/usr/include/ql/pricingengines/vanilla/coshestonengine.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) 2017 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 coshestonengine.hpp
\brief Heston engine based on Fourier-Cosine series expansions
*/
#ifndef quantlib_cos_heston_engine_hpp
#define quantlib_cos_heston_engine_hpp
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <complex>
namespace QuantLib {
//! COS-method Heston engine based on efficient Fourier series expansions
/*! References:
F. Fang, C.W. Oosterlee: A Novel Pricing Method for European Ooptions
based on Fourier-Cosine Series Expansions,
http://ta.twi.tudelft.nl/mf/users/oosterle/oosterlee/COS.pdf
Fabien Le Floc'h: Fourier Integration and Stochastic Volatility
Calibration,
https://papers.ssrn.com/sol3/papers2.cfm?abstract_id=2362968
\ingroup vanillaengines
\test the correctness of the returned value is tested by
reproducing results available in web/literature
and comparison with Black pricing.
*/
class COSHestonEngine
: public GenericModelEngine<HestonModel,
VanillaOption::arguments,
VanillaOption::results> {
public:
COSHestonEngine(const boost::shared_ptr<HestonModel>& model,
Real L = 16, Size N=200);
void update();
void calculate() const;
// normalized characteristic function
std::complex<Real> chF(Real u, Real t) const;
Real c1(Time t) const;
Real c2(Time t) const;
Real c3(Time t) const;
Real c4(Time t) const;
private:
Real muT(Time t) const;
const Real L_;
const Size N_;
Real kappa_, theta_, sigma_, rho_, v0_;
};
}
#endif
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