/usr/include/ql/models/equity/piecewisetimedependenthestonmodel.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 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 piecewisetimedependenthestonmodel.hpp
\brief piecewise constant time dependent Heston-model
*/
#ifndef quantlib_piecewise_time_dependent_heston_model_hpp
#define quantlib_piecewise_time_dependent_heston_model_hpp
#include <ql/timegrid.hpp>
#include <ql/models/model.hpp>
namespace QuantLib {
//! Piecewise time dependent Heston model
/*! References:
Heston, Steven L., 1993. A Closed-Form Solution for Options
with Stochastic Volatility with Applications to Bond and
Currency Options. The review of Financial Studies, Volume 6,
Issue 2, 327-343.
A. Elices, Models with time-dependent parameters using
transform methods: application to Heston’s model,
http://arxiv.org/pdf/0708.2020
*/
class PiecewiseTimeDependentHestonModel : public CalibratedModel {
public:
PiecewiseTimeDependentHestonModel(
const Handle<YieldTermStructure>& riskFreeRate,
const Handle<YieldTermStructure>& dividendYield,
const Handle<Quote>& s0,
Real v0,
const Parameter& theta,
const Parameter& kappa,
const Parameter& sigma,
const Parameter& rho,
const TimeGrid& timeGrid);
// variance mean version level
Real theta(Time t) const { return arguments_[0](t); }
// variance mean reversion speed
Real kappa(Time t) const { return arguments_[1](t); }
// volatility of the volatility
Real sigma(Time t) const { return arguments_[2](t); }
// correlation
Real rho(Time t) const { return arguments_[3](t); }
// spot variance
Real v0() const { return arguments_[4](0.0); }
// spot
Real s0() const { return s0_->value(); }
const TimeGrid& timeGrid() const;
const Handle<YieldTermStructure>& dividendYield() const;
const Handle<YieldTermStructure>& riskFreeRate() const;
protected:
const Handle<Quote> s0_;
const Handle<YieldTermStructure> riskFreeRate_;
const Handle<YieldTermStructure> dividendYield_;
const TimeGrid timeGrid_;
};
}
#endif
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