/usr/include/ql/experimental/finitedifferences/fdmbatesop.hpp is in libquantlib0-dev 1.1-2build1.
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) 2010 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 fdmbatesop.hpp
\brief Bates linear operator
*/
#ifndef quantlib_fdm_bates_op_hpp
#define quantlib_fdm_bates_op_hpp
#include <ql/processes/batesprocess.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <ql/experimental/finitedifferences/fdmhestonop.hpp>
#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
namespace QuantLib {
class LinearInterpolation;
class FdmBatesOp : public FdmLinearOpComposite {
public:
FdmBatesOp(
const boost::shared_ptr<FdmMesher>& mesher,
const boost::shared_ptr<BatesProcess>& batesProcess,
const FdmBoundaryConditionSet& bcSet,
Size integroIntegrationOrder,
const boost::shared_ptr<FdmQuantoHelper>& quantoHelper
= boost::shared_ptr<FdmQuantoHelper>());
Size size() const;
void setTime(Time t1, Time t2);
Disposable<Array> apply(const Array& r) const;
Disposable<Array> apply_mixed(const Array& r) const;
Disposable<Array> apply_direction(Size direction,
const Array& r) const;
Disposable<Array> solve_splitting(Size direction,
const Array& r, Real s) const;
Disposable<Array> preconditioner(const Array& r, Real s) const;
private:
class IntegroIntegrand {
public:
IntegroIntegrand(const boost::shared_ptr<LinearInterpolation>& i,
const FdmBoundaryConditionSet& bcSet,
Real x, Real delta, Real nu);
Real operator()(Real y) const;
private:
const Real x_, delta_, nu_;
const FdmBoundaryConditionSet& bcSet_;
const boost::shared_ptr<LinearInterpolation>& interpl_;
};
Disposable<Array> integro(const Array& r) const;
Array x_, weights_;
const Real lambda_, delta_, nu_, m_;
GaussHermiteIntegration gaussHermiteIntegration_;
const boost::shared_ptr<FdmMesher> mesher_;
const FdmBoundaryConditionSet bcSet_;
const boost::shared_ptr<FdmHestonOp> hestonOp_;
};
}
#endif
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