/usr/include/ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp is in libquantlib0-dev 1.7.1-1.
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) 2011 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 fdklugeextouspreadengine.hpp
\brief FD Kluge/extended Ornstein-Uhlenbeck engine
for a simple power-gas spread option
*/
#ifndef quantlib_fd_kluge_extou_spread_engine_hpp
#define quantlib_fd_kluge_extou_spread_engine_hpp
#include <ql/pricingengine.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
#include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>
#include <ql/experimental/processes/klugeextouprocess.hpp>
namespace QuantLib {
class YieldTermStructure;
class ExtOUWithJumpsProcess;
class ExtendedOrnsteinUhlenbeckProcess;
class FdKlugeExtOUSpreadEngine
: public GenericEngine<VanillaOption::arguments,
VanillaOption::results> {
public:
typedef FdmExtOUJumpModelInnerValue::Shape GasShape;
typedef FdmExtOUJumpModelInnerValue::Shape PowerShape;
FdKlugeExtOUSpreadEngine(
const boost::shared_ptr<KlugeExtOUProcess>& klugeOUProcess,
const boost::shared_ptr<YieldTermStructure>& rTS,
Size tGrid = 25, Size xGrid = 50, Size yGrid = 10, Size uGrid=25,
const boost::shared_ptr<GasShape>& gasShape
= boost::shared_ptr<GasShape>(),
const boost::shared_ptr<PowerShape>& powerShape
= boost::shared_ptr<PowerShape>(),
const FdmSchemeDesc& schemeDesc=FdmSchemeDesc::Hundsdorfer());
void calculate() const;
private:
const boost::shared_ptr<KlugeExtOUProcess> klugeOUProcess_;
const boost::shared_ptr<YieldTermStructure> rTS_;
const Size tGrid_, xGrid_, yGrid_, uGrid_;
const boost::shared_ptr<GasShape> gasShape_;
const boost::shared_ptr<PowerShape> powerShape_;
const FdmSchemeDesc schemeDesc_;
};
}
#endif
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