/usr/include/ql/experimental/exoticoptions/analyticcomplexchooserengine.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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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 60 61 62 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
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 analyticcomplexchooserengine.hpp
\brief Analytic engine for complex chooser option
*/
#ifndef quantlib_analytic_complex_chooser_engine_hpp
#define quantlib_analytic_complex_chooser_engine_hpp
#include <ql/experimental/exoticoptions/complexchooseroption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/pricingengines/blackscholescalculator.hpp>
namespace QuantLib {
class AnalyticComplexChooserEngine : public ComplexChooserOption::engine {
public:
AnalyticComplexChooserEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process);
void calculate() const;
private:
boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
Real strike(Option::Type optionType) const;
Time choosingTime() const;
Time putMaturity() const;
Time callMaturity() const;
Volatility volatility(Time t) const;
Rate dividendYield(Time t) const;
DiscountFactor dividendDiscount(Time t) const;
Rate riskFreeRate(Time t) const;
DiscountFactor riskFreeDiscount(Time t) const;
BlackScholesCalculator bsCalculator(Real spot,
Option::Type optionType) const;
Real CriticalValueChooser() const;
Real ComplexChooser() const;
};
}
#endif
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