/usr/include/ql/quotes/impliedstddevquote.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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2007, 2008 Ferdinando Ametrano
Copyright (C) 2006 François du Vignaud
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 impliedstddevquote.hpp
\brief quote for the implied standard deviation of an underlying
*/
#ifndef quantlib_implied_std_dev_quote_hpp
#define quantlib_implied_std_dev_quote_hpp
#include <ql/quote.hpp>
#include <ql/handle.hpp>
#include <ql/option.hpp>
namespace QuantLib {
//! %quote for the implied standard deviation of an underlying
class ImpliedStdDevQuote : public Quote,
public LazyObject {
public:
ImpliedStdDevQuote(Option::Type optionType,
const Handle<Quote>& forward,
const Handle<Quote>& price,
Real strike,
Real guess,
Real accuracy = 1.0e-6,
Natural maxIter = 100);
//! \name Quote interface
//@{
Real value() const;
bool isValid() const;
//@}
protected:
void performCalculations() const;
mutable Real impliedStdev_;
Option::Type optionType_;
Real strike_;
Real accuracy_;
Natural maxIter_;
Handle<Quote> forward_;
Handle<Quote> price_;
};
}
#endif
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