/usr/include/ql/experimental/exoticoptions/himalayaoption.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) 2008 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
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 himalayaoption.hpp
\brief Himalaya option on a number of assets
*/
#ifndef quantlib_himalaya_option_hpp
#define quantlib_himalaya_option_hpp
#include <ql/instruments/multiassetoption.hpp>
#include <ql/time/date.hpp>
#include <vector>
namespace QuantLib {
//! Himalaya option
/*! The payoff of a Himalaya option is computed in the following
way: Given a basket of N assets, and N time periods, at the
end of each period the option who performed the best is added
to the average and then discarded from the basket. At the end
of the N, periods the option pays the max between the strike
and the average of the best performers.
\warning This implementation still does not manage seasoned
options.
*/
class HimalayaOption : public MultiAssetOption {
public:
class engine;
class arguments;
class results;
HimalayaOption(const std::vector<Date>& fixingDates,
Real strike);
void setupArguments(PricingEngine::arguments*) const;
private:
std::vector<Date> fixingDates_;
};
class HimalayaOption::arguments : public MultiAssetOption::arguments {
public:
arguments();
void validate() const;
std::vector<Date> fixingDates;
};
class HimalayaOption::results : public MultiAssetOption::results {};
class HimalayaOption::engine
: public GenericEngine<HimalayaOption::arguments,
HimalayaOption::results> {};
}
#endif
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