/usr/include/ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.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 fdsimpleextoujumpswingengine.hpp
\brief Finite Differences engine for simple vpp options
*/
#ifndef quantlib_fd_simple_kluge_ou_vpp_engine_hpp
#define quantlib_fd_simple_kluge_ou_vpp_engine_hpp
#include <ql/pricingengine.hpp>
#include <ql/experimental/finitedifferences/vanillavppoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
namespace QuantLib {
//! Finite-Differences engine for simple vpp options
class YieldTermStructure;
class KlugeExtOUProcess;
class FdSimpleKlugeExtOUVPPEngine
: public GenericEngine<VanillaVPPOption::arguments,
VanillaVPPOption::results> {
public:
typedef FdmExtOUJumpModelInnerValue::Shape Shape;
FdSimpleKlugeExtOUVPPEngine(
const boost::shared_ptr<KlugeExtOUProcess>& process,
const boost::shared_ptr<YieldTermStructure>& rTS,
const boost::shared_ptr<Shape>& fuelShape,
const boost::shared_ptr<Shape>& powerShape,
Real fuelCostAddon,
Size tGrid = 1 , Size xGrid = 50,
Size yGrid = 10, Size gGrid = 20,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
void calculate() const;
private:
const boost::shared_ptr<KlugeExtOUProcess> process_;
const boost::shared_ptr<YieldTermStructure> rTS_;
const Real fuelCostAddon_;
const boost::shared_ptr<Shape> fuelShape_;
const boost::shared_ptr<Shape> powerShape_;
const Size tGrid_, xGrid_, yGrid_, gGrid_;
const FdmSchemeDesc schemeDesc_;
};
}
#endif
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