/usr/include/ql/processes/eulerdiscretization.hpp is in libquantlib0-dev 1.4-2+b1.
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) 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 eulerdiscretization.hpp
\brief Euler discretization for stochastic processes
*/
#ifndef quantlib_euler_discretization_hpp
#define quantlib_euler_discretization_hpp
#include <ql/stochasticprocess.hpp>
namespace QuantLib {
//! Euler discretization for stochastic processes
/*! \ingroup processes */
class EulerDiscretization
: public StochasticProcess::discretization,
public StochasticProcess1D::discretization {
public:
/*! Returns an approximation of the drift defined as
\f$ \mu(t_0, \mathbf{x}_0) \Delta t \f$.
*/
Disposable<Array> drift(const StochasticProcess&,
Time t0, const Array& x0, Time dt) const;
/*! Returns an approximation of the drift defined as
\f$ \mu(t_0, x_0) \Delta t \f$.
*/
Real drift(const StochasticProcess1D&,
Time t0, Real x0, Time dt) const;
/*! Returns an approximation of the diffusion defined as
\f$ \sigma(t_0, \mathbf{x}_0) \sqrt{\Delta t} \f$.
*/
Disposable<Matrix> diffusion(const StochasticProcess&,
Time t0, const Array& x0, Time dt) const;
/*! Returns an approximation of the diffusion defined as
\f$ \sigma(t_0, x_0) \sqrt{\Delta t} \f$.
*/
Real diffusion(const StochasticProcess1D&,
Time t0, Real x0, Time dt) const;
/*! Returns an approximation of the covariance defined as
\f$ \sigma(t_0, \mathbf{x}_0)^2 \Delta t \f$.
*/
Disposable<Matrix> covariance(const StochasticProcess&,
Time t0, const Array& x0, Time dt) const;
/*! Returns an approximation of the variance defined as
\f$ \sigma(t_0, x_0)^2 \Delta t \f$.
*/
Real variance(const StochasticProcess1D&,
Time t0, Real x0, Time dt) const;
};
}
#endif
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