/usr/include/ql/experimental/exoticoptions/analyticpdfhestonengine.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2014 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 analyticpdfhestonengine.hpp
\brief Analytic engine for arbitrary European payoffs under the Heston model
*/
#ifndef quantlib_analytic_pdf_heston_engine_hpp
#define quantlib_analytic_pdf_heston_engine_hpp
#include <ql/instruments/vanillaoption.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
namespace QuantLib {
//! Analytic engine for arbitrary European payoffs under the Heston model
/*! References:
The formulas are taken from A. Dragulescu, V. Yakovenko, 2002.
Probability distribution of returns in the Heston model
with stochastic volatility.
http://arxiv.org/pdf/cond-mat/0203046.pdf
\test the correctness of the returned value is tested by
reproducing digital prices using call spreads and the
AnalyticHestonEngine.
*/
class AnalyticPDFHestonEngine
: public GenericModelEngine<HestonModel,
VanillaOption::arguments,
VanillaOption::results> {
public:
AnalyticPDFHestonEngine(
const boost::shared_ptr<HestonModel>& model,
Real eps = 1e-6,
Size nIterations = 100000ul,
Real xMax = Null<Real>());
void calculate() const;
// reduced probability,
// hidden variable \nu is integrated out.
Real Pv(Real s_0, Real s_t, Time t) const;
// reduced probability in x_t = ln(s_t/s_0) - (r-q)*t
Real Pv(Real x_t, Time t) const;
private:
Real weightedPayoff(Real x_t, Time t) const;
const Real eps_, xMax_;
const Size nIterations_;
const boost::shared_ptr<HestonModel> model_;
};
}
#endif
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