/usr/include/ql/experimental/exoticoptions/analyticcompoundoptionengine.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 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 99 100 101 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Dimitri Reiswich
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 analyticcompoundoptionengine.hpp
\brief Analytic compound option engines
*/
#ifndef quantlib_analytic_compound_option_engine_hpp
#define quantlib_analytic_compound_option_engine_hpp
#include <ql/experimental/exoticoptions/compoundoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/bivariatenormaldistribution.hpp>
namespace QuantLib {
//! Pricing engine for compound options using analytical formulae
/*! The formulas are taken from "Foreign Exchange Risk",
Uwe Wystup, Risk 2002, where closed form Greeks are available.
(not available in Haug 2007).
Value: Page 84, Greeks: Pages 94-95.
\test the correctness of the returned value is tested by
reproducing results available in literature.
*/
class AnalyticCompoundOptionEngine : public CompoundOption::engine {
public:
AnalyticCompoundOptionEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process);
void calculate() const;
private:
CumulativeNormalDistribution N_;
NormalDistribution n_;
boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
// helper methods
Time residualTimeMother() const;
Time residualTimeDaughter() const;
Time residualTimeMotherDaughter() const;
Date maturityMother() const;
Date maturityDaughter() const;
Real dPlus() const;
Real dMinus() const;
Real dPlusTau12(Real S) const;
Real dMinusTau12() const;
Real strikeDaughter() const;
Real strikeMother() const;
Real spot() const;
Real volatilityDaughter() const;
Real volatilityMother() const;
Real riskFreeRateDaughter() const;
Real dividendRateDaughter() const;
Real stdDeviationDaughter() const;
Real stdDeviationMother() const;
Real typeDaughter() const;
Real typeMother() const;
Real transformX(Real X) const;
Real e(Real X) const;
DiscountFactor riskFreeDiscountDaughter() const;
DiscountFactor riskFreeDiscountMother() const;
DiscountFactor riskFreeDiscountMotherDaughter() const;
DiscountFactor dividendDiscountDaughter() const;
DiscountFactor dividendDiscountMother() const;
DiscountFactor dividendDiscountMotherDaughter() const;
boost::shared_ptr<PlainVanillaPayoff> payoffMother() const;
boost::shared_ptr<PlainVanillaPayoff> payoffDaughter() const;
};
}
#endif
|