/usr/include/ql/experimental/variancegamma/variancegammaprocess.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) 2010 Adrian O' Neill
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 variancegammaprocess.hpp
\brief Variance Gamma stochastic process
*/
#ifndef quantlib_variance_gamma_process_hpp
#define quantlib_variance_gamma_process_hpp
#include <ql/stochasticprocess.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/quote.hpp>
namespace QuantLib {
//! Variance gamma process
/*! This class describes the stochastic volatility
process. With a Brownian motion given by
\f[
db = \theta dt + \sigma dW_t
\f]
then a Variance Gamma process X is defined by evaluating this
Brownian motion at sample times driven by a Gamma process. If T is
the value of a Gamma process with mean 1 and variance rate \f$ \nu
\f$ then the Variance Gamma process is given by
\f[
X(t) = B(T)
\f]
\ingroup processes
*/
class VarianceGammaProcess : public StochasticProcess1D {
public:
VarianceGammaProcess(const Handle<Quote>& s0,
const Handle<YieldTermStructure>& dividendYield,
const Handle<YieldTermStructure>& riskFreeRate,
Real sigma, Real nu, Real theta);
Real x0() const;
Real drift(Time t, Real x) const;
Real diffusion(Time t, Real x) const;
Real sigma() const { return sigma_; }
Real nu() const { return nu_; }
Real theta() const { return theta_; }
const Handle<Quote>& s0() const;
const Handle<YieldTermStructure>& dividendYield() const;
const Handle<YieldTermStructure>& riskFreeRate() const;
private:
Handle<Quote> s0_;
Handle<YieldTermStructure> dividendYield_, riskFreeRate_;
Real sigma_, nu_, theta_;
};
}
#endif
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