/usr/include/ql/pricingengines/vanilla/fdblackscholesvanillaengine.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) 2008 Andreas Gaida
Copyright (C) 2008 Ralph Schreyer
Copyright (C) 2008, 2009 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 fdblackscholesvanillaengine.hpp
\brief Finite-Differences Black Scholes vanilla option engine
*/
#ifndef quantlib_fd_black_scholes_vanilla_engine_hpp
#define quantlib_fd_black_scholes_vanilla_engine_hpp
#include <ql/pricingengine.hpp>
#include <ql/instruments/dividendvanillaoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
namespace QuantLib {
//! Finite-Differences Black Scholes vanilla option engine
/*! \ingroup vanillaengines
\test the correctness of the returned value is tested by
reproducing results available in web/literature
and comparison with Black pricing.
*/
class GeneralizedBlackScholesProcess;
class FdBlackScholesVanillaEngine : public DividendVanillaOption::engine {
public:
// Constructor
FdBlackScholesVanillaEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>&,
Size tGrid = 100, Size xGrid = 100, Size dampingSteps = 0,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas(),
bool localVol = false,
Real illegalLocalVolOverwrite = -Null<Real>());
void calculate() const;
private:
const boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
const Size tGrid_, xGrid_, dampingSteps_;
const FdmSchemeDesc schemeDesc_;
const bool localVol_;
const Real illegalLocalVolOverwrite_;
};
}
#endif
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