/usr/include/ql/experimental/variancegamma/fftvariancegammaengine.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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 Adrian O' Neill
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 fftvariancegammaengine.hpp
\brief \brief FFT engine for vanilla options under a Variance Gamma process
*/
#ifndef quantlib_fft_variancegamma_engine_hpp
#define quantlib_fft_variancegamma_engine_hpp
#include <ql/experimental/variancegamma/fftengine.hpp>
#include <ql/experimental/variancegamma/variancegammaprocess.hpp>
namespace QuantLib {
//! FFT engine for vanilla options under a Variance Gamma process
/*! \ingroup vanillaengines
\test the correctness of the returned values is tested by
comparison with known good values and the analytic approach
*/
class FFTVarianceGammaEngine : public FFTEngine {
public:
FFTVarianceGammaEngine(
const boost::shared_ptr<VarianceGammaProcess>&process, Real logStrikeSpacing = 0.001);
virtual std::auto_ptr<FFTEngine> clone() const;
protected:
virtual void precalculateExpiry(Date d);
virtual std::complex<Real> complexFourierTransform(std::complex<Real> u) const;
virtual Real discountFactor(Date d) const;
virtual Real dividendYield(Date d) const;
private:
DiscountFactor dividendDiscount_;
DiscountFactor riskFreeDiscount_;
Time t_;
Real sigma_;
Real nu_;
Real theta_;
};
}
#endif
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