/usr/include/ql/experimental/exoticoptions/compoundoption.hpp is in libquantlib0-dev 1.7.1-1.
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) 2009 Dimitri Reiswich
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 compoundoption.hpp
\brief Compound option on a single asset
*/
#ifndef quantlib_compound_option_hpp
#define quantlib_compound_option_hpp
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
//! %Compound option on a single asset.
/*! \ingroup instruments */
class CompoundOption : public OneAssetOption {
public:
class arguments;
class engine;
// Mother is the compound Option.
// Daughter is the option which plays the role of the underlying.
CompoundOption(const boost::shared_ptr<StrikedTypePayoff>& motherPayoff,
const boost::shared_ptr<Exercise>& motherExercise,
const boost::shared_ptr<StrikedTypePayoff>& daughterPayoff,
const boost::shared_ptr<Exercise>& daughterExercise);
void setupArguments(PricingEngine::arguments*) const;
private:
boost::shared_ptr<StrikedTypePayoff> daughterPayoff_;
boost::shared_ptr<Exercise> daughterExercise_;
};
class CompoundOption::arguments : public OneAssetOption::arguments {
public:
boost::shared_ptr<StrikedTypePayoff> daughterPayoff;
boost::shared_ptr<Exercise> daughterExercise;
void validate() const;
};
//! %Compound-option %engine base class
class CompoundOption::engine
: public GenericEngine<CompoundOption::arguments,
CompoundOption::results> {};
}
#endif
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