/usr/include/ql/instruments/makecms.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.
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 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2007 Ferdinando Ametrano
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 makecms.hpp
\brief Helper class to instantiate standard market CMS.
*/
#ifndef quantlib_makecms_hpp
#define quantlib_makecms_hpp
#include <ql/cashflows/cmscoupon.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/pricingengine.hpp>
namespace QuantLib {
class Swap;
class IborIndex;
//! helper class for instantiating CMS
/*! This class provides a more comfortable way
to instantiate standard market constant maturity swap.
*/
class MakeCms {
public:
MakeCms(const Period& swapTenor,
const boost::shared_ptr<SwapIndex>& swapIndex,
const boost::shared_ptr<IborIndex>& iborIndex,
Spread iborSpread = 0.0,
const Period& forwardStart = 0*Days);
MakeCms(const Period& swapTenor,
const boost::shared_ptr<SwapIndex>& swapIndex,
Spread iborSpread = 0.0,
const Period& forwardStart = 0*Days);
operator Swap() const;
operator boost::shared_ptr<Swap>() const ;
MakeCms& receiveCms(bool flag = true);
MakeCms& withNominal(Real n);
MakeCms& withEffectiveDate(const Date&);
MakeCms& withCmsLegTenor(const Period& t);
MakeCms& withCmsLegCalendar(const Calendar& cal);
MakeCms& withCmsLegConvention(BusinessDayConvention bdc);
MakeCms& withCmsLegTerminationDateConvention(BusinessDayConvention);
MakeCms& withCmsLegRule(DateGeneration::Rule r);
MakeCms& withCmsLegEndOfMonth(bool flag = true);
MakeCms& withCmsLegFirstDate(const Date& d);
MakeCms& withCmsLegNextToLastDate(const Date& d);
MakeCms& withCmsLegDayCount(const DayCounter& dc);
MakeCms& withFloatingLegTenor(const Period& t);
MakeCms& withFloatingLegCalendar(const Calendar& cal);
MakeCms& withFloatingLegConvention(BusinessDayConvention bdc);
MakeCms& withFloatingLegTerminationDateConvention(
BusinessDayConvention bdc);
MakeCms& withFloatingLegRule(DateGeneration::Rule r);
MakeCms& withFloatingLegEndOfMonth(bool flag = true);
MakeCms& withFloatingLegFirstDate(const Date& d);
MakeCms& withFloatingLegNextToLastDate(const Date& d);
MakeCms& withFloatingLegDayCount(const DayCounter& dc);
MakeCms& withAtmSpread(bool flag = true);
MakeCms& withDiscountingTermStructure(
const Handle<YieldTermStructure>& discountingTermStructure);
MakeCms& withCmsCouponPricer(
const boost::shared_ptr<CmsCouponPricer>& couponPricer);
private:
Period swapTenor_;
boost::shared_ptr<SwapIndex> swapIndex_;
boost::shared_ptr<IborIndex> iborIndex_;
Spread iborSpread_;
bool useAtmSpread_;
Period forwardStart_;
Spread cmsSpread_;
Real cmsGearing_;
Rate cmsCap_, cmsFloor_;
Date effectiveDate_;
Calendar cmsCalendar_, floatCalendar_;
bool payCms_;
Real nominal_;
Period cmsTenor_, floatTenor_;
BusinessDayConvention cmsConvention_, cmsTerminationDateConvention_;
BusinessDayConvention floatConvention_, floatTerminationDateConvention_;
DateGeneration::Rule cmsRule_, floatRule_;
bool cmsEndOfMonth_, floatEndOfMonth_;
Date cmsFirstDate_, cmsNextToLastDate_;
Date floatFirstDate_, floatNextToLastDate_;
DayCounter cmsDayCount_, floatDayCount_;
boost::shared_ptr<PricingEngine> engine_;
boost::shared_ptr<CmsCouponPricer> couponPricer_;
};
}
#endif
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