/usr/include/ql/experimental/finitedifferences/fdmhestonfwdop.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.
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/*
Copyright (C) 2012, 2013 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 fdmhestonfwdop.hpp
\brief Heston Fokker-Planck forward operator
*/
#ifndef quantlib_fdm_heston_fwd_op_hpp
#define quantlib_fdm_heston_fwd_op_hpp
#include <ql/experimental/finitedifferences/fdmsquarerootfwdop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
namespace QuantLib {
class YieldTermStructure;
class FdmMesher;
class HestonProcess;
class FirstDerivativeOp;
class TripleBandLinearOp;
class NinePointLinearOp;
class FdmHestonFwdOp : public FdmLinearOpComposite {
public:
FdmHestonFwdOp(
const boost::shared_ptr<FdmMesher>& mesher,
const boost::shared_ptr<HestonProcess>& process);
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:
const Real kappa_, theta_, sigma_, rho_, v0_;
const boost::shared_ptr<YieldTermStructure> rTS_;
const boost::shared_ptr<YieldTermStructure> qTS_;
const Array varianceValues_;
const boost::shared_ptr<FirstDerivativeOp> dxMap_;
const boost::shared_ptr<ModTripleBandLinearOp> dxxMap_;
const boost::shared_ptr<TripleBandLinearOp> mapX_;
const boost::shared_ptr<FdmSquareRootFwdOp> mapY_;
const boost::shared_ptr<NinePointLinearOp> correlation_;
};
}
#endif
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