/usr/include/ql/experimental/barrieroption/analyticdoublebarrierbinaryengine.hpp is in libquantlib0-dev 1.7.1-1.
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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2015 Thema Consulting SA
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 analyticdoublebarrierbinaryengine.hpp
\brief analytic binary double barrier (one-touch double barrier) option engine
*/
#ifndef quantlib_binary_double_barrier_engine_hpp
#define quantlib_binary_double_barrier_engine_hpp
#include <ql/experimental/barrieroption/doublebarrieroption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
//! Analytic pricing engine for double barrier binary options
/*! This engine implements C.H.Hui series ("One-Touch Double Barrier
Binary Option Values", Applied Financial Economics 6/1996), as
described in "The complete guide to option pricing formulas 2nd Ed",
E.G. Haug, McGraw-Hill, p.180
The Knock In part of KI+KO and KO+KI options pays at hit, while the
Double Knock In pays at end.
This engine thus requires European esercise for Double Knock options,
and American exercise for KIKO/KOKI.
\ingroup barrierengines
greeks are calculated by simple numeric derivation
\test
- the correctness of the returned value is tested by reproducing
results available in literature.
*/
class AnalyticDoubleBarrierBinaryEngine : public DoubleBarrierOption::engine {
public:
AnalyticDoubleBarrierBinaryEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>&);
void calculate() const;
private:
boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
};
}
#endif
|