/usr/include/ql/experimental/finitedifferences/fdmsimple2dbssolver.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) 2009 Ralph Schreyer
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 fdmsimple2dbssolver.hpp
*/
#ifndef quantlib_fdm_simple_2d_bs_solver_hpp
#define quantlib_fdm_simple_2d_bs_solver_hpp
#include <ql/handle.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
namespace QuantLib {
class FdmInnerValueCalculator;
class FdmMesher;
class FdmSnapshotCondition;
class FdmStepConditionComposite;
class BicubicSpline;
class FdmSimple2dBSSolver : LazyObject {
public:
typedef std::vector<boost::shared_ptr<FdmDirichletBoundary> >
BoundaryConditionSet;
FdmSimple2dBSSolver(
const Handle<GeneralizedBlackScholesProcess>& process,
const boost::shared_ptr<FdmMesher>& mesher,
const BoundaryConditionSet & bcSet,
const boost::shared_ptr<FdmStepConditionComposite> & condition,
const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
Real strike,
Time maturity,
Size timeSteps,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas());
Real valueAt(Real s, Real a) const;
Real deltaAt(Real s, Real a, Real eps) const;
Real gammaAt(Real s, Real a, Real eps) const;
Real thetaAt(Real s, Real a) const;
protected:
void performCalculations() const;
private:
Handle<GeneralizedBlackScholesProcess> process_;
const boost::shared_ptr<FdmMesher> mesher_;
const BoundaryConditionSet bcSet_;
const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
const boost::shared_ptr<FdmStepConditionComposite> condition_;
const Real strike_;
const Time maturity_;
const Size timeSteps_;
const FdmSchemeDesc schemeDesc_;
std::vector<Real> x_, a_, initialValues_;
mutable Matrix resultValues_;
mutable boost::shared_ptr<BicubicSpline> interpolation_;
};
}
#endif /* quantlib_fdm_simple_2d_bs_solver_hpp */
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