/usr/include/ql/time/dategenerationrule.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) 2008 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 dategenerationrule.hpp
\brief date generation rule
*/
#ifndef quantlib_date_generation_rule_hpp
#define quantlib_date_generation_rule_hpp
#include <ql/qldefines.hpp>
#include <iosfwd>
namespace QuantLib {
//! Date-generation rule
/*! These conventions specify the rule used to generate dates in a
Schedule.
\ingroup datetime
*/
struct DateGeneration {
enum Rule {
Backward, /*!< Backward from termination date to
effective date. */
Forward, /*!< Forward from effective date to
termination date. */
Zero, /*!< No intermediate dates between effective date
and termination date. */
ThirdWednesday, /*!< All dates but effective date and termination
date are taken to be on the third wednesday
of their month (with forward calculation.) */
Twentieth, /*!< All dates but the effective date are
taken to be the twentieth of their
month (used for CDS schedules in
emerging markets.) The termination
date is also modified. */
TwentiethIMM, /*!< All dates but the effective date are
taken to be the twentieth of an IMM
month (used for CDS schedules.) The
termination date is also modified. */
OldCDS, /*!< Same as TwentiethIMM with unrestricted date
ends and log/short stub coupon period (old
CDS convention). */
CDS /*!< Credit derivatives standard rule since 'Big
Bang' changes in 2009. */
};
};
/*! \relates DateGeneration */
std::ostream& operator<<(std::ostream&,
DateGeneration::Rule);
}
#endif
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