/usr/include/ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.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) 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 fdhestonhullwhitevanillaengine.hpp
\brief Finite-Differences Heston Hull-White vanilla option engine
*/
#ifndef quantlib_fd_heston_hull_white_vanilla_engine_hpp
#define quantlib_fd_heston_hull_white_vanilla_engine_hpp
#include <ql/instruments/dividendvanillaoption.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp>
namespace QuantLib {
//! Finite-Differences Heston Hull-White 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/Heston pricing.
*/
class FdHestonHullWhiteVanillaEngine
: public GenericModelEngine<HestonModel,
DividendVanillaOption::arguments,
DividendVanillaOption::results> {
public:
// Constructor
FdHestonHullWhiteVanillaEngine(
const boost::shared_ptr<HestonModel>& model,
const boost::shared_ptr<HullWhiteProcess>& hwProcess,
Real corrEquityShortRate,
Size tGrid = 50, Size xGrid = 100,
Size vGrid = 40, Size rGrid = 20,
Size dampingSteps = 0,
bool controlVariate = true,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
void calculate() const;
// multiple strikes caching engine
void update();
void enableMultipleStrikesCaching(const std::vector<Real>& strikes);
private:
const boost::shared_ptr<HullWhiteProcess> hwProcess_;
const Real corrEquityShortRate_;
const Size tGrid_, xGrid_, vGrid_, rGrid_;
const Size dampingSteps_;
const FdmSchemeDesc schemeDesc_;
const bool controlVariate_;
std::vector<Real> strikes_;
mutable std::vector<std::pair<DividendVanillaOption::arguments,
DividendVanillaOption::results> >
cachedArgs2results_;
};
}
#endif
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