/usr/include/ql/pricingengines/swaption/gaussian1dnonstandardswaptionengine.hpp is in libquantlib0-dev 1.9.1-1.
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/*
Copyright (C) 2013 Peter Caspers
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 gaussian1dnonstandardswaptionengine.hpp
\brief
*/
#ifndef quantlib_pricers_gaussian1d_nonstandardswaption_hpp
#define quantlib_pricers_gaussian1d_nonstandardswaption_hpp
#include <ql/instruments/nonstandardswaption.hpp>
#include <ql/models/shortrate/onefactormodels/gsr.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
namespace QuantLib {
//! One factor model non standard swaption engine
/*! \ingroup swaptionengines
All fixed coupons with start date greater or equal to the
respective option expiry are considered to be part of the
exercise into right.
All float coupons with start date greater or equal to the
respective option expiry are consideres to be part of the
exercise into right.
For redemption flows an associated start date is considered
in the criterion, which is the start date of the regular
xcoupon period with same payment date as the redemption flow.
\warning Cash settled swaptions are not supported
*/
class Gaussian1dNonstandardSwaptionEngine
: public BasketGeneratingEngine,
public GenericModelEngine<Gaussian1dModel,
NonstandardSwaption::arguments,
NonstandardSwaption::results> {
public:
enum Probabilities {
None,
Naive,
Digital
};
Gaussian1dNonstandardSwaptionEngine(
const boost::shared_ptr<Gaussian1dModel> &model,
const int integrationPoints = 64, const Real stddevs = 7.0,
const bool extrapolatePayoff = true,
const bool flatPayoffExtrapolation = false,
const Handle<Quote> &oas = Handle<Quote>(), // continuously
// compounded w.r.t. yts
// daycounter
const Handle<YieldTermStructure> &discountCurve =
Handle<YieldTermStructure>(),
const Probabilities probabilities = None)
: BasketGeneratingEngine(model, oas, discountCurve),
GenericModelEngine<Gaussian1dModel,
NonstandardSwaption::arguments,
NonstandardSwaption::results>(model),
integrationPoints_(integrationPoints), stddevs_(stddevs),
extrapolatePayoff_(extrapolatePayoff),
flatPayoffExtrapolation_(flatPayoffExtrapolation),
discountCurve_(discountCurve), oas_(oas),
probabilities_(probabilities) {
if (!oas_.empty())
registerWith(oas_);
if (!discountCurve_.empty())
registerWith(discountCurve_);
}
void calculate() const;
protected:
Real underlyingNpv(const Date &expiry, const Real y) const;
VanillaSwap::Type underlyingType() const;
const Date underlyingLastDate() const;
const Disposable<Array> initialGuess(const Date &expiry) const;
private:
const int integrationPoints_;
const Real stddevs_;
const bool extrapolatePayoff_, flatPayoffExtrapolation_;
const Handle<YieldTermStructure> discountCurve_;
const Handle<Quote> oas_;
const Probabilities probabilities_;
};
}
#endif
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