/usr/include/ql/experimental/mcbasket/pathpayoff.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.
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/*
Copyright (C) 2008 Andrea Odetti
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 pathpayoff.hpp
\brief Option payoff classes
*/
#ifndef quantlib_path_payoff_hpp
#define quantlib_path_payoff_hpp
#include <ql/math/matrix.hpp>
#include <ql/patterns/visitor.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/handle.hpp>
#include <functional>
namespace QuantLib {
//! Abstract base class for path-dependent option payoffs
class PathPayoff : std::unary_function<Matrix, Disposable<Array> > {
public:
virtual ~PathPayoff() {}
//! \name Payoff interface
//@{
/*! \warning This method is used for output and comparison between
payoffs. It is <b>not</b> meant to be used for writing
switch-on-type code.
*/
virtual std::string name() const = 0;
virtual std::string description() const = 0;
/*
This function returns all the payoff and early termination payments
for a single path. If the option is cancelled at time i, all payments
on and before i are taken into account + the value of exercises[i].
i.e.: cancellation at i does not cancel payments[i]!
forwardTermStructures contains the yield term structure at each fixing date
leave states empty to signal exercise is not possible
in that case, exercises[] will not be accessed.
*/
virtual void value(const Matrix & path,
const std::vector<Handle<YieldTermStructure> > & forwardTermStructures,
Array & payments,
Array & exercises,
std::vector<Array> & states) const = 0;
/*
Dimension of the basis functions.
It must be the same as the size of every element of states in value().
*/
virtual Size basisSystemDimension() const = 0;
//@}
//! \name Visitability
//@{
virtual void accept(AcyclicVisitor&);
//@}
};
// inline definitions
inline void PathPayoff::accept(AcyclicVisitor& v) {
Visitor<PathPayoff>* v1 = dynamic_cast<Visitor<PathPayoff>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
QL_FAIL("not a path-payoff visitor");
}
}
#endif
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