/usr/include/ql/experimental/averageois/makearithmeticaverageois.hpp is in libquantlib0-dev 1.9.1-1.
This file is owned by root:root, with mode 0o644.
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/*
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 makeois.hpp
\brief Helper class to instantiate overnight indexed swaps.
*/
#ifndef quantlib_makearithmeticaverageois_hpp
#define quantlib_makearithmeticaverageois_hpp
#include <ql/experimental/averageois/arithmeticaverageois.hpp>
#include <ql/time/dategenerationrule.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
//! helper class
/*! This class provides a more comfortable way
to instantiate arithemtic average overnight indexed swaps.
*/
class MakeArithmeticAverageOIS {
public:
MakeArithmeticAverageOIS(const Period& swapTenor,
const boost::shared_ptr<OvernightIndex>& overnightIndex,
Rate fixedRate = Null<Rate>(),
const Period& fwdStart = 0*Days);
operator ArithmeticAverageOIS() const;
operator boost::shared_ptr<ArithmeticAverageOIS>() const;
MakeArithmeticAverageOIS& receiveFixed(bool flag = true);
MakeArithmeticAverageOIS& withType(ArithmeticAverageOIS::Type type);
MakeArithmeticAverageOIS& withNominal(Real n);
MakeArithmeticAverageOIS& withSettlementDays(Natural settlementDays);
MakeArithmeticAverageOIS& withEffectiveDate(const Date&);
MakeArithmeticAverageOIS& withTerminationDate(const Date&);
MakeArithmeticAverageOIS& withRule(DateGeneration::Rule r);
MakeArithmeticAverageOIS& withFixedLegPaymentFrequency(Frequency f);
MakeArithmeticAverageOIS& withOvernightLegPaymentFrequency(Frequency f);
MakeArithmeticAverageOIS& withEndOfMonth(bool flag = true);
MakeArithmeticAverageOIS& withFixedLegDayCount(const DayCounter& dc);
MakeArithmeticAverageOIS& withOvernightLegSpread(Spread sp);
MakeArithmeticAverageOIS& withDiscountingTermStructure(
const Handle<YieldTermStructure>& discountingTermStructure);
MakeArithmeticAverageOIS& withPricingEngine(
const boost::shared_ptr<PricingEngine>& engine);
MakeArithmeticAverageOIS& withArithmeticAverage(
Real meanReversionSpeed = 0.03,
Real volatility = 0.00, // NO convexity adjustment by default
bool byApprox = false); // TRUE to use Katsumi Takada approximation
private:
Period swapTenor_;
boost::shared_ptr<OvernightIndex> overnightIndex_;
Rate fixedRate_;
Period forwardStart_;
Natural settlementDays_;
Date effectiveDate_, terminationDate_;
Calendar calendar_;
Frequency fixedLegPaymentFrequency_;
Frequency overnightLegPaymentFrequency_;
DateGeneration::Rule rule_;
bool endOfMonth_, isDefaultEOM_;
bool byApprox_;
Real mrs_;
Real vol_;
ArithmeticAverageOIS::Type type_;
Real nominal_;
Spread overnightSpread_;
DayCounter fixedDayCount_;
boost::shared_ptr<PricingEngine> engine_;
};
}
#endif
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