/usr/include/ql/methods/finitedifferences/shoutcondition.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005 StatPro Italia srl
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 shoutcondition.hpp
\brief shout option exercise condition
*/
#ifndef quantlib_fd_shout_condition_hpp
#define quantlib_fd_shout_condition_hpp
#include <ql/methods/finitedifferences/fdtypedefs.hpp>
#include <ql/discretizedasset.hpp>
#include <ql/instruments/payoffs.hpp>
namespace QuantLib {
//! Shout option condition
/*! A shout option is an option where the holder has the right to
lock in a minimum value for the payoff at one (shout) time
during the option's life. The minimum value is the option's
intrinsic value at the shout time.
*/
class ShoutCondition : public StandardCurveDependentStepCondition {
public:
ShoutCondition(Option::Type type,
Real strike,
Time resTime,
Rate rate);
ShoutCondition(const Array& intrinsicValues,
Time resTime,
Rate rate);
void applyTo(Array& a,
Time t) const;
private:
virtual Real applyToValue(Real current,
Real intrinsic) const {
return std::max(current, disc_ * intrinsic );
}
Time resTime_;
Rate rate_;
mutable DiscountFactor disc_;
};
inline ShoutCondition::ShoutCondition(Option::Type type,
Real strike, Time resTime,
Rate rate)
: StandardCurveDependentStepCondition(type, strike),
resTime_(resTime), rate_(rate) {}
inline ShoutCondition::ShoutCondition(const Array& intrinsicValues,
Time resTime, Rate rate)
: StandardCurveDependentStepCondition(intrinsicValues),
resTime_(resTime), rate_(rate) {}
inline void ShoutCondition::applyTo(Array& a, Time t) const {
disc_ = std::exp(-rate_ * (t - resTime_));
StandardCurveDependentStepCondition::applyTo(a, t);
}
}
#endif
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