/usr/include/ql/experimental/exoticoptions/partialtimebarrieroption.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.
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 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 | /* -*- 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 partialtimebarrieroption.hpp
\brief Partial-time barrier option
*/
#ifndef quantlib_partial_time_barrier_option_hpp
#define quantlib_partial_time_barrier_option_hpp
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/barriertype.hpp>
#include <ql/instruments/payoffs.hpp>
namespace QuantLib {
class GeneralizedBlackScholesProcess;
struct PartialBarrier : public Barrier {
enum Range { Start, End, EndB1, EndB2 };
};
class PartialTimeBarrierOption : public OneAssetOption {
public:
class arguments;
class engine;
PartialTimeBarrierOption(PartialBarrier::Type barrierType,
PartialBarrier::Range barrierRange,
Real barrier,
Real rebate,
Date coverEventDate,
const boost::shared_ptr<StrikedTypePayoff>& payoff,
const boost::shared_ptr<Exercise>& exercise);
void setupArguments(PricingEngine::arguments*) const;
protected:
PartialBarrier::Type barrierType_;
PartialBarrier::Range barrierRange_;
Real barrier_;
Real rebate_;
Date coverEventDate_;
};
//! %Arguments for barrier option calculation
class PartialTimeBarrierOption::arguments
: public OneAssetOption::arguments {
public:
arguments();
PartialBarrier::Type barrierType;
PartialBarrier::Range barrierRange;
Real barrier;
Real rebate;
Date coverEventDate;
void validate() const;
};
//! %Partial-Time-Barrier-Option %engine base class
class PartialTimeBarrierOption::engine
: public GenericEngine<PartialTimeBarrierOption::arguments,
PartialTimeBarrierOption::results> {
};
}
#endif
|