/usr/include/ql/methods/montecarlo/earlyexercisepathpricer.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) 2006 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 earlyexercisepathpricer.hpp
\brief base class for early exercise single-path pricers
*/
#ifndef quantlib_early_exercise_path_pricer_hpp
#define quantlib_early_exercise_path_pricer_hpp
#include <ql/math/array.hpp>
#include <ql/methods/montecarlo/path.hpp>
#include <ql/methods/montecarlo/multipath.hpp>
#include <boost/function.hpp>
namespace QuantLib {
template <class PathType>
class EarlyExerciseTraits {
// dummy definition, will not work
};
template <>
class EarlyExerciseTraits<Path> {
public:
typedef Real StateType;
static Size pathLength(const Path& path) {
return path.length();
}
};
template <>
class EarlyExerciseTraits<MultiPath> {
public:
typedef Array StateType;
static Size pathLength(const MultiPath& path) {
return path.pathSize();
}
};
//! base class for early exercise path pricers
/*! Returns the value of an option on a given path and given time.
\ingroup mcarlo
*/
template<class PathType,
class TimeType=Size, class ValueType=Real>
class EarlyExercisePathPricer {
public:
typedef typename EarlyExerciseTraits<PathType>::StateType StateType;
virtual ~EarlyExercisePathPricer() {}
virtual ValueType operator()(const PathType& path,
TimeType t) const = 0;
virtual StateType
state(const PathType& path, TimeType t) const = 0;
virtual std::vector<boost::function1<ValueType, StateType> >
basisSystem() const = 0;
};
}
#endif
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