/usr/include/ql/indexes/interestrateindex.hpp is in libquantlib0-dev 1.1-2build1.
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) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006, 2007, 2009 StatPro Italia srl
Copyright (C) 2006 Ferdinando Ametrano
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 interestrateindex.hpp
\brief base class for interest rate indexes
*/
#ifndef quantlib_interestrateindex_hpp
#define quantlib_interestrateindex_hpp
#include <ql/index.hpp>
#include <ql/time/calendar.hpp>
#include <ql/currency.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/period.hpp>
namespace QuantLib {
//! base class for interest rate indexes
/*! \todo add methods returning InterestRate */
class InterestRateIndex : public Index,
public Observer {
public:
InterestRateIndex(const std::string& familyName,
const Period& tenor,
Natural settlementDays,
const Currency& currency,
const Calendar& fixingCalendar,
const DayCounter& dayCounter);
//! \name Index interface
//@{
std::string name() const;
Calendar fixingCalendar() const;
bool isValidFixingDate(const Date& fixingDate) const;
Rate fixing(const Date& fixingDate,
bool forecastTodaysFixing = false) const;
//@}
//! \name Observer interface
//@{
void update();
//@}
//! \name Inspectors
//@{
std::string familyName() const;
Period tenor() const;
Natural fixingDays() const;
Date fixingDate(const Date& valueDate) const;
const Currency& currency() const;
const DayCounter& dayCounter() const;
//@}
/*! \name Date calculations
These method can be overridden to implement particular
conventions (e.g. EurLibor)
@{
*/
virtual Date valueDate(const Date& fixingDate) const;
virtual Date maturityDate(const Date& valueDate) const = 0;
// @}
protected:
virtual Rate forecastFixing(const Date& fixingDate) const = 0;
std::string familyName_;
Period tenor_;
Natural fixingDays_;
Calendar fixingCalendar_;
Currency currency_;
DayCounter dayCounter_;
};
// inline definitions
inline void InterestRateIndex::update() {
notifyObservers();
}
inline std::string InterestRateIndex::familyName() const {
return familyName_;
}
inline Period InterestRateIndex::tenor() const {
return tenor_;
}
inline Natural InterestRateIndex::fixingDays() const {
return fixingDays_;
}
inline const Currency& InterestRateIndex::currency() const {
return currency_;
}
inline const DayCounter& InterestRateIndex::dayCounter() const {
return dayCounter_;
}
}
#endif
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