/usr/include/ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.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) 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 fdmsimple3dextoujumpsolver.hpp
\brief solver for simple swing options based on ext OU-Jump (Kluge) Model
*/
#ifndef quantlib_fdm_3d_ext_ou_jump_solver_hpp
#define quantlib_fdm_3d_ext_ou_jump_solver_hpp
#include <ql/handle.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
namespace QuantLib {
class FdmSimple3dExtOUJumpSolver : public LazyObject {
public:
FdmSimple3dExtOUJumpSolver(
const Handle<ExtOUWithJumpsProcess>& process,
const boost::shared_ptr<YieldTermStructure>& rTS,
const FdmSolverDesc& solverDesc,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer())
: process_(process), rTS_(rTS),
solverDesc_(solverDesc), schemeDesc_(schemeDesc) {
registerWith(process);
}
Real valueAt(Real x, Real y, Real z) const {
calculate();
return solver_->interpolateAt(x, y, z);
}
protected:
void performCalculations() const {
boost::shared_ptr<FdmLinearOpComposite>op(
new FdmExtOUJumpOp(solverDesc_.mesher,
process_.currentLink(),
rTS_, solverDesc_.bcSet, 32));
solver_ = boost::shared_ptr<Fdm3DimSolver>(
new Fdm3DimSolver(solverDesc_, schemeDesc_, op));
}
private:
const Handle<ExtOUWithJumpsProcess> process_;
const boost::shared_ptr<YieldTermStructure> rTS_;
const FdmSolverDesc solverDesc_;
const FdmSchemeDesc schemeDesc_;
mutable boost::shared_ptr<Fdm3DimSolver> solver_;
};
}
#endif
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