/usr/include/ql/methods/montecarlo/lsmbasissystem.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
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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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Klaus Spanderen
Copyright (C) 2010 Kakhkhor Abdijalilov
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 lsmbasissystem.hpp
\brief utility classes for Longstaff-Schwartz early-exercise Monte Carlo
*/
// lsmbasissystem.hpp
#ifndef quantlib_lsm_basis_system_hpp
#define quantlib_lsm_basis_system_hpp
#include <ql/qldefines.hpp>
#include <ql/math/array.hpp>
#include <boost/function.hpp>
#include <vector>
namespace QuantLib {
class LsmBasisSystem {
public:
enum PolynomType { Monomial, Laguerre, Hermite, Hyperbolic,
Legendre, Chebyshev, Chebyshev2nd };
static std::vector<boost::function1<Real, Real> >
pathBasisSystem(Size order, PolynomType polyType);
static std::vector<boost::function1<Real, Array> >
multiPathBasisSystem(Size dim, Size order, PolynomType polyType);
};
}
#endif
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