/usr/include/ql/experimental/finitedifferences/fdmhestonop.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) 2008 Andreas Gaida
Copyright (C) 2008 Ralph Schreyer
Copyright (C) 2008 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 fdmhestonop.hpp
\brief Heston linear operator
*/
#ifndef quantlib_fdm_heston_op_hpp
#define quantlib_fdm_heston_op_hpp
#include <ql/processes/hestonprocess.hpp>
#include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
#include <ql/experimental/finitedifferences/firstderivativeop.hpp>
#include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
#include <ql/experimental/finitedifferences/ninepointlinearop.hpp>
#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
namespace QuantLib {
class FdmHestonEquityPart {
public:
FdmHestonEquityPart(
const boost::shared_ptr<FdmMesher>& mesher,
const boost::shared_ptr<YieldTermStructure>& rTS,
const boost::shared_ptr<YieldTermStructure>& qTS,
const boost::shared_ptr<FdmQuantoHelper>& quantoHelper);
void setTime(Time t1, Time t2);
const TripleBandLinearOp& getMap() const;
protected:
Array varianceValues_, volatilityValues_;
const FirstDerivativeOp dxMap_;
const TripleBandLinearOp dxxMap_;
TripleBandLinearOp mapT_;
const boost::shared_ptr<FdmMesher> mesher_;
const boost::shared_ptr<YieldTermStructure> rTS_, qTS_;
const boost::shared_ptr<FdmQuantoHelper> quantoHelper_;
};
class FdmHestonVariancePart {
public:
FdmHestonVariancePart(
const boost::shared_ptr<FdmMesher>& mesher,
const boost::shared_ptr<YieldTermStructure>& rTS,
Real sigma, Real kappa, Real theta);
void setTime(Time t1, Time t2);
const TripleBandLinearOp& getMap() const;
protected:
const TripleBandLinearOp dyMap_;
TripleBandLinearOp mapT_;
const boost::shared_ptr<YieldTermStructure> rTS_;
};
class FdmHestonOp : public FdmLinearOpComposite {
public:
FdmHestonOp(
const boost::shared_ptr<FdmMesher>& mesher,
const boost::shared_ptr<HestonProcess>& hestonProcess,
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:
NinePointLinearOp correlationMap_;
FdmHestonVariancePart dyMap_;
FdmHestonEquityPart dxMap_;
};
}
#endif
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