/usr/include/ql/experimental/averageois/averageoiscouponpricer.hpp is in libquantlib0-dev 1.12-1.
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) 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 averageoiscouponpricer.hpp
\brief pricer for arithmetically-averaged overnight-indexed coupons
*/
#ifndef quantlib_average_ois_coupon_pricer_hpp
#define quantlib_average_ois_coupon_pricer_hpp
#include <ql/cashflows/overnightindexedcoupon.hpp>
#include <ql/cashflows/couponpricer.hpp>
namespace QuantLib {
/*! pricer for arithmetically averaged overnight indexed coupons
Reference: Katsumi Takada 2011, Valuation of Arithmetically Average of
Fed Funds Rates and Construction of the US Dollar Swap Yield Curve
*/
class ArithmeticAveragedOvernightIndexedCouponPricer
: public FloatingRateCouponPricer {
public:
ArithmeticAveragedOvernightIndexedCouponPricer(
Real meanReversion = 0.03,
Real volatility = 0.00, // NO convexity adjustment by default
bool byApprox = false) // TRUE to use Katsumi Takada approximation
: byApprox_(byApprox), mrs_(meanReversion), vol_(volatility) {}
void initialize(const FloatingRateCoupon& coupon);
Rate swapletRate() const;
Real swapletPrice() const { QL_FAIL("swapletPrice not available"); }
Real capletPrice(Rate) const { QL_FAIL("capletPrice not available"); }
Rate capletRate(Rate) const { QL_FAIL("capletRate not available"); }
Real floorletPrice(Rate) const { QL_FAIL("floorletPrice not available"); }
Rate floorletRate(Rate) const { QL_FAIL("floorletRate not available"); }
protected:
Real convAdj1(Time ts, Time te) const;
Real convAdj2(Time ts, Time te) const;
const OvernightIndexedCoupon* coupon_;
bool byApprox_;
Real mrs_;
Real vol_;
};
}
#endif
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