/usr/include/ql/processes/merton76process.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) 2003 Ferdinando Ametrano
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2004, 2005 StatPro Italia srl
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 merton76process.hpp
\brief Merton-76 process
*/
#ifndef quantlib_merton_76_process_hpp
#define quantlib_merton_76_process_hpp
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/eulerdiscretization.hpp>
namespace QuantLib {
//! Merton-76 jump-diffusion process
/*! \ingroup processes */
class Merton76Process : public StochasticProcess1D {
public:
Merton76Process(
const Handle<Quote>& stateVariable,
const Handle<YieldTermStructure>& dividendTS,
const Handle<YieldTermStructure>& riskFreeTS,
const Handle<BlackVolTermStructure>& blackVolTS,
const Handle<Quote>& jumpInt,
const Handle<Quote>& logJMean,
const Handle<Quote>& logJVol,
const boost::shared_ptr<discretization>& d =
boost::shared_ptr<discretization>(new EulerDiscretization));
//! \name StochasticProcess1D interface
//@{
Real x0() const;
Real drift(Time, Real) const {
QL_FAIL("not implemented"); }
Real diffusion(Time, Real) const {
QL_FAIL("not implemented"); }
Real apply(Real, Real) const {
QL_FAIL("not implemented");
}
//@}
Time time(const Date&) const;
//! \name Inspectors
//@{
const Handle<Quote>& stateVariable() const;
const Handle<YieldTermStructure>& dividendYield() const;
const Handle<YieldTermStructure>& riskFreeRate() const;
const Handle<BlackVolTermStructure>& blackVolatility() const;
const Handle<Quote>& jumpIntensity() const;
const Handle<Quote>& logMeanJump() const;
const Handle<Quote>& logJumpVolatility() const;
//@}
private:
boost::shared_ptr<GeneralizedBlackScholesProcess> blackProcess_;
Handle<Quote> jumpIntensity_, logMeanJump_, logJumpVolatility_;
};
}
#endif
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