/usr/include/ql/experimental/mcbasket/adaptedpathpayoff.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) 2009 Andrea Odetti
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 adaptedpathpayoff.hpp
\brief Adapted Option payoff classes
*/
#ifndef quantlib_adapted_path_payoff_hpp
#define quantlib_adapted_path_payoff_hpp
#include <ql/experimental/mcbasket/pathpayoff.hpp>
namespace QuantLib {
class AdaptedPathPayoff : public PathPayoff {
public:
class ValuationData {
public:
Size numberOfTimes() const;
Size numberOfAssets() const;
Real getAssetValue(Size time, Size asset);
const Handle<YieldTermStructure> & getYieldTermStructure(Size time);
void setPayoffValue(Size time, Real value);
// set the exercise payoff if the option is exercised at time "time"
// it destroys state
void setExerciseData(Size time, Real exercise, Array & state);
private:
friend class AdaptedPathPayoff;
ValuationData(const Matrix & path,
const std::vector<Handle<YieldTermStructure> > & forwardTermStructures,
Array & payments,
Array & exercises,
std::vector<Array> & states);
const Matrix & path_;
const std::vector<Handle<YieldTermStructure> > & forwardTermStructures_;
Array & payments_;
Array & exercises_;
std::vector<Array> & states_;
Size maximumTimeRead_;
};
virtual void value(const Matrix & path,
const std::vector<Handle<YieldTermStructure> > & forwardTermStructures,
Array & payments,
Array & exercises,
std::vector<Array> & states) const;
protected:
/*
Key method of this class.
It computes the payoff by calling ValuationData::setPayoffValue();
and provides early exercise information
via ValuationData::setExerciseData();
*/
virtual void operator()(ValuationData & data) const = 0;
};
}
#endif
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