/usr/include/ql/experimental/exoticoptions/everestoption.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) 2008 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 everestoption.hpp
\brief Everest option on a number of assets
*/
#ifndef quantlib_everest_option_hpp
#define quantlib_everest_option_hpp
#include <ql/instruments/multiassetoption.hpp>
namespace QuantLib {
class EverestOption : public MultiAssetOption {
public:
class engine;
class arguments;
class results;
EverestOption(Real notional,
Rate guarantee,
const boost::shared_ptr<Exercise>&);
Rate yield() const;
void setupArguments(PricingEngine::arguments*) const;
void fetchResults(const PricingEngine::results*) const;
private :
Real notional_;
Rate guarantee_;
mutable Rate yield_;
};
class EverestOption::arguments : public MultiAssetOption::arguments {
public:
arguments();
void validate() const;
Real notional;
Rate guarantee;
};
class EverestOption::results : public MultiAssetOption::results {
public:
void reset();
Rate yield;
};
class EverestOption::engine
: public GenericEngine<EverestOption::arguments,
EverestOption::results> {};
}
#endif
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