/usr/include/ql/pricingengines/basket/stulzengine.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004 Neil Firth
Copyright (C) 2007 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 stulzengine.hpp
\brief 2D European Basket formulae, due to Stulz (1982)
*/
#ifndef quantlib_stulz_engine_hpp
#define quantlib_stulz_engine_hpp
#include <ql/instruments/basketoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
//! Pricing engine for 2D European Baskets
/*! This class implements formulae from
"Options on the Minimum or the Maximum of Two Risky Assets",
Rene Stulz,
Journal of Financial Ecomomics (1982) 10, 161-185.
\ingroup basketengines
\test the correctness of the returned value is tested by
reproducing results available in literature.
*/
class StulzEngine : public BasketOption::engine {
public:
StulzEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process1,
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process2,
Real correlation);
void calculate() const;
private:
boost::shared_ptr<GeneralizedBlackScholesProcess> process1_;
boost::shared_ptr<GeneralizedBlackScholesProcess> process2_;
Real rho_;
};
}
#endif
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