/usr/include/ql/experimental/models/hestonslvmcmodel.hpp is in libquantlib0-dev 1.9.1-1.
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) 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 hestonslvmcmodel.hpp
\brief Calibration of a Heston stochastic local volatility model based on MC
*/
#ifndef quantlib_heston_slv_mc_model_hpp
#define quantlib_heston_slv_mc_model_hpp
#include <ql/handle.hpp>
#include <ql/timegrid.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/models/marketmodels/browniangenerator.hpp>
#include <ql/termstructures/volatility/equityfx/fixedlocalvolsurface.hpp>
namespace QuantLib {
/*! References:
Anthonie W. van der Stoep,Lech A. Grzelak, Cornelis W. Oosterlee, 2013,
The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2278122
*/
class HestonSLVMCModel : public LazyObject {
public:
HestonSLVMCModel(
const Handle<LocalVolTermStructure>& localVol,
const Handle<HestonModel>& hestonModel,
const boost::shared_ptr<BrownianGeneratorFactory>& brownianGeneratorFactory,
const Date& endDate,
Size timeStepsPerYear = 365,
Size nBins = 201,
Size calibrationPaths = (1 << 15),
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;
protected:
void performCalculations() const;
private:
const Handle<LocalVolTermStructure> localVol_;
const Handle<HestonModel> hestonModel_;
const boost::shared_ptr<BrownianGeneratorFactory> brownianGeneratorFactory_;
const Date endDate_;
const Size nBins_, calibrationPaths_;
boost::shared_ptr<TimeGrid> timeGrid_;
mutable boost::shared_ptr<FixedLocalVolSurface> leverageFunction_;
};
}
#endif
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