/usr/include/ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.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 fdmextoujumpmodelinnervalue.hpp
\brief inner value calculator for the Ornstein Uhlenbeck
plus exponential jumps model (Kluge Model)
*/
#ifndef quantlib_fdm_ext_ou_jump_model_inner_value_hpp
#define quantlib_fdm_ext_ou_jump_model_inner_value_hpp
#include <ql/payoff.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
namespace QuantLib {
class FdmExtOUJumpModelInnerValue : public FdmInnerValueCalculator {
public:
typedef std::vector<std::pair<Time, Real> > Shape;
FdmExtOUJumpModelInnerValue(const boost::shared_ptr<Payoff>& payoff,
const boost::shared_ptr<FdmMesher>& mesher,
const boost::shared_ptr<Shape>& shape =
boost::shared_ptr<Shape>())
: payoff_(payoff),
mesher_(mesher),
shape_ (shape) { }
Real innerValue(const FdmLinearOpIterator& iter, Time t) {
const Real x = mesher_->location(iter, 0);
const Real y = mesher_->location(iter, 1);
Real f = 0;
if (shape_) {
f = std::lower_bound(shape_->begin(), shape_->end(),
std::pair<Time, Real>(t-std::sqrt(QL_EPSILON), 0.0))->second;
}
return payoff_->operator()(std::exp(f + x + y));
}
Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
return innerValue(iter, t);
}
private:
const boost::shared_ptr<Payoff> payoff_;
const boost::shared_ptr<FdmMesher> mesher_;
const boost::shared_ptr<Shape> shape_;
};
}
#endif
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