/usr/include/ql/processes/stochasticprocessarray.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.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Klaus Spanderen
Copyright (C) 2005 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 stochasticprocessarray.hpp
\brief Array of correlated 1-D stochastic processes
*/
#ifndef quantlib_stochastic_process_array_hpp
#define quantlib_stochastic_process_array_hpp
#include <ql/stochasticprocess.hpp>
#include <vector>
namespace QuantLib {
//! %Array of correlated 1-D stochastic processes
/*! \ingroup processes */
class StochasticProcessArray : public StochasticProcess {
public:
StochasticProcessArray(
const std::vector<boost::shared_ptr<StochasticProcess1D> >&,
const Matrix& correlation);
// stochastic process interface
Size size() const;
Disposable<Array> initialValues() const;
Disposable<Array> drift(Time t, const Array& x) const;
Disposable<Array> expectation(Time t0, const Array& x0, Time dt) const;
Disposable<Matrix> diffusion(Time t, const Array& x) const;
Disposable<Matrix> covariance(Time t0, const Array& x0, Time dt) const;
Disposable<Matrix> stdDeviation(Time t0, const Array& x0,
Time dt) 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;
Time time(const Date&) const;
// inspectors
const boost::shared_ptr<StochasticProcess1D>& process(Size i) const;
Disposable<Matrix> correlation() const;
protected:
std::vector<boost::shared_ptr<StochasticProcess1D> > processes_;
Matrix sqrtCorrelation_;
};
}
#endif
|