/usr/include/ql/pricingengines/basket/fd2dblackscholesvanillaengine.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) 2010 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 fd2dblackscholesvanillaengine.hpp
\brief Finite-Differences 2 dim Black Scholes vanilla option engine
*/
#ifndef quantlib_fd_2d_black_scholes_vanilla_engine_hpp
#define quantlib_fd_2d_black_scholes_vanilla_engine_hpp
#include <ql/pricingengine.hpp>
#include <ql/instruments/basketoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
namespace QuantLib {
//! Two dimensional finite-differences Black Scholes vanilla option engine
/*! \ingroup basketengines
\test the correctness of the returned value is tested by
reproducing results available in web/literature
and comparison with Kirk approximation.
*/
class Fd2dBlackScholesVanillaEngine : public BasketOption::engine {
public:
Fd2dBlackScholesVanillaEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& p1,
const boost::shared_ptr<GeneralizedBlackScholesProcess>& p2,
Real correlation,
Size xGrid = 100, Size yGrid = 100,
Size tGrid = 50, Size dampingSteps = 0,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer(),
bool localVol = false,
Real illegalLocalVolOverwrite = -Null<Real>());
void calculate() const;
private:
const boost::shared_ptr<GeneralizedBlackScholesProcess> p1_;
const boost::shared_ptr<GeneralizedBlackScholesProcess> p2_;
const Real correlation_;
const Size xGrid_, yGrid_, tGrid_;
const Size dampingSteps_;
const FdmSchemeDesc schemeDesc_;
const bool localVol_;
const Real illegalLocalVolOverwrite_;
};
}
#endif
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