/usr/include/ql/experimental/finitedifferences/fdmextoujumpop.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 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 | /* -*- 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 fdmextoujumpop.hpp
\brief Ornstein Uhlenbeck process plus jumps (Kluge Model)
*/
#ifndef quantlib_fdm_ext_ou_jump_op_hpp
#define quantlib_fdm_ext_ou_jump_op_hpp
#include <ql/math/matrixutilities/sparsematrix.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
namespace QuantLib {
class FdmMesher;
class YieldTermStructure;
class LinearInterpolation;
class ExtOUWithJumpsProcess;
class FdmExtendedOrnsteinUhlenbackOp;
/*! References:
Kluge, Timo L., 2008. Pricing Swing Options and other
Electricity Derivatives, http://eprints.maths.ox.ac.uk/246/1/kluge.pdf
*/
class FdmExtOUJumpOp : public FdmLinearOpComposite {
public:
FdmExtOUJumpOp(const boost::shared_ptr<FdmMesher>& mesher,
const boost::shared_ptr<ExtOUWithJumpsProcess>& process,
const boost::shared_ptr<YieldTermStructure>& rTS,
const FdmBoundaryConditionSet& bcSet,
Size integroIntegrationOrder);
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;
#if !defined(QL_NO_UBLAS_SUPPORT)
Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const;
#endif
private:
Disposable<Array> integro(const Array& r) const;
const boost::shared_ptr<FdmMesher> mesher_;
const boost::shared_ptr<ExtOUWithJumpsProcess> process_;
const boost::shared_ptr<YieldTermStructure> rTS_;
const FdmBoundaryConditionSet bcSet_;
GaussLaguerreIntegration gaussLaguerreIntegration_;
const Array x_;
const boost::shared_ptr<FdmExtendedOrnsteinUhlenbackOp> ouOp_;
const TripleBandLinearOp dyMap_;
#if defined(QL_NO_UBLAS_SUPPORT)
class IntegroIntegrand {
public:
IntegroIntegrand(const boost::shared_ptr<LinearInterpolation>& i,
const FdmBoundaryConditionSet& bcSet,
Real y, Real eta);
Real operator()(Real u) const;
private:
const Real y_, eta_;
const FdmBoundaryConditionSet& bcSet_;
const boost::shared_ptr<LinearInterpolation>& interpl_;
};
#else
SparseMatrix integroPart_;
#endif
};
}
#endif
|