/usr/include/ql/instruments/bmaswap.hpp is in libquantlib0-dev 1.4-2+b1.
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) 2007 Roland Lichters
Copyright (C) 2007 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 bmaswap.hpp
\brief swap paying Libor against BMA coupons
*/
#ifndef quantlib_bma_swap_hpp
#define quantlib_bma_swap_hpp
#include <ql/instruments/swap.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/indexes/bmaindex.hpp>
namespace QuantLib {
//! swap paying Libor against BMA coupons
class BMASwap : public Swap {
public:
enum Type { Receiver = -1, Payer = 1 };
BMASwap(Type type,
Real nominal,
// Libor leg
const Schedule& liborSchedule,
Rate liborFraction,
Rate liborSpread,
const boost::shared_ptr<IborIndex>& liborIndex,
const DayCounter& liborDayCount,
// BMA leg
const Schedule& bmaSchedule,
const boost::shared_ptr<BMAIndex>& bmaIndex,
const DayCounter& bmaDayCount);
//! \name Inspectors
//@{
Real liborFraction() const;
Spread liborSpread() const;
Real nominal() const;
//! "payer" or "receiver" refer to the BMA leg
Type type() const;
const Leg& bmaLeg() const;
const Leg& liborLeg() const;
//@}
//! \name Results
//@{
Real liborLegBPS() const;
Real liborLegNPV() const;
Rate fairLiborFraction() const;
Spread fairLiborSpread() const;
Real bmaLegBPS() const;
Real bmaLegNPV() const;
//@}
private:
Type type_;
Real nominal_;
Rate liborFraction_;
Rate liborSpread_;
};
}
#endif
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