/usr/include/ql/experimental/finitedifferences/fdmsimple2dextousolver.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.
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 68 69 70 71 72 73 74 75 76 77 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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 fdmsimple2dextousolver.hpp
\brief solver for simple swing options based on ext OU process
*/
#ifndef quantlib_fdm_2d_ext_ou_solver_hpp
#define quantlib_fdm_2d_ext_ou_solver_hpp
#include <ql/handle.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
namespace QuantLib {
class FdmSimple2dExtOUSolver : public LazyObject {
public:
FdmSimple2dExtOUSolver(
const Handle<ExtendedOrnsteinUhlenbeckProcess>& process,
const boost::shared_ptr<YieldTermStructure>& rTS,
const FdmSolverDesc& solverDesc,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer())
: process_(process), rTS_(rTS),
solverDesc_(solverDesc), schemeDesc_(schemeDesc) {
registerWith(process);
}
Real valueAt(Real x, Real y) const {
calculate();
return solver_->interpolateAt(x, y);
}
protected:
void performCalculations() const {
boost::shared_ptr<FdmLinearOpComposite>op(
new FdmExtendedOrnsteinUhlenbackOp(
solverDesc_.mesher, process_.currentLink(),
rTS_, solverDesc_.bcSet));
solver_ = boost::shared_ptr<Fdm2DimSolver>(
new Fdm2DimSolver(solverDesc_, schemeDesc_, op));
}
private:
const Handle<ExtendedOrnsteinUhlenbeckProcess> process_;
const boost::shared_ptr<YieldTermStructure> rTS_;
const FdmSolverDesc solverDesc_;
const FdmSchemeDesc schemeDesc_;
mutable boost::shared_ptr<Fdm2DimSolver> solver_;
};
}
#endif
|