/usr/include/ql/processes/stochasticprocessarray.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) 2005 Klaus Spanderen
Copyright (C) 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 stochasticprocessarray.hpp
\brief Array of correlated 1-D stochastic processes
*/
#ifndef quantlib_stochastic_process_array_hpp
#define quantlib_stochastic_process_array_hpp
#include <ql/stochasticprocess.hpp>
#include <vector>
namespace QuantLib {
//! %Array of correlated 1-D stochastic processes
/*! \ingroup processes */
class StochasticProcessArray : public StochasticProcess {
public:
StochasticProcessArray(
const std::vector<boost::shared_ptr<StochasticProcess1D> >&,
const Matrix& correlation);
// stochastic process interface
Size size() const;
Disposable<Array> initialValues() const;
Disposable<Array> drift(Time t, const Array& x) const;
Disposable<Array> expectation(Time t0, const Array& x0, Time dt) const;
Disposable<Matrix> diffusion(Time t, const Array& x) const;
Disposable<Matrix> covariance(Time t0, const Array& x0, Time dt) const;
Disposable<Matrix> stdDeviation(Time t0, const Array& x0,
Time dt) const;
Disposable<Array> apply(const Array& x0, const Array& dx) const;
Disposable<Array> evolve(Time t0, const Array& x0,
Time dt, const Array& dw) const;
Time time(const Date&) const;
// inspectors
const boost::shared_ptr<StochasticProcess1D>& process(Size i) const;
Disposable<Matrix> correlation() const;
protected:
std::vector<boost::shared_ptr<StochasticProcess1D> > processes_;
Matrix sqrtCorrelation_;
};
}
#endif
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