/usr/include/ql/experimental/finitedifferences/fdmhestonhullwhitesolver.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 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 90 91 92 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 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 fdmhestonhullwhitesolver.hpp
*/
#ifndef quantlib_fdm_heston_hull_white_solver_hpp
#define quantlib_fdm_heston_hull_white_solver_hpp
#include <ql/handle.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/processes/hestonprocess.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
namespace QuantLib {
class FdmMesher;
class FdmInnerValueCalculator;
class FdmSnapshotCondition;
class FdmStepConditionComposite;
class BicubicSpline;
class FdmHestonHullWhiteSolver : public LazyObject {
public:
FdmHestonHullWhiteSolver(
const Handle<HestonProcess>& hestonProcess,
const Handle<HullWhiteProcess>& hwProcess,
Rate corrEquityShortRate,
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,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
Real valueAt(Real s, Real v, Rate r) const;
Real thetaAt(Real s, Real v, Rate r) const;
// First and second order derivative with respect to S_t.
// Please note that this is not the "model implied" delta or gamma.
// E.g. see Fabio Mercurio, Massimo Morini
// "A Note on Hedging with Local and Stochastic Volatility Models",
// http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1294284
Real deltaAt(Real s, Real v, Rate r, Real eps) const;
Real gammaAt(Real s, Real v, Rate r, Real eps) const;
protected:
void performCalculations() const;
private:
const Handle<HestonProcess> hestonProcess_;
const Handle<HullWhiteProcess> hwProcess_;
const Real corrEquityShortRate_;
const boost::shared_ptr<FdmMesher> mesher_;
const FdmBoundaryConditionSet bcSet_;
const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
const boost::shared_ptr<FdmStepConditionComposite> condition_;
const Time maturity_;
const Size timeSteps_;
const Size dampingSteps_;
const FdmSchemeDesc schemeDesc_;
std::vector<Real> x_, v_, r_, initialValues_;
mutable std::vector<Matrix> resultValues_;
mutable std::vector<boost::shared_ptr<BicubicSpline> > interpolation_;
};
}
#endif
|