/usr/include/ql/models/equity/batesmodel.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.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Klaus Spanderen
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 batesmodel.hpp
\brief extended versions of the Heston model
*/
#ifndef quantlib_bates_model_hpp
#define quantlib_bates_model_hpp
#include <ql/processes/batesprocess.hpp>
#include <ql/models/equity/hestonmodel.hpp>
namespace QuantLib {
//! Bates stochastic-volatility model
/*! extended versions of Heston model for the stochastic
volatility of an asset including jumps.
References:
A. Sepp, Pricing European-Style Options under Jump Diffusion
Processes with Stochastic Volatility: Applications of Fourier
Transform (<http://math.ut.ee/~spartak/papers/stochjumpvols.pdf>)
\test calibration is tested against known values.
*/
class BatesModel : public HestonModel {
public:
BatesModel(const boost::shared_ptr<BatesProcess> & process);
Real nu() const { return arguments_[5](0.0); }
Real delta() const { return arguments_[6](0.0); }
Real lambda() const { return arguments_[7](0.0); }
protected:
void generateArguments();
};
class BatesDetJumpModel : public BatesModel {
public:
BatesDetJumpModel(
const boost::shared_ptr<BatesProcess> & process,
Real kappaLambda = 1.0, Real thetaLambda = 0.1);
Real kappaLambda() const { return arguments_[8](0.0); }
Real thetaLambda() const { return arguments_[9](0.0); }
};
class BatesDoubleExpModel : public HestonModel {
public:
BatesDoubleExpModel(const boost::shared_ptr<HestonProcess> & process,
Real lambda = 0.1,
Real nuUp = 0.1, Real nuDown = 0.1, Real p = 0.5);
Real p() const { return arguments_[5](0.0); }
Real nuDown() const { return arguments_[6](0.0); }
Real nuUp() const { return arguments_[7](0.0); }
Real lambda() const { return arguments_[8](0.0); }
};
class BatesDoubleExpDetJumpModel : public BatesDoubleExpModel {
public:
BatesDoubleExpDetJumpModel(
const boost::shared_ptr<HestonProcess> & process,
Real lambda = 0.1, Real nuUp = 0.1, Real nuDown = 0.1,
Real p = 0.5, Real kappaLambda = 1.0, Real thetaLambda = 0.1);
Real kappaLambda() const { return arguments_[9](0.0); }
Real thetaLambda() const { return arguments_[10](0.0); }
};
}
#endif
|