/usr/include/ql/experimental/exoticoptions/writerextensibleoption.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) 2011 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 writerextensibleoption.hpp
\brief Writer-extensible option
*/
#ifndef quantlib_writer_extensible_option_hpp
#define quantlib_writer_extensible_option_hpp
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
//! Writer-extensible option
class WriterExtensibleOption : public OneAssetOption {
public:
class arguments;
class engine;
/*!
\param payoff1 The first payoff
\param exercise1 The first exercise date
\param payoff2 The payoff of the extended option
\param exercise2 The second exercise date
*/
WriterExtensibleOption(
const boost::shared_ptr<PlainVanillaPayoff>& payoff1,
const boost::shared_ptr<Exercise>& exercise1,
const boost::shared_ptr<PlainVanillaPayoff>& payoff2,
const boost::shared_ptr<Exercise>& exercise2);
// inspectors
boost::shared_ptr<Payoff> payoff2() { return payoff2_; }
boost::shared_ptr<Exercise> exercise2() { return exercise2_; };
// Instrument interface
bool isExpired() const;
void setupArguments(PricingEngine::arguments*) const;
private:
boost::shared_ptr<StrikedTypePayoff> payoff2_;
boost::shared_ptr<Exercise> exercise2_;
};
//! Additional arguments for writer-extensible option
class WriterExtensibleOption::arguments
: public OneAssetOption::arguments {
public:
void validate() const;
boost::shared_ptr<Payoff> payoff2;
boost::shared_ptr<Exercise> exercise2;
};
//! Base engine
class WriterExtensibleOption::engine :
public GenericEngine<WriterExtensibleOption::arguments,
WriterExtensibleOption::results> {};
}
#endif
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