/usr/include/ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp is in libquantlib0-dev 1.7.1-1.
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/*
Copyright (C) 2012 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
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 analytictwoassetbarrierengine.hpp
\brief Analytic engine for barrier option on two assets
*/
#ifndef quantlib_analytic_two_asset_barrier_engine_hpp
#define quantlib_analytic_two_asset_barrier_engine_hpp
#include <ql/experimental/exoticoptions/twoassetbarrieroption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
//! Analytic engine for barrier option on two assets
/*! The formulas are taken from "Option pricing formulas",
E.G. Haug, McGraw-Hill,
\ingroup barrierengines
\test the correctness of the returned value is tested by
reproducing results available in literature.
*/
class AnalyticTwoAssetBarrierEngine
: public TwoAssetBarrierOption::engine {
public:
AnalyticTwoAssetBarrierEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process1,
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process2,
const Handle<Quote>& rho);
void calculate() const;
private:
boost::shared_ptr<GeneralizedBlackScholesProcess> process1_;
boost::shared_ptr<GeneralizedBlackScholesProcess> process2_;
Handle<Quote> rho_;
// helper methods
Real underlying1() const;
Real underlying2() const;
Real strike() const;
Time residualTime() const;
Volatility volatility1() const;
Volatility volatility2() const;
Real barrier() const;
Real rho() const;
Rate riskFreeRate() const;
Rate dividendYield1() const;
Rate dividendYield2() const;
Rate costOfCarry1() const;
Rate costOfCarry2() const;
Real mu(Real b, Real vol) const;
Real d1() const;
Real d2() const;
Real d3() const;
Real d4() const;
Real e1() const;
Real e2() const;
Real e3() const;
Real e4() const;
Real call() const;
Real put() const;
Real A(Real eta, Real phi) const;
Real B(Real eta, Real phi) const;
Real M(Real m_a, Real m_b,Real rho) const;
};
}
#endif
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