/usr/include/ql/experimental/finitedifferences/fdmbatessolver.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.
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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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 fdmbatessolver.hpp
*/
#ifndef quantlib_fdm_bates_solver_hpp
#define quantlib_fdm_bates_solver_hpp
#include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
namespace QuantLib {
class BatesProcess;
class FdmBatesSolver : public FdmHestonSolver {
public:
FdmBatesSolver(
const Handle<BatesProcess>& process,
const boost::shared_ptr<FdmMesher>& mesher,
const FdmBoundaryConditionSet & bcSet,
const boost::shared_ptr<FdmStepConditionComposite> & condition,
const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
Time maturity,
Size timeSteps,
Size dampingSteps = 0,
Size integroIntegrationOrder = 12,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer(),
const Handle<FdmQuantoHelper>& quantoHelper
= Handle<FdmQuantoHelper>());
protected:
void performCalculations() const;
private:
const Size integroIntegrationOrder_;
const FdmBoundaryConditionSet bcSet_;
const Handle<BatesProcess> batesProcess_;
const boost::shared_ptr<FdmMesher> mesher_;
const Handle<FdmQuantoHelper> quantoHelper_;
};
}
#endif
|