/usr/include/ql/methods/montecarlo/path.hpp is in libquantlib0-dev 1.7.1-1.
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) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
Copyright (C) 2003 Ferdinando Ametrano
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 path.hpp
\brief single factor random walk
*/
#ifndef quantlib_montecarlo_path_hpp
#define quantlib_montecarlo_path_hpp
#include <ql/timegrid.hpp>
#include <ql/math/array.hpp>
namespace QuantLib {
//! single-factor random walk
/*! \ingroup mcarlo
\note the path includes the initial asset value as its first point.
*/
class Path {
public:
Path(const TimeGrid& timeGrid,
const Array& values = Array());
//! \name inspectors
//@{
bool empty() const;
Size length() const;
//! asset value at the \f$ i \f$-th point
Real operator[](Size i) const;
Real at(Size i) const;
Real& operator[](Size i);
Real& at(Size i);
Real value(Size i) const;
Real& value(Size i);
//! time at the \f$ i \f$-th point
Time time(Size i) const;
//! initial asset value
Real front() const;
Real& front();
//! final asset value
Real back() const;
Real& back();
//! time grid
const TimeGrid& timeGrid() const;
//@}
//! \name iterators
//@{
typedef Array::const_iterator iterator;
typedef Array::const_reverse_iterator reverse_iterator;
iterator begin() const;
iterator end() const;
reverse_iterator rbegin() const;
reverse_iterator rend() const;
//@}
private:
TimeGrid timeGrid_;
Array values_;
};
// inline definitions
inline Path::Path(const TimeGrid& timeGrid, const Array& values)
: timeGrid_(timeGrid), values_(values) {
if (values_.empty())
values_ = Array(timeGrid_.size());
QL_REQUIRE(values_.size() == timeGrid_.size(),
"different number of times and asset values");
}
inline bool Path::empty() const {
return timeGrid_.empty();
}
inline Size Path::length() const {
return timeGrid_.size();
}
inline Real Path::operator[](Size i) const {
return values_[i];
}
inline Real Path::at(Size i) const {
return values_.at(i);
}
inline Real& Path::operator[](Size i) {
return values_[i];
}
inline Real& Path::at(Size i) {
return values_.at(i);
}
inline Real Path::value(Size i) const {
return values_[i];
}
inline Real& Path::value(Size i) {
return values_[i];
}
inline Real Path::front() const {
return values_[0];
}
inline Real& Path::front() {
return values_[0];
}
inline Real Path::back() const {
return values_[values_.size()-1];
}
inline Real& Path::back() {
return values_[values_.size()-1];
}
inline Time Path::time(Size i) const {
return timeGrid_[i];
}
inline const TimeGrid& Path::timeGrid() const {
return timeGrid_;
}
inline Path::iterator Path::begin() const {
return values_.begin();
}
inline Path::iterator Path::end() const {
return values_.end();
}
inline Path::reverse_iterator Path::rbegin() const {
return values_.rbegin();
}
inline Path::reverse_iterator Path::rend() const {
return values_.rend();
}
}
#endif
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