/usr/include/ql/methods/lattices/bsmlattice.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
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 bsmlattice.hpp
\brief Binomial trees under the BSM model
*/
#ifndef quantlib_bsm_lattice_hpp
#define quantlib_bsm_lattice_hpp
#include <ql/methods/lattices/binomialtree.hpp>
#include <ql/methods/lattices/lattice1d.hpp>
namespace QuantLib {
//! Simple binomial lattice approximating the Black-Scholes model
/*! \ingroup lattices */
template <class T>
class BlackScholesLattice : public TreeLattice1D<BlackScholesLattice<T> > {
public:
BlackScholesLattice(const boost::shared_ptr<T>& tree,
Rate riskFreeRate,
Time end,
Size steps);
Rate riskFreeRate() const { return riskFreeRate_; }
Time dt() const { return dt_; }
Size size(Size i) const { return tree_->size(i); }
DiscountFactor discount(Size,
Size) const { return discount_; }
void stepback(Size i, const Array& values, Array& newValues) const;
Real underlying(Size i, Size index) const {
return tree_->underlying(i, index);
}
Size descendant(Size i, Size index, Size branch) const {
return tree_->descendant(i, index, branch);
}
Real probability(Size i, Size index, Size branch) const {
return tree_->probability(i, index, branch);
}
protected:
boost::shared_ptr<T> tree_;
Rate riskFreeRate_;
Time dt_;
DiscountFactor discount_;
Real pd_, pu_;
};
// template definitions
template <class T>
BlackScholesLattice<T>::BlackScholesLattice(
const boost::shared_ptr<T>& tree,
Rate riskFreeRate,
Time end,
Size steps)
: TreeLattice1D<BlackScholesLattice<T> >(TimeGrid(end, steps), 2),
tree_(tree), riskFreeRate_(riskFreeRate), dt_(end/steps),
discount_(std::exp(-riskFreeRate*(dt_))) {
pd_ = tree->probability(0, 0, 0);
pu_ = tree->probability(0, 0, 1);
}
template <class T>
void BlackScholesLattice<T>::stepback(Size i, const Array& values,
Array& newValues) const {
for (Size j=0; j<size(i); j++)
newValues[j] = (pd_*values[j] + pu_*values[j+1])*discount_;
}
}
#endif
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