/usr/include/ql/instruments/forwardvanillaoption.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) 2002, 2003 Ferdinando Ametrano
Copyright (C) 2007 StatPro Italia srl
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 forwardvanillaoption.hpp
\brief Forward version of a vanilla option
*/
#ifndef quantlib_forward_vanilla_option_hpp
#define quantlib_forward_vanilla_option_hpp
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/exercise.hpp>
#include <ql/settings.hpp>
namespace QuantLib {
//! %Arguments for forward (strike-resetting) option calculation
template <class ArgumentsType>
class ForwardOptionArguments : public ArgumentsType {
public:
ForwardOptionArguments() : moneyness(Null<Real>()),
resetDate(Null<Date>()) {}
void validate() const;
Real moneyness;
Date resetDate;
};
//! %Forward version of a vanilla option
/*! \ingroup instruments */
class ForwardVanillaOption : public OneAssetOption {
public:
typedef ForwardOptionArguments<OneAssetOption::arguments> arguments;
typedef OneAssetOption::results results;
ForwardVanillaOption(Real moneyness,
const Date& resetDate,
const boost::shared_ptr<StrikedTypePayoff>& payoff,
const boost::shared_ptr<Exercise>& exercise);
void setupArguments(PricingEngine::arguments*) const;
void fetchResults(const PricingEngine::results*) const;
private:
// arguments
Real moneyness_;
Date resetDate_;
};
// template definitions
template <class ArgumentsType>
inline void ForwardOptionArguments<ArgumentsType>::validate() const {
ArgumentsType::validate();
QL_REQUIRE(moneyness != Null<Real>(), "null moneyness given");
QL_REQUIRE(moneyness > 0.0, "negative or zero moneyness given");
QL_REQUIRE(resetDate != Null<Date>(), "null reset date given");
QL_REQUIRE(resetDate >= Settings::instance().evaluationDate(),
"reset date in the past");
QL_REQUIRE(this->exercise->lastDate() > resetDate,
"reset date later or equal to maturity");
}
}
#endif
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