/usr/include/ql/pricingengines/vanilla/fdhestonvanillaengine.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) 2008 Andreas Gaida
Copyright (C) 2008 Ralph Schreyer
Copyright (C) 2008, 2009, 2014 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 fdhestonvanillaengine.hpp
\brief Finite-Differences Heston vanilla option engine
*/
#ifndef quantlib_fd_heston_vanilla_engine_hpp
#define quantlib_fd_heston_vanilla_engine_hpp
#include <ql/instruments/dividendvanillaoption.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
namespace QuantLib {
//! Finite-Differences Heston Vanilla Option engine
/*! \ingroup vanillaengines
\test the correctness of the returned value is tested by
reproducing results available in web/literature
and comparison with Black pricing.
*/
class FdHestonVanillaEngine
: public GenericModelEngine<HestonModel,
DividendVanillaOption::arguments,
DividendVanillaOption::results> {
public:
// Constructor
FdHestonVanillaEngine(
const boost::shared_ptr<HestonModel>& model,
Size tGrid = 100, Size xGrid = 100,
Size vGrid = 50, Size dampingSteps = 0,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer(),
const boost::shared_ptr<LocalVolTermStructure>& leverageFct
= boost::shared_ptr<LocalVolTermStructure>());
void calculate() const;
// multiple strikes caching engine
void update();
void enableMultipleStrikesCaching(const std::vector<Real>& strikes);
// helper method for Heston like engines
FdmSolverDesc getSolverDesc(Real equityScaleFactor) const;
private:
const Size tGrid_, xGrid_, vGrid_, dampingSteps_;
const FdmSchemeDesc schemeDesc_;
const boost::shared_ptr<LocalVolTermStructure> leverageFct_;
std::vector<Real> strikes_;
mutable std::vector<std::pair<DividendVanillaOption::arguments,
DividendVanillaOption::results> >
cachedArgs2results_;
};
}
#endif
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