/usr/include/ql/experimental/averageois/arithmeticoisratehelper.hpp is in libquantlib0-dev 1.9.1-1.
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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2016 Stefano Fondi
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 arithmeticoisratehelper.hpp
\brief Arithmetic Average Overnight Indexed Swap rate helpers
*/
#ifndef quantlib_arithmeticoisratehelper_hpp
#define quantlib_arithmeticoisratehelper_hpp
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/experimental/averageois/arithmeticaverageois.hpp>
namespace QuantLib {
//! Rate helper for bootstrapping over Overnight Indexed Swap rates
class ArithmeticOISRateHelper : public RelativeDateRateHelper {
public:
ArithmeticOISRateHelper(Natural settlementDays,
const Period& tenor, // swap maturity
Frequency fixedLegPaymentFrequency,
const Handle<Quote>& fixedRate,
const boost::shared_ptr<OvernightIndex>& overnightIndex,
Frequency overnightLegPaymentFrequency,
const Handle<Quote>& spread,
Real meanReversionSpeed = 0.03,
Real volatility = 0.00, // NO convexity adjustment by default
bool byApprox = false, // TRUE to use Katsumi Takada approximation
// exogenous discounting curve
const Handle<YieldTermStructure>& discountingCurve
= Handle<YieldTermStructure>());
//! \name RateHelper interface
//@{
Real impliedQuote() const;
void setTermStructure(YieldTermStructure*);
//@}
//! \name inspectors
//@{
boost::shared_ptr<ArithmeticAverageOIS> swap() const { return swap_; }
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&);
//@}
protected:
void initializeDates();
Natural settlementDays_;
Period tenor_;
boost::shared_ptr<OvernightIndex> overnightIndex_;
boost::shared_ptr<ArithmeticAverageOIS> swap_;
RelinkableHandle<YieldTermStructure> termStructureHandle_;
Handle<YieldTermStructure> discountHandle_;
RelinkableHandle<YieldTermStructure> discountRelinkableHandle_;
Frequency fixedLegPaymentFrequency_;
Frequency overnightLegPaymentFrequency_;
Handle<Quote> spread_;
Real mrs_;
Real vol_;
bool byApprox_;
};
}
#endif
|