/usr/include/ql/instruments/overnightindexedswap.hpp is in libquantlib0-dev 1.4-2+b1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2009 Roland Lichters
Copyright (C) 2009 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 overnightindexedswap.hpp
\brief Overnight index swap paying compounded overnight vs. fixed
*/
#ifndef quantlib_overnight_indexed_swap_hpp
#define quantlib_overnight_indexed_swap_hpp
#include <ql/instruments/swap.hpp>
#include <ql/time/daycounter.hpp>
namespace QuantLib {
class Schedule;
class OvernightIndex;
//! Overnight indexed swap: fix vs compounded overnight rate
class OvernightIndexedSwap : public Swap {
public:
enum Type { Receiver = -1, Payer = 1 };
OvernightIndexedSwap(
Type type,
Real nominal,
const Schedule& schedule,
Rate fixedRate,
const DayCounter& fixedDC,
const boost::shared_ptr<OvernightIndex>& overnightIndex,
Spread spread = 0.0);
OvernightIndexedSwap(
Type type,
std::vector<Real> nominals,
const Schedule& schedule,
Rate fixedRate,
const DayCounter& fixedDC,
const boost::shared_ptr<OvernightIndex>& overnightIndex,
Spread spread = 0.0);
//! \name Inspectors
//@{
Type type() const { return type_; }
Real nominal() const;
std::vector<Real> nominals() const { return nominals_; }
//const Schedule& schedule() { return schedule_; }
Frequency paymentFrequency() { return paymentFrequency_; }
Rate fixedRate() const { return fixedRate_; }
const DayCounter& fixedDayCount() { return fixedDC_; }
const boost::shared_ptr<OvernightIndex>& overnightIndex();
Spread spread() { return spread_; }
const Leg& fixedLeg() const { return legs_[0]; }
const Leg& overnightLeg() const { return legs_[1]; }
//@}
//! \name Results
//@{
Real fixedLegBPS() const;
Real fixedLegNPV() const;
Real fairRate() const;
Real overnightLegBPS() const;
Real overnightLegNPV() const;
Spread fairSpread() const;
//@}
private:
void initialize(const Schedule& schedule);
Type type_;
std::vector<Real> nominals_;
Frequency paymentFrequency_;
//Schedule schedule_;
Rate fixedRate_;
DayCounter fixedDC_;
boost::shared_ptr<OvernightIndex> overnightIndex_;
Spread spread_;
};
// inline
inline Real OvernightIndexedSwap::nominal() const {
QL_REQUIRE(nominals_.size()==1, "varying nominals");
return nominals_[0];
}
}
#endif
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