/usr/include/ql/experimental/exoticoptions/analyticholderextensibleoptionengine.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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/*
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 analyticholderextensibleoptionengine.hpp
\brief Analytic engine for holder-extensible options
*/
#ifndef quantlib_analytic_holder_extensible_option_engine_hpp
#define quantlib_analytic_holder_extensible_option_engine_hpp
#include <ql/experimental/exoticoptions/holderextensibleoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/pricingengines/blackscholescalculator.hpp>
namespace QuantLib {
class AnalyticHolderExtensibleOptionEngine
: public HolderExtensibleOption::engine {
public:
AnalyticHolderExtensibleOptionEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process);
void calculate() const;
private:
boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
Real strike() const;
Time firstExpiryTime() const;
Time secondExpiryTime() const;
Volatility volatility() const;
Rate riskFreeRate() const;
Rate dividendYield() const;
DiscountFactor dividendDiscount(Time t) const;
DiscountFactor riskFreeDiscount(Time t) const;
Real I1Call() const;
Real I2Call() const;
Real I1Put() const;
Real I2Put() const;
BlackScholesCalculator bsCalculator(Real spot, Option::Type optionType) const;
Real M2(Real a, Real b, Real c, Real d, Real rho) const;
Real N2(Real a, Real b) const;
Real y1(Option::Type) const;
Real y2(Option::Type) const;
Real z1() const;
Real z2() const;
};
}
#endif
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