/usr/include/ql/experimental/barrieroption/analyticdoublebarrierengine.hpp is in libquantlib0-dev 1.9.1-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2015 Thema Consulting SA
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 analyticdoublebarrierengine.hpp
\brief Analytic double barrier european option engines
! Valid only if strike is in barrier range
*/
#ifndef quantlib_analytic_double_barrier_engine_hpp
#define quantlib_analytic_double_barrier_engine_hpp
#include <ql/experimental/barrieroption/doublebarrieroption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
namespace QuantLib {
//! Pricing engine for double barrier european options using analytical formulae
/*! The formulas are taken from "The complete guide to option pricing formulas 2nd Ed",
E.G. Haug, McGraw-Hill, p.156 and following.
Implements the Ikeda and Kunitomo series (see "Pricing Options with
Curved Boundaries" Mathematical Finance 2/1992").
This code handles only flat barriers
\ingroup barrierengines
\note the formula holds only when strike is in the barrier range
\test the correctness of the returned value is tested by
reproducing results available in literature.
*/
class AnalyticDoubleBarrierEngine : public DoubleBarrierOption::engine {
public:
AnalyticDoubleBarrierEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
int series = 5);
void calculate() const;
private:
boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
CumulativeNormalDistribution f_;
int series_;
// helper methods
Real underlying() const;
Real strike() const;
Time residualTime() const;
Volatility volatility() const;
Real volatilitySquared() const;
Real barrierLo() const;
Real barrierHi() const;
Real rebate() const;
Real stdDeviation() const;
Rate riskFreeRate() const;
DiscountFactor riskFreeDiscount() const;
Rate dividendYield() const;
Rate costOfCarry() const;
DiscountFactor dividendDiscount() const;
Real vanillaEquivalent() const;
Real callKO() const;
Real putKO() const;
Real callKI() const;
Real putKI() const;
};
}
#endif
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