/usr/include/ql/pricingengines/barrier/discretizedbarrieroption.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) 2014 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 discretizedbarrieroption.hpp
\brief discretized barrier option
*/
#ifndef quantlib_discretized_barrier_option_h
#define quantlib_discretized_barrier_option_h
#include <ql/discretizedasset.hpp>
#include <ql/methods/lattices/bsmlattice.hpp>
#include <ql/instruments/barrieroption.hpp>
#include <ql/pricingengines/vanilla/discretizedvanillaoption.hpp>
namespace QuantLib {
class DiscretizedBarrierOption : public DiscretizedAsset {
public:
DiscretizedBarrierOption(const BarrierOption::arguments&,
const StochasticProcess& process,
const TimeGrid& grid = TimeGrid());
void reset(Size size);
const Array& vanilla() const {
return vanilla_.values();
}
const BarrierOption::arguments& arguments() const {
return arguments_;
}
std::vector<Time> mandatoryTimes() const {
return stoppingTimes_;
}
void checkBarrier(Array &optvalues, const Array &grid) const;
protected:
void postAdjustValuesImpl();
private:
BarrierOption::arguments arguments_;
std::vector<Time> stoppingTimes_;
DiscretizedVanillaOption vanilla_;
};
class DiscretizedDermanKaniBarrierOption : public DiscretizedAsset {
public:
DiscretizedDermanKaniBarrierOption(const BarrierOption::arguments&,
const StochasticProcess& process,
const TimeGrid& grid = TimeGrid());
void reset(Size size);
std::vector<Time> mandatoryTimes() const {
return unenhanced_.mandatoryTimes();
}
protected:
void postAdjustValuesImpl();
private:
void adjustBarrier(Array &optvalues, const Array &grid);
DiscretizedBarrierOption unenhanced_;
};
}
#endif
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