/usr/include/ql/experimental/barrieroption/analyticdoublebarrierengine.hpp is in libquantlib0-dev 1.4-2.
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 Yue Tian
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 option engine
*/
#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 barrier options using analytical formulae
/*! The formulas are taken from "Barrier Option Pricing",
Wulin Suo, Yong Wang.
\ingroup barrierengines
\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_;
const int series_;
CumulativeNormalDistribution f_;
// helper methods
Real underlying() const;
Real strike() const;
Time residualTime() const;
Volatility volatility() const;
Real barrier() const;
Real rebate() const;
Real stdDeviation() const;
Rate riskFreeRate() const;
DiscountFactor riskFreeDiscount() const;
Rate dividendYield() const;
DiscountFactor dividendDiscount() const;
Real D(Real X, Real lambda, Real sigma, Real T) const;
};
}
#endif
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