/usr/include/ql/pricingengines/vanilla/analytich1hwengine.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) 2012 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 analytich1hwengine.hpp
\brief analytic Heston-Hull-White engine based on the H1-HW approximation
*/
#ifndef quantlib_analytic_h1_hw_engine_hpp
#define quantlib_analytic_h1_hw_engine_hpp
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
#include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>
namespace QuantLib {
//! Analytic Heston-Hull-White engine based on the H1-HW approximation
/*! This class is pricing a european option under the following process
\f[
\begin{array}{rcl}
dS(t, S) &=& (r-d) S dt +\sqrt{v} S dW_1 \\
dv(t, S) &=& \kappa (\theta - v) dt + \sigma \sqrt{v} dW_2 \\
dr(t) &=& (\theta(t) - a r) dt + \eta dW_3 \\
dW_1 dW_2 &=& \rho_{S,v} dt, \rho_{S,r} >= 0 \\
dW_1 dW_3 &=& \rho_{S.r} dt \\
dW_2 dW_3 &=& 0 dt \\
\end{array}
\f]
*/
/*! References:
Lech A. Grzelak, Cornelis W. Oosterlee,
On The Heston Model with Stochastic,
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1382902
Lech A. Grzelak,
Equity and Foreign Exchange Hybrid Models for
Pricing Long-Maturity Financial Derivatives,
http://repository.tudelft.nl/assets/uuid:a8e1a007-bd89-481a-aee3-0e22f15ade6b/PhDThesis_main.pdf
\ingroup vanillaengines
\test the correctness of the returned value is tested by
reproducing results available in web/literature, testing
against QuantLib's analytic Heston,
the Black-Scholes-Merton Hull-White engine and
the finite difference Heston-Hull-White engine
*/
class AnalyticH1HWEngine : public AnalyticHestonHullWhiteEngine {
public:
AnalyticH1HWEngine(const boost::shared_ptr<HestonModel>& model,
const boost::shared_ptr<HullWhite>& hullWhiteModel,
Real rhoXV, Size integrationOrder = 144);
AnalyticH1HWEngine(const boost::shared_ptr<HestonModel>& model,
const boost::shared_ptr<HullWhite>& hullWhiteModel,
Real rhoSr, Real relTolerance, Size maxEvaluations);
protected:
std::complex<Real> addOnTerm(Real phi, Time t, Size j) const;
private:
class Fj_Helper;
const Real rhoSr_;
};
}
#endif
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