/usr/include/ql/processes/hullwhiteprocess.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) 2006 Banca Profilo S.p.A.
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 hullwhiteprocess.hpp
\brief Hull-White stochastic processes
*/
#ifndef quantlib_hull_white_processes_hpp
#define quantlib_hull_white_processes_hpp
#include <ql/processes/forwardmeasureprocess.hpp>
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
//! Hull-White stochastic process
/*! \ingroup processes */
class HullWhiteProcess: public StochasticProcess1D {
public:
HullWhiteProcess(const Handle<YieldTermStructure>& h,
Real a,
Real sigma);
//! \name StochasticProcess1D interface
//@{
Real x0() const;
Real drift(Time t, Real x) const;
Real diffusion(Time t, Real x) const;
Real expectation(Time t0, Real x0, Time dt) const;
Real stdDeviation(Time t0, Real x0, Time dt) const;
Real variance(Time t0, Real x0, Time dt) const;
Real a() const;
Real sigma() const;
Real alpha(Time t) const;
//@}
protected:
boost::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> process_;
Handle<YieldTermStructure> h_;
Real a_, sigma_;
};
//! %Forward Hull-White stochastic process
/*! \ingroup processes */
class HullWhiteForwardProcess: public ForwardMeasureProcess1D {
public:
HullWhiteForwardProcess(const Handle<YieldTermStructure>& h,
Real a,
Real sigma);
//! \name StochasticProcess1D interface
//@{
Real x0() const;
Real drift(Time t, Real x) const;
Real diffusion(Time t, Real x) const;
Real expectation(Time t0, Real x0, Time dt) const;
Real stdDeviation(Time t0, Real x0, Time dt) const;
Real variance(Time t0, Real x0, Time dt) const;
//@}
Real a() const;
Real sigma() const;
Real alpha(Time t) const;
Real M_T(Real s, Real t, Real T) const;
Real B(Time t, Time T) const;
protected:
boost::shared_ptr<QuantLib::OrnsteinUhlenbeckProcess> process_;
Handle<YieldTermStructure> h_;
Real a_, sigma_;
};
}
#endif
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