/usr/include/ql/experimental/finitedifferences/vanillavppoption.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) 2011 Klaus Spanderen
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 vanillavppoption.hpp
\brief vanilla virtual power plant option
*/
#ifndef quantlib_vanilla_vpp_option_hpp
#define quantlib_vanilla_vpp_option_hpp
#include <ql/instruments/multiassetoption.hpp>
namespace QuantLib {
class BasketPayoff;
class SwingExercise;
class VanillaVPPOption : public MultiAssetOption {
public:
class arguments;
VanillaVPPOption(Real heatRate,
Real pMin, Real pMax,
Size tMinUp, Size tMinDown,
Real startUpFuel, Real startUpFixCost,
const boost::shared_ptr<SwingExercise>& exercise,
Size nStarts = Null<Size>(),
Size nRunningHours = Null<Size>());
bool isExpired() const;
void setupArguments(PricingEngine::arguments*) const;
private:
const Real heatRate_;
const Real pMin_, pMax_;
const Size tMinUp_, tMinDown_;
const Real startUpFuel_, startUpFixCost_;
const Size nStarts_, nRunningHours_;
};
class VanillaVPPOption::arguments
: public virtual MultiAssetOption::arguments {
public:
arguments() {}
void validate() const;
Real heatRate;
Real pMin, pMax;
Size tMinUp, tMinDown;
Real startUpFuel, startUpFixCost;
Size nStarts, nRunningHours;
};
}
#endif
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