/usr/include/ql/processes/hybridhestonhullwhiteprocess.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.
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 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007, 2008 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 hybridhestonhullwhiteprocess.hpp
\brief hybrid equity (heston model)
with stochastic interest rates (hull white model)
*/
#ifndef quantlib_hybrid_heston_hull_white_process_hpp
#define quantlib_hybrid_heston_hull_white_process_hpp
#include <ql/processes/hestonprocess.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/processes/jointstochasticprocess.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
namespace QuantLib {
//! Hybrid Heston Hull-White stochastic process
/*! This class implements a three factor Heston Hull-White model
\bug This class was not tested enough to guarantee
its functionality... work in progress
\ingroup processes
*/
class HybridHestonHullWhiteProcess : public StochasticProcess {
public:
enum Discretization { Euler, BSMHullWhite };
HybridHestonHullWhiteProcess(
const boost::shared_ptr<HestonProcess> & hestonProcess,
const boost::shared_ptr<HullWhiteForwardProcess> & hullWhiteProcess,
Real corrEquityShortRate,
Discretization discretization = BSMHullWhite);
Size size() 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;
DiscountFactor numeraire(Time t, const Array& x) const;
const boost::shared_ptr<HestonProcess>& hestonProcess() const;
const boost::shared_ptr<HullWhiteForwardProcess>&
hullWhiteProcess() const;
Real eta() const;
Time time(const Date& date) const;
Discretization discretization() const;
void update();
protected:
const boost::shared_ptr<HestonProcess> hestonProcess_;
const boost::shared_ptr<HullWhiteForwardProcess> hullWhiteProcess_;
//model is used to calculate P(t,T)
const boost::shared_ptr<HullWhite> hullWhiteModel_;
const Real corrEquityShortRate_;
const Discretization discretization_;
const Real maxRho_;
const Time T_;
DiscountFactor endDiscount_;
};
}
#endif
|