/usr/include/ql/pricingengines/vanilla/fdbermudanengine.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 Joseph Wang
Copyright (C) 2007, 2009 StatPro Italia srl
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 fdbermudanengine.hpp
\brief finite-difference Bermudan engine
*/
#ifndef quantlib_fd_bermudan_engine_hpp
#define quantlib_fd_bermudan_engine_hpp
#include <ql/instruments/vanillaoption.hpp>
#include <ql/pricingengines/vanilla/fdmultiperiodengine.hpp>
namespace QuantLib {
//! Finite-differences Bermudan engine
/*! \ingroup vanillaengines */
template <template <class> class Scheme = CrankNicolson>
class FDBermudanEngine : public VanillaOption::engine,
public FDMultiPeriodEngine<Scheme> {
public:
// constructor
FDBermudanEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Size timeSteps = 100,
Size gridPoints = 100,
bool timeDependent = false)
: FDMultiPeriodEngine<Scheme>(process, timeSteps,
gridPoints, timeDependent) {}
void calculate() const {
this->setupArguments(&arguments_);
FDMultiPeriodEngine<Scheme>::calculate(&results_);
}
protected:
using FDMultiPeriodEngine<Scheme>::calculate;
Real extraTermInBermudan ;
void initializeStepCondition() const {
this->stepCondition_ =
boost::shared_ptr<StandardStepCondition>(
new NullCondition<Array>());
};
void executeIntermediateStep(Size ) const {
Size size = this->intrinsicValues_.size();
for (Size j=0; j<size; j++) {
this->prices_.value(j) =
std::max(this->prices_.value(j),
this->intrinsicValues_.value(j));
}
}
};
}
#endif
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