/usr/include/ql/processes/hybridhestonhullwhiteprocess.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) 2007, 2008 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 hybridhestonhullwhiteprocess.hpp
\brief hybrid equity (heston model)
with stochastic interest rates (hull white model)
*/
#ifndef quantlib_hybrid_heston_hull_white_process_hpp
#define quantlib_hybrid_heston_hull_white_process_hpp
#include <ql/processes/hestonprocess.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/processes/jointstochasticprocess.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
namespace QuantLib {
//! Hybrid Heston Hull-White stochastic process
/*! This class implements a three factor Heston Hull-White model
\bug This class was not tested enough to guarantee
its functionality... work in progress
\ingroup processes
*/
class HybridHestonHullWhiteProcess : public StochasticProcess {
public:
enum Discretization { Euler, BSMHullWhite };
HybridHestonHullWhiteProcess(
const boost::shared_ptr<HestonProcess> & hestonProcess,
const boost::shared_ptr<HullWhiteForwardProcess> & hullWhiteProcess,
Real corrEquityShortRate,
Discretization discretization = BSMHullWhite);
Size size() const;
Disposable<Array> initialValues() const;
Disposable<Array> drift(Time t, const Array& x) const;
Disposable<Matrix> diffusion(Time t, const Array& x) const;
Disposable<Array> apply(const Array& x0, const Array& dx) const;
Disposable<Array> evolve(Time t0, const Array& x0,
Time dt, const Array& dw) const;
DiscountFactor numeraire(Time t, const Array& x) const;
const boost::shared_ptr<HestonProcess>& hestonProcess() const;
const boost::shared_ptr<HullWhiteForwardProcess>&
hullWhiteProcess() const;
Real eta() const;
Time time(const Date& date) const;
Discretization discretization() const;
void update();
protected:
const boost::shared_ptr<HestonProcess> hestonProcess_;
const boost::shared_ptr<HullWhiteForwardProcess> hullWhiteProcess_;
//model is used to calculate P(t,T)
const boost::shared_ptr<HullWhite> hullWhiteModel_;
const Real corrEquityShortRate_;
const Discretization discretization_;
const Real maxRho_;
const Time T_;
DiscountFactor endDiscount_;
};
}
#endif
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