/usr/include/ql/experimental/exoticoptions/margrabeoption.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2010 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 margrabeoption.hpp
\brief Margrabe option on two assets
*/
#ifndef quantlib_margrabe_option_hpp
#define quantlib_margrabe_option_hpp
#include <ql/instruments/multiassetoption.hpp>
namespace QuantLib {
//! Margrabe option on two assets
/*! This option gives the holder the right to exchange Q2 stocks
of the second asset for Q1 stocks of the first at expiration.
\ingroup instruments
*/
class MargrabeOption : public MultiAssetOption {
public:
class arguments;
class results;
class engine;
MargrabeOption(Integer Q1,
Integer Q2,
const boost::shared_ptr<Exercise>&);
void setupArguments(PricingEngine::arguments*) const;
Real delta1() const;
Real delta2() const;
Real gamma1() const;
Real gamma2() const;
void fetchResults(const PricingEngine::results*) const;
protected:
Integer Q1_;
Integer Q2_;
mutable Real delta1_, delta2_, gamma1_, gamma2_;
};
//! Extra %arguments for Margrabe option
class MargrabeOption::arguments
: public MultiAssetOption::arguments {
public:
arguments() : Q1(Null<Integer>()),
Q2(Null<Integer>()) {}
void validate() const;
Integer Q1;
Integer Q2;
};
//! Extra %results for Margrabe option
class MargrabeOption::results
: public MultiAssetOption::results {
public:
results() : delta1(Null<Real>()),
delta2(Null<Real>()),
gamma1(Null<Real>()),
gamma2(Null<Real>()) {}
Real delta1;
Real delta2;
Real gamma1;
Real gamma2;
void reset() {
MultiAssetOption::results::reset();
delta1 = Null<Real>();
delta2 = Null<Real>();
gamma1 = Null<Real>();
gamma2 = Null<Real>();
}
};
//! %Margrabe option %engine base class
class MargrabeOption::engine
: public GenericEngine<MargrabeOption::arguments,
MargrabeOption::results> {};
}
#endif
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