/usr/include/ql/experimental/processes/hestonslvprocess.hpp is in libquantlib0-dev 1.9.1-1.
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) 2015 Johannes Goettker-Schnetmann
Copyright (C) 2015 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 hestonslvprocess.hpp
\brief Heston stochastic local volatility process
*/
#ifndef quantlib_heston_slv_process_hpp
#define quantlib_heston_slv_process_hpp
#include <ql/processes/hestonprocess.hpp>
#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
namespace QuantLib {
class HestonSLVProcess : public StochasticProcess {
public:
HestonSLVProcess(
const boost::shared_ptr<HestonProcess>& hestonProcess,
const boost::shared_ptr<LocalVolTermStructure>& leverageFct);
Size size() const { return Size(2); }
Size factors() const { return Size(2); }
void update();
Disposable<Array> initialValues() const {
return hestonProcess_->initialValues();
}
Disposable<Array> apply(const Array& x0, const Array& dx) const {
return hestonProcess_->apply(x0, dx);
}
Disposable<Array> drift(Time t, const Array& x) const;
Disposable<Matrix> diffusion(Time t, const Array& x) const;
Disposable<Array> evolve(Time t0, const Array& x0,
Time dt, const Array& dw) const;
Real v0() const { return v0_; }
Real rho() const { return rho_; }
Real kappa() const { return kappa_; }
Real theta() const { return theta_; }
Real sigma() const { return sigma_; }
boost::shared_ptr<LocalVolTermStructure> leverageFct() const {
return leverageFct_;
}
const Handle<Quote>& s0() const { return hestonProcess_->s0(); }
const Handle<YieldTermStructure>& dividendYield() const {
return hestonProcess_->dividendYield();
}
const Handle<YieldTermStructure>& riskFreeRate() const {
return hestonProcess_->riskFreeRate();
}
Time time(const Date& d) const { return hestonProcess_->time(d); }
private:
Real kappa_, theta_, sigma_, rho_, v0_;
const boost::shared_ptr<HestonProcess> hestonProcess_;
const boost::shared_ptr<LocalVolTermStructure> leverageFct_;
};
}
#endif
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