/usr/include/ql/models/equity/hestonmodelhelper.hpp is in libquantlib0-dev 1.12-1.
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 Klaus Spanderen
Copyright (C) 2015 Peter Caspers
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 hestonmodelhelper.hpp
\brief Heston-model calibration helper
*/
#ifndef quantlib_heston_option_helper_hpp
#define quantlib_heston_option_helper_hpp
#include <ql/models/calibrationhelper.hpp>
#include <ql/instruments/vanillaoption.hpp>
namespace QuantLib {
//! calibration helper for Heston model
class HestonModelHelper : public CalibrationHelper {
public:
HestonModelHelper(const Period& maturity,
const Calendar& calendar,
const Real s0,
const Real strikePrice,
const Handle<Quote>& volatility,
const Handle<YieldTermStructure>& riskFreeRate,
const Handle<YieldTermStructure>& dividendYield,
CalibrationHelper::CalibrationErrorType errorType
= CalibrationHelper::RelativePriceError);
HestonModelHelper(const Period& maturity,
const Calendar& calendar,
const Handle<Quote>& s0,
const Real strikePrice,
const Handle<Quote>& volatility,
const Handle<YieldTermStructure>& riskFreeRate,
const Handle<YieldTermStructure>& dividendYield,
CalibrationHelper::CalibrationErrorType errorType
= CalibrationHelper::RelativePriceError);
void addTimesTo(std::list<Time>&) const {}
void performCalculations() const;
Real modelValue() const;
Real blackPrice(Real volatility) const;
Time maturity() const { calculate(); return tau_; }
private:
const Period maturity_;
const Calendar calendar_;
const Handle<Quote> s0_;
const Real strikePrice_;
const Handle<YieldTermStructure> dividendYield_;
mutable Date exerciseDate_;
mutable Time tau_;
mutable Option::Type type_;
mutable boost::shared_ptr<VanillaOption> option_;
};
}
#endif
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