/usr/include/ql/pricingengines/vanilla/fdeuropeanengine.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) 2005 Joseph Wang
Copyright (C) 2007, 2009 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 fdeuropeanengine.hpp
\brief Finite-difference European engine
*/
#ifndef quantlib_fd_european_engine_hpp
#define quantlib_fd_european_engine_hpp
#include <ql/instruments/oneassetoption.hpp>
#include <ql/pricingengines/vanilla/fdvanillaengine.hpp>
#include <ql/pricingengines/greeks.hpp>
#include <ql/methods/finitedifferences/cranknicolson.hpp>
#include <ql/math/sampledcurve.hpp>
namespace QuantLib {
//! Pricing engine for European options using finite-differences
/*! \ingroup vanillaengines
\test the correctness of the returned value is tested by
checking it against analytic results.
*/
template <template <class> class Scheme = CrankNicolson>
class FDEuropeanEngine : public OneAssetOption::engine,
public FDVanillaEngine {
public:
FDEuropeanEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Size timeSteps=100, Size gridPoints=100,
bool timeDependent = false)
: FDVanillaEngine(process, timeSteps, gridPoints, timeDependent),
prices_(gridPoints) {
registerWith(process);
}
private:
mutable SampledCurve prices_;
void calculate() const;
};
template <template <class> class Scheme>
void FDEuropeanEngine<Scheme>::calculate() const {
setupArguments(&arguments_);
setGridLimits();
initializeInitialCondition();
initializeOperator();
initializeBoundaryConditions();
FiniteDifferenceModel<Scheme<TridiagonalOperator> > model(
finiteDifferenceOperator_, BCs_);
prices_ = intrinsicValues_;
model.rollback(prices_.values(), getResidualTime(),
0, timeSteps_);
results_.value = prices_.valueAtCenter();
results_.delta = prices_.firstDerivativeAtCenter();
results_.gamma = prices_.secondDerivativeAtCenter();
results_.theta = blackScholesTheta(process_,
results_.value,
results_.delta,
results_.gamma);
results_.additionalResults["priceCurve"] = prices_;
}
}
#endif
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