/usr/include/ql/instruments/vanillastorageoption.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.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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 vanillastorageoption.hpp
\brief vanilla storage option class
*/
#ifndef quantlib_vanilla_storage_option_hpp
#define quantlib_vanilla_storage_option_hpp
#include <ql/event.hpp>
#include <ql/exercise.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/instruments/oneassetoption.hpp>
namespace QuantLib {
//! base option class
class VanillaStorageOption : public OneAssetOption {
public:
class arguments;
VanillaStorageOption(const boost::shared_ptr<BermudanExercise>& ex,
Real capacity, Real load, Real changeRate)
: OneAssetOption(boost::shared_ptr<Payoff>(new NullPayoff), ex),
capacity_ (capacity),
load_ (load),
changeRate_(changeRate) {}
bool isExpired() const;
void setupArguments(PricingEngine::arguments*) const;
private:
const Real capacity_;
const Real load_;
const Real changeRate_;
};
class VanillaStorageOption::arguments
: public virtual PricingEngine::arguments {
public:
arguments() {}
void validate() const {
QL_REQUIRE(payoff, "no payoff given");
QL_REQUIRE(exercise, "no exercise given");
QL_REQUIRE(capacity > 0.0 && changeRate > 0.0 && load >= 0.0,
"positive capacity, load and change rate required");
QL_REQUIRE(load <= capacity && changeRate <= capacity,
"illegal values load of changeRate");
QL_REQUIRE( std::fabs(capacity/changeRate
- std::floor(capacity/changeRate+0.5)) < QL_EPSILON
&& std::fabs(load/changeRate
- std::floor(load/changeRate+0.5)) < QL_EPSILON,
"load and capacity must be multiple of changeRate");
}
Real capacity;
Real load;
Real changeRate;
boost::shared_ptr<NullPayoff> payoff;
boost::shared_ptr<BermudanExercise> exercise;
};
inline void VanillaStorageOption::setupArguments(
PricingEngine::arguments* args) const {
VanillaStorageOption::arguments* arguments =
dynamic_cast<VanillaStorageOption::arguments*>(args);
QL_REQUIRE(arguments != 0, "wrong argument type");
arguments->payoff
= boost::dynamic_pointer_cast<NullPayoff>(payoff_);
arguments->exercise
= boost::dynamic_pointer_cast<BermudanExercise>(exercise_);
arguments->capacity = capacity_;
arguments->load = load_;
arguments->changeRate = changeRate_;
}
inline bool VanillaStorageOption::isExpired() const {
return detail::simple_event(exercise_->lastDate()).hasOccurred();
}
}
#endif
|