/usr/include/ql/experimental/models/hestonslvfdmmodel.hpp is in libquantlib0-dev 1.9.1-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2015 Johannes Goettker-Schnetmann
Copyright (C) 2015 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 hestonslvfdmmodel.hpp
\brief Heston stochastic local volatility model
*/
#ifndef quantlib_heston_slv_model_hpp
#define quantlib_heston_slv_model_hpp
#include <ql/handle.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/patterns/observable.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/experimental/finitedifferences/fdmhestongreensfct.hpp>
#include <list>
namespace QuantLib {
class SimpleQuote;
class HestonModel;
class LocalVolTermStructure;
struct HestonSLVFokkerPlanckFdmParams {
const Size xGrid, vGrid;
const Size tMaxStepsPerYear, tMinStepsPerYear;
const Real tStepNumberDecay;
const Size predictionCorretionSteps;
// local volatility forward equation
const Real x0Density;
const Real localVolEpsProb;
const Size maxIntegrationIterations;
// variance mesher definition
const Real vLowerEps, vUpperEps, vMin;
const Real v0Density, vLowerBoundDensity, vUpperBoundDensity;
// do not calculate leverage function if prob is smaller than eps
const Real leverageFctPropEps;
// algorithm to get to the start configuration at time point one
const FdmHestonGreensFct::Algorithm greensAlgorithm;
const FdmSquareRootFwdOp::TransformationType trafoType;
// define finite difference scheme
const FdmSchemeDesc schemeDesc;
};
class HestonSLVFDMModel : public LazyObject {
public:
HestonSLVFDMModel(
const Handle<LocalVolTermStructure>& localVol,
const Handle<HestonModel>& hestonModel,
const Date& endDate,
const HestonSLVFokkerPlanckFdmParams& params,
const bool logging = false,
const std::vector<Date>& mandatoryDates = std::vector<Date>());
void update();
boost::shared_ptr<HestonProcess> hestonProcess() const;
boost::shared_ptr<LocalVolTermStructure> localVol() const;
boost::shared_ptr<LocalVolTermStructure> leverageFunction() const;
struct LogEntry {
const Time t;
const boost::shared_ptr<Array> prob;
const boost::shared_ptr<FdmMesherComposite> mesher;
};
const std::list<LogEntry>& logEntries() const;
protected:
void performCalculations() const;
const Handle<LocalVolTermStructure> localVol_;
const Handle<HestonModel> hestonModel_;
const Date endDate_;
const HestonSLVFokkerPlanckFdmParams params_;
const std::vector<Date> mandatoryDates_;
mutable boost::shared_ptr<LocalVolTermStructure> leverageFunction_;
const bool logging_;
mutable std::list<LogEntry> logEntries_;
};
}
#endif
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