/usr/include/ql/rebatedexercise.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) 2013 Peter Caspers
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 rebatedexercise.hpp
\brief Option exercise with rebate payments
*/
#ifndef quantlib_rebatedexercise_hpp
#define quantlib_rebatedexercise_hpp
#include <ql/exercise.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/errors.hpp>
namespace QuantLib {
//! Rebated exercise
/*! in case of exercise the holder receives a rebate (if positive) or pays
it (if negative)
on the rebate settlement date
*/
class RebatedExercise : public Exercise {
public:
// in case of exercise the holder receives the rebate
// (if positive) or pays it (if negative) on the rebate
// settlement date
RebatedExercise(const Exercise &exercise, const Real rebate = 0.0,
const Natural rebateSettlementDays = 0,
const Calendar &rebatePaymentCalendar = NullCalendar(),
const BusinessDayConvention rebatePaymentConvention =
Following);
RebatedExercise(const Exercise &exercise,
const std::vector<Real> &rebates,
const Natural rebateSettlementDays = 0,
const Calendar &rebatePaymentCalendar = NullCalendar(),
const BusinessDayConvention rebatePaymentConvention =
Following);
Real rebate(Size index) const;
Date rebatePaymentDate(Size index) const;
const std::vector<Real> &rebates() const { return rebates_; }
private:
const std::vector<Real> rebates_;
const Natural rebateSettlementDays_;
const Calendar rebatePaymentCalendar_;
const BusinessDayConvention rebatePaymentConvention_;
};
inline Real RebatedExercise::rebate(Size index) const {
QL_REQUIRE(index < rebates_.size(),
"rebate with index " << index << " does not exist (0..."
<< (rebates_.size()-1) << ")");
return rebates_[index];
}
inline Date RebatedExercise::rebatePaymentDate(Size index) const {
QL_REQUIRE(type_ == European || type_ == Bermudan,
"for american style exercises the rebate payment date "
<< "has to be calculted in the client code");
return rebatePaymentCalendar_.advance(dates_[index],
rebateSettlementDays_, Days,
rebatePaymentConvention_);
}
}
#endif
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