/usr/include/ql/experimental/mcbasket/longstaffschwartzmultipathpricer.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) 2009 Andrea Odetti
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.
*/
#ifndef quantlib_longstaff_schwartz_multi_path_pricer_hpp
#define quantlib_longstaff_schwartz_multi_path_pricer_hpp
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/math/functional.hpp>
#include <ql/methods/montecarlo/pathpricer.hpp>
#include <ql/methods/montecarlo/multipath.hpp>
#include <ql/methods/montecarlo/lsmbasissystem.hpp>
#include <ql/experimental/mcbasket/pathpayoff.hpp>
#if defined(__GNUC__) && (((__GNUC__ == 4) && (__GNUC_MINOR__ >= 8)) || (__GNUC__ > 4))
#pragma GCC diagnostic push
#pragma GCC diagnostic ignored "-Wunused-local-typedefs"
#endif
#include <boost/bind.hpp>
#if defined(__GNUC__) && (((__GNUC__ == 4) && (__GNUC_MINOR__ >= 8)) || (__GNUC__ > 4))
#pragma GCC diagnostic pop
#endif
#include <boost/function.hpp>
namespace QuantLib {
//! Longstaff-Schwarz path pricer for early exercise options
/*! References:
Francis Longstaff, Eduardo Schwartz, 2001. Valuing American Options
by Simulation: A Simple Least-Squares Approach, The Review of
Financial Studies, Volume 14, No. 1, 113-147
\ingroup mcarlo
\test the correctness of the returned value is tested by
reproducing results available in web/literature
*/
class LongstaffSchwartzMultiPathPricer : public PathPricer<MultiPath> {
public:
LongstaffSchwartzMultiPathPricer(
const boost::shared_ptr<PathPayoff>& ,
const std::vector<Size> &,
const std::vector<Handle<YieldTermStructure> > &,
const Array &,
Size ,
LsmBasisSystem::PolynomType );
Real operator()(const MultiPath& multiPath) const;
virtual void calibrate();
protected:
struct PathInfo {
PathInfo(Size numberOfTimes);
Size pathLength() const;
Array payments;
Array exercises;
std::vector<Array> states;
};
PathInfo transformPath(const MultiPath& path) const;
bool calibrationPhase_;
const boost::shared_ptr<PathPayoff> payoff_;
boost::scoped_array<Array> coeff_;
boost::scoped_array<Real> lowerBounds_;
const std::vector<Size> timePositions_;
const std::vector<Handle<YieldTermStructure> > forwardTermStructures_;
const Array dF_;
mutable std::vector<PathInfo> paths_;
const std::vector<boost::function1<Real, Array> > v_;
};
}
#endif
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