/usr/include/ql/instruments/stickyratchet.hpp is in libquantlib0-dev 1.4-2+b1.
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) 2007 Marco Bianchetti
Copyright (C) 2007 Giorgio Facchinetti
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 stickyratchet.hpp
\brief Payoffs for double nested options of sticky or ratchet type
*/
#ifndef quantlib_stickyratchet_hpp
#define quantlib_stickyratchet_hpp
#include <ql/option.hpp>
#include <ql/payoff.hpp>
namespace QuantLib {
class AcyclicVisitor;
//! Intermediate class for single/double sticky/ratchet payoffs.
// initialValues can be a (forward) rate or a coupon/accrualFactor
class DoubleStickyRatchetPayoff : public Payoff {
public:
DoubleStickyRatchetPayoff(Real type1, Real type2,
Real gearing1, Real gearing2, Real gearing3,
Real spread1, Real spread2, Real spread3,
Real initialValue1, Real initialValue2,
Real accrualFactor)
: type1_(type1), type2_(type2),
gearing1_(gearing1), gearing2_(gearing2), gearing3_(gearing3),
spread1_(spread1), spread2_(spread2), spread3_(spread3),
initialValue1_(initialValue1), initialValue2_(initialValue2),
accrualFactor_(accrualFactor) {}
//! \name Payoff interface
//@{
std::string name() const;
Real operator()(Real forward) const;
std::string description() const;
virtual void accept(AcyclicVisitor&);
//@}
protected:
Real type1_ ,type2_;
Real gearing1_, gearing2_, gearing3_;
Real spread1_, spread2_, spread3_;
Real initialValue1_, initialValue2_, accrualFactor_;
};
//! Ratchet payoff (single option)
class RatchetPayoff : public DoubleStickyRatchetPayoff {
public:
RatchetPayoff(Real gearing1, Real gearing2,
Real spread1, Real spread2,
Real initialValue, Real accrualFactor)
: DoubleStickyRatchetPayoff(-1.0, 0.0,
gearing1, 0.0, gearing2,
spread1, 0.0, spread2,
initialValue, 0.0,
accrualFactor) {}
//! \name Payoff interface
//@{
std::string name() const { return "Ratchet";}
//@}
};
//! Sticky payoff (single option)
class StickyPayoff : public DoubleStickyRatchetPayoff {
public:
StickyPayoff(Real gearing1, Real gearing2,
Real spread1, Real spread2,
Real initialValue, Real accrualFactor)
: DoubleStickyRatchetPayoff(+1.0, 0.0,
gearing1, 0.0, gearing2,
spread1, 0.0, spread2,
initialValue, 0.0,
accrualFactor) {}
//! \name Payoff interface
//@{
std::string name() const { return "Sticky";}
//@}
};
//! RatchetMax payoff (double option)
class RatchetMaxPayoff : public DoubleStickyRatchetPayoff {
public:
RatchetMaxPayoff(Real gearing1, Real gearing2, Real gearing3,
Real spread1, Real spread2, Real spread3,
Real initialValue1, Real initialValue2,
Real accrualFactor)
: DoubleStickyRatchetPayoff(-1.0, -1.0,
gearing1, gearing2, gearing3,
spread1, spread2, spread3,
initialValue1, initialValue2,
accrualFactor) {}
//! \name Payoff interface
//@{
std::string name() const { return "RatchetMax";}
//@}
};
//! RatchetMin payoff (double option)
class RatchetMinPayoff : public DoubleStickyRatchetPayoff {
public:
RatchetMinPayoff(Real gearing1, Real gearing2, Real gearing3,
Real spread1, Real spread2, Real spread3,
Real initialValue1, Real initialValue2,
Real accrualFactor)
: DoubleStickyRatchetPayoff(-1.0, +1.0,
gearing1, gearing2, gearing3,
spread1, spread2, spread3,
initialValue1, initialValue2,
accrualFactor) {}
//! \name Payoff interface
//@{
std::string name() const { return "RatchetMin";}
//@}
};
//! StickyMax payoff (double option)
class StickyMaxPayoff : public DoubleStickyRatchetPayoff {
public:
StickyMaxPayoff(Real gearing1, Real gearing2, Real gearing3,
Real spread1, Real spread2, Real spread3,
Real initialValue1, Real initialValue2,
Real accrualFactor)
: DoubleStickyRatchetPayoff(+1.0, -1.0,
gearing1, gearing2, gearing3,
spread1, spread2, spread3,
initialValue1, initialValue2,
accrualFactor) {}
//! \name Payoff interface
//@{
std::string name() const { return "StickyMax";}
//@}
};
//! StickyMin payoff (double option)
class StickyMinPayoff : public DoubleStickyRatchetPayoff {
public:
StickyMinPayoff(Real gearing1, Real gearing2, Real gearing3,
Real spread1, Real spread2, Real spread3,
Real initialValue1, Real initialValue2,
Real accrualFactor)
: DoubleStickyRatchetPayoff(+1.0, +1.0,
gearing1, gearing2, gearing3,
spread1, spread2, spread3,
initialValue1, initialValue2,
accrualFactor) {}
//! \name Payoff interface
//@{
std::string name() const { return "StickyMin";}
//@}
};
/*---------------------------------------------------------------------------------
// Old code for single sticky/ratchet payoffs,
// superated by DoubleStickyRatchetPayoff class above
//! Intermediate class for sticky/ratchet payoffs
// initialValue can be a (forward) rate or a coupon/accrualFactor
class StickyRatchetPayoff : public Payoff {
public:
StickyRatchetPayoff(Real type,
Real gearing1, Real gearing2,
Real spread1, Real spread2,
Real initialValue, Real accrualFactor)
: type_(type), gearing1_(gearing1), gearing2_(gearing2),
spread1_(spread1), spread2_(spread2), initialValue_(initialValue),
accrualFactor_(accrualFactor) {}
//! \name Payoff interface
//@{
Real operator()(Real forward) const;
std::string description() const;
virtual void accept(AcyclicVisitor&);
//@}
protected:
Real type_;
Real gearing1_, gearing2_;
Real spread1_, spread2_;
Real initialValue_, accrualFactor_;
};
//! Ratchet_2 payoff
class RatchetPayoff_2 : public StickyRatchetPayoff {
public:
RatchetPayoff_2(Real gearing1, Real gearing2,
Real spread1, Real spread2,
Real initialValue, Real accrualFactor)
: StickyRatchetPayoff(-1,
gearing1, gearing2,
spread1, spread2,
initialValue, accrualFactor) {}
//! \name Payoff interface
//@{
std::string name() const { return "Ratchet";}
//@}
};
//! Sticky_2 payoff
class StickyPayoff_2 : public StickyRatchetPayoff {
public:
StickyPayoff_2(Real gearing1, Real gearing2,
Real spread1, Real spread2,
Real initialValue, Real accrualFactor)
: StickyRatchetPayoff(+1,
gearing1, gearing2,
spread1, spread2,
initialValue, accrualFactor) {}
//! \name Payoff interface
//@{
std::string name() const { return "Sticky";}
//@}
};
-----------------------------------------------------------------------------*/
}
#endif
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