/usr/include/ql/experimental/finitedifferences/fdmzabrop.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 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 Peter Caspers
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 fdmzabrop.hpp
\brief Zabr linear pricing operator
*/
#ifndef quantlib_fdm_zabr_op_hpp
#define quantlib_fdm_zabr_op_hpp
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
#include <ql/methods/finitedifferences/operators/ninepointlinearop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
namespace QuantLib {
class FdmZabrUnderlyingPart {
public:
FdmZabrUnderlyingPart(const boost::shared_ptr<FdmMesher> &mesher,
const Real beta, const Real nu, const Real rho,
const Real gamma);
void setTime(Time t1, Time t2);
const TripleBandLinearOp &getMap() const;
protected:
const Array volatilityValues_;
const Array forwardValues_;
TripleBandLinearOp mapT_;
const boost::shared_ptr<FdmMesher> mesher_;
};
class FdmZabrVolatilityPart {
public:
FdmZabrVolatilityPart(const boost::shared_ptr<FdmMesher> &mesher,
const Real beta, const Real nu, const Real rho,
const Real gamma);
void setTime(Time t1, Time t2);
const TripleBandLinearOp &getMap() const;
protected:
const Array volatilityValues_;
const Array forwardValues_;
TripleBandLinearOp mapT_;
const boost::shared_ptr<FdmMesher> mesher_;
};
class FdmZabrOp : public FdmLinearOpComposite {
public:
FdmZabrOp(
const boost::shared_ptr<FdmMesher> &mesher, const Real beta,
const Real nu, const Real rho,
const Real gamma = 1.0); // gamma=1.0 recovers the classic sabr model
Size size() const;
void setTime(Time t1, Time t2);
Disposable<Array> apply(const Array &r) const;
Disposable<Array> apply_mixed(const Array &r) const;
Disposable<Array> apply_direction(Size direction, const Array &r) const;
Disposable<Array> solve_splitting(Size direction, const Array &r,
Real s) const;
Disposable<Array> preconditioner(const Array &r, Real s) const;
#if !defined(QL_NO_UBLAS_SUPPORT)
Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const;
#endif
private:
const Array volatilityValues_;
const Array forwardValues_;
NinePointLinearOp dxyMap_;
FdmZabrUnderlyingPart dxMap_;
FdmZabrVolatilityPart dyMap_;
};
}
#endif
|