/usr/include/ql/processes/squarerootprocess.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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2004, 2005 StatPro Italia srl
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 squarerootprocess.hpp
\brief square-root process
*/
#ifndef quantlib_square_root_process_hpp
#define quantlib_square_root_process_hpp
#include <ql/stochasticprocess.hpp>
#include <ql/processes/eulerdiscretization.hpp>
namespace QuantLib {
//! Square-root process class
/*! This class describes a square-root process governed by
\f[
dx = a (b - x_t) dt + \sigma \sqrt{x_t} dW_t.
\f]
\ingroup processes
*/
class SquareRootProcess : public StochasticProcess1D {
public:
SquareRootProcess(
Real b, Real a, Volatility sigma, Real x0 = 0.0,
const boost::shared_ptr<discretization>& d =
boost::shared_ptr<discretization>(new EulerDiscretization));
//! \name StochasticProcess interface
//@{
Real x0() const;
Real drift(Time t, Real x) const;
Real diffusion(Time t, Real x) const;
//@}
private:
Real x0_, mean_, speed_;
Volatility volatility_;
};
}
#endif
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