/usr/include/ql/experimental/finitedifferences/fdmvppstepcondition.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, 2012 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 fdmvppstepcondition.hpp
\brief VPP step condition for FD models
*/
#ifndef quantlib_fdm_vpp_step_condition_hpp
#define quantlib_fdm_vpp_step_condition_hpp
#include <ql/methods/finitedifferences/stepcondition.hpp>
#include <boost/function.hpp>
#include <boost/shared_ptr.hpp>
#include <vector>
namespace QuantLib {
class FdmMesher;
class FdmLinearOpIterator;
class FdmInnerValueCalculator;
struct FdmVPPStepConditionParams {
const Real heatRate;
const Real pMin; const Real pMax;
const Size tMinUp; const Size tMinDown;
const Real startUpFuel; const Real startUpFixCost;
const Real fuelCostAddon;
};
struct FdmVPPStepConditionMesher {
const Size stateDirection;
const boost::shared_ptr<FdmMesher> mesher;
};
class FdmVPPStepCondition : public StepCondition<Array> {
public:
FdmVPPStepCondition(
const FdmVPPStepConditionParams& params,
Size nStates,
const FdmVPPStepConditionMesher& mesh,
const boost::shared_ptr<FdmInnerValueCalculator>& gasPrice,
const boost::shared_ptr<FdmInnerValueCalculator>& sparkSpreadPrice);
Size nStates() const;
void applyTo(Array& a, Time t) const;
virtual Real maxValue(const Array& states) const = 0;
protected:
Real evolveAtPMin(Real sparkSpread) const;
Real evolveAtPMax(Real sparkSpread) const;
Real evolve(const FdmLinearOpIterator& iter, Time t) const;
virtual Disposable<Array> changeState(
Real gasPrice, const Array& state, Time t) const = 0;
const Real heatRate_;
const Real pMin_, pMax_;
const Size tMinUp_, tMinDown_;
const Real startUpFuel_, startUpFixCost_;
const Real fuelCostAddon_;
const Size stateDirection_;
const Size nStates_;
const boost::shared_ptr<FdmMesher> mesher_;
const boost::shared_ptr<FdmInnerValueCalculator> gasPrice_;
const boost::shared_ptr<FdmInnerValueCalculator> sparkSpreadPrice_;
std::vector<boost::function<Real (Real)> > stateEvolveFcts_;
};
}
#endif
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