::engine> super;
public:
FDDividendShoutEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Size timeSteps=100, Size gridPoints=100,
bool timeDependent = false)
: super(process, timeSteps, gridPoints,timeDependent) {}
};
template <template <class> class Scheme = CrankNicolson>
class FDDividendShoutEngineMerton73
: public FDEngineAdapter<FDShoutCondition<
FDDividendEngineMerton73<Scheme> >,
DividendVanillaOption::engine> {
typedef FDEngineAdapter<FDShoutCondition<
FDDividendEngineMerton73<Scheme> >,
DividendVanillaOption::engine> super;
public:
FDDividendShoutEngineMerton73(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Size timeSteps=100, Size gridPoints=100,
bool timeDependent = false)
: super(process, timeSteps, gridPoints,timeDependent) {}
};
template <template <class> class Scheme = CrankNicolson>
class FDDividendShoutEngineShiftScale
: public FDEngineAdapter<FDShoutCondition<
FDDividendEngineShiftScale<Scheme> >,
DividendVanillaOption::engine> {
typedef FDEngineAdapter<FDShoutCondition<
FDDividendEngineShiftScale<Scheme> >,
DividendVanillaOption::engine> super;
public:
FDDividendShoutEngineShiftScale(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Size timeSteps=100, Size gridPoints=100,
bool timeDependent = false)
: super(process, timeSteps, gridPoints,timeDependent) {}
};
}
#endif
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