/usr/include/ql/instruments/makeswaption.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 Ferdinando Ametrano
Copyright (C) 2007 Giorgio Facchinetti
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 makeswaption.hpp
\brief Helper class to instantiate standard market swaption.
*/
#ifndef quantlib_make_swaption_hpp
#define quantlib_make_swaption_hpp
#include <ql/time/businessdayconvention.hpp>
#include <ql/instruments/swaption.hpp>
namespace QuantLib {
class SwapIndex;
class Swap;
class Calendar;
class IborIndex;
class Period;
class PricingEngine;
//! helper class
/*! This class provides a more comfortable way
to instantiate standard market swaption.
*/
class MakeSwaption {
public:
MakeSwaption(const boost::shared_ptr<SwapIndex>& swapIndex,
const Period& optionTenor,
Rate strike = Null<Rate>());
MakeSwaption(const boost::shared_ptr<SwapIndex>& swapIndex,
const Date& fixingDate,
Rate strike = Null<Rate>());
operator Swaption() const;
operator boost::shared_ptr<Swaption>() const ;
MakeSwaption& withSettlementType(Settlement::Type delivery);
MakeSwaption& withOptionConvention(BusinessDayConvention bdc);
MakeSwaption& withExerciseDate(const Date&);
MakeSwaption& withUnderlyingType(const VanillaSwap::Type type);
MakeSwaption& withPricingEngine(
const boost::shared_ptr<PricingEngine>& engine);
private:
boost::shared_ptr<SwapIndex> swapIndex_;
Settlement::Type delivery_;
mutable boost::shared_ptr<VanillaSwap> underlyingSwap_;
Period optionTenor_;
BusinessDayConvention optionConvention_;
mutable Date fixingDate_;
Date exerciseDate_;
mutable boost::shared_ptr<Exercise> exercise_;
Rate strike_;
VanillaSwap::Type underlyingType_;
boost::shared_ptr<PricingEngine> engine_;
};
}
#endif
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