/usr/include/ql/pricingengines/vanilla/fdconditions.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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Joseph Wang
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 fdconditions.hpp
\brief Finite-difference templates to generate engines
*/
#ifndef quantlib_fd_conditions_hpp
#define quantlib_fd_conditions_hpp
#include <ql/methods/finitedifferences/fdtypedefs.hpp>
#include <ql/methods/finitedifferences/americancondition.hpp>
#include <ql/methods/finitedifferences/shoutcondition.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/interestrate.hpp>
namespace QuantLib {
template <typename baseEngine>
class FDAmericanCondition : public baseEngine {
public:
FDAmericanCondition(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Size timeSteps = 100, Size gridPoints = 100,
bool timeDependent = false)
: baseEngine(process, timeSteps, gridPoints, timeDependent) {}
protected:
void initializeStepCondition() const {
baseEngine::stepCondition_ =
boost::shared_ptr<StandardStepCondition>(
new AmericanCondition(baseEngine::intrinsicValues_.values()));
}
};
template <typename baseEngine>
class FDShoutCondition : public baseEngine {
public:
FDShoutCondition(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Size timeSteps = 100, Size gridPoints = 100,
bool timeDependent = false)
: baseEngine(process, timeSteps, gridPoints, timeDependent) {}
protected:
void initializeStepCondition() const {
Time residualTime = baseEngine::getResidualTime();
Rate riskFreeRate = baseEngine::process_->riskFreeRate()
->zeroRate(residualTime, Continuous);
baseEngine::stepCondition_ =
boost::shared_ptr<StandardStepCondition>(
new ShoutCondition(baseEngine::intrinsicValues_.values(),
residualTime,
riskFreeRate));
}
};
}
#endif
|