/usr/include/ql/instruments/quantovanillaoption.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) 2002, 2003 Ferdinando Ametrano
Copyright (C) 2007 StatPro Italia srl
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 quantovanillaoption.hpp
\brief Quanto version of a vanilla option
*/
#ifndef quantlib_quanto_vanilla_option_hpp
#define quantlib_quanto_vanilla_option_hpp
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
namespace QuantLib {
//! %Results from quanto option calculation
template<class ResultsType>
class QuantoOptionResults : public ResultsType {
public:
QuantoOptionResults() { reset() ;}
void reset() {
ResultsType::reset();
qvega = qrho = qlambda = Null<Real>();
}
Real qvega;
Real qrho;
Real qlambda;
};
//! quanto version of a vanilla option
/*! \ingroup instruments */
class QuantoVanillaOption : public OneAssetOption {
public:
typedef OneAssetOption::arguments arguments;
typedef QuantoOptionResults<OneAssetOption::results> results;
typedef GenericEngine<arguments, results> engine;
QuantoVanillaOption(const boost::shared_ptr<StrikedTypePayoff>&,
const boost::shared_ptr<Exercise>&);
//! \name greeks
//@{
Real qvega() const;
Real qrho() const;
Real qlambda() const;
//@}
void fetchResults(const PricingEngine::results*) const;
private:
void setupExpired() const;
// results
mutable Real qvega_, qrho_, qlambda_;
};
}
#endif
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