/usr/include/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp is in libquantlib0-dev 1.4-2.
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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 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 fdklugeextouspreadengine.hpp
\brief FD Kluge/extended Ornstein-Uhlenbeck engine
for a simple power-gas spread option
*/
#ifndef quantlib_fd_kluge_extou_spread_engine_hpp
#define quantlib_fd_kluge_extou_spread_engine_hpp
#include <ql/pricingengine.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
#include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
#include <ql/experimental/processes/klugeextouprocess.hpp>
namespace QuantLib {
class YieldTermStructure;
class ExtOUWithJumpsProcess;
class ExtendedOrnsteinUhlenbeckProcess;
class FdKlugeExtOUSpreadEngine
: public GenericEngine<VanillaOption::arguments,
VanillaOption::results> {
public:
typedef FdmExtOUJumpModelInnerValue::Shape GasShape;
typedef FdmExtOUJumpModelInnerValue::Shape PowerShape;
FdKlugeExtOUSpreadEngine(
const boost::shared_ptr<KlugeExtOUProcess>& klugeOUProcess,
const boost::shared_ptr<YieldTermStructure>& rTS,
Size tGrid = 25, Size xGrid = 50, Size yGrid = 10, Size uGrid=25,
const boost::shared_ptr<GasShape>& gasShape
= boost::shared_ptr<GasShape>(),
const boost::shared_ptr<PowerShape>& powerShape
= boost::shared_ptr<PowerShape>(),
const FdmSchemeDesc& schemeDesc=FdmSchemeDesc::Hundsdorfer());
void calculate() const;
private:
const boost::shared_ptr<KlugeExtOUProcess> klugeOUProcess_;
const boost::shared_ptr<YieldTermStructure> rTS_;
const Size tGrid_, xGrid_, yGrid_, uGrid_;
const boost::shared_ptr<GasShape> gasShape_;
const boost::shared_ptr<PowerShape> powerShape_;
const FdmSchemeDesc schemeDesc_;
};
}
#endif
|