/usr/include/ql/pricingengines/vanilla/analyticptdhestonengine.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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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 analyticptdhestonengine.hpp
\brief analytic piecewise time dependent Heston-model engine
*/
#ifndef quantlib_analytic_piecewise_time_dependent_heston_engine_hpp
#define quantlib_analytic_piecewise_time_dependent_heston_engine_hpp
#include <ql/instruments/vanillaoption.hpp>
#include <ql/pricingengines/vanilla/analytichestonengine.hpp>
#include <ql/models/equity/piecewisetimedependenthestonmodel.hpp>
namespace QuantLib {
//! analytic piecewise constant time dependent Heston-model engine
/*! 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.
J. Gatheral, The Volatility Surface: A Practitioner's Guide,
Wiley Finance
A. Elices, Models with time-dependent parameters using
transform methods: application to Heston’s model,
http://arxiv.org/pdf/0708.2020
\ingroup vanillaengines
*/
class AnalyticPTDHestonEngine
: public GenericModelEngine<PiecewiseTimeDependentHestonModel,
VanillaOption::arguments,
VanillaOption::results> {
public:
// Simple to use constructor: Using adaptive
// Gauss-Lobatto integration and Gatheral's version of complex log.
// Be aware: using a too large number for maxEvaluations might result
// in a stack overflow as the Lobatto integration is a recursive
// algorithm.
AnalyticPTDHestonEngine(
const boost::shared_ptr<PiecewiseTimeDependentHestonModel>& model,
Real relTolerance, Size maxEvaluations);
// Constructor using Laguerre integration
// and Gatheral's version of complex log.
AnalyticPTDHestonEngine(
const boost::shared_ptr<PiecewiseTimeDependentHestonModel>& model,
Size integrationOrder = 144);
void calculate() const;
private:
class Fj_Helper;
const boost::shared_ptr<AnalyticHestonEngine::Integration> integration_;
};
}
#endif
|