/usr/include/ql/processes/hestonprocess.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) 2005, 2007, 2009 Klaus Spanderen
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 hestonprocess.hpp
\brief Heston stochastic process
*/
#ifndef quantlib_heston_process_hpp
#define quantlib_heston_process_hpp
#include <ql/stochasticprocess.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/quote.hpp>
namespace QuantLib {
//! Square-root stochastic-volatility Heston process
/*! This class describes the square root stochastic volatility
process governed by
\f[
\begin{array}{rcl}
dS(t, S) &=& \mu S dt + \sqrt{v} S dW_1 \\
dv(t, S) &=& \kappa (\theta - v) dt + \sigma \sqrt{v} dW_2 \\
dW_1 dW_2 &=& \rho dt
\end{array}
\f]
\ingroup processes
*/
class HestonProcess : public StochasticProcess {
public:
enum Discretization { PartialTruncation,
FullTruncation,
Reflection,
NonCentralChiSquareVariance,
QuadraticExponential,
QuadraticExponentialMartingale,
BroadieKayaExactSchemeLobatto,
BroadieKayaExactSchemeLaguerre,
BroadieKayaExactSchemeTrapezoidal };
HestonProcess(const Handle<YieldTermStructure>& riskFreeRate,
const Handle<YieldTermStructure>& dividendYield,
const Handle<Quote>& s0,
Real v0, Real kappa,
Real theta, Real sigma, Real rho,
Discretization d = QuadraticExponentialMartingale);
Size size() const;
Size factors() const;
Disposable<Array> initialValues() const;
Disposable<Array> drift(Time t, const Array& x) const;
Disposable<Matrix> diffusion(Time t, const Array& x) const;
Disposable<Array> apply(const Array& x0, const Array& dx) const;
Disposable<Array> evolve(Time t0, const Array& x0,
Time dt, const Array& dw) const;
Real v0() const { return v0_; }
Real rho() const { return rho_; }
Real kappa() const { return kappa_; }
Real theta() const { return theta_; }
Real sigma() const { return sigma_; }
const Handle<Quote>& s0() const;
const Handle<YieldTermStructure>& dividendYield() const;
const Handle<YieldTermStructure>& riskFreeRate() const;
Time time(const Date&) const;
private:
Real varianceDistribution(Real v, Real dw, Time dt) const;
Handle<YieldTermStructure> riskFreeRate_, dividendYield_;
Handle<Quote> s0_;
Real v0_, kappa_, theta_, sigma_, rho_;
Discretization discretization_;
};
}
#endif
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