/usr/include/ql/termstructures/volatility/flatsmilesection.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.
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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2007 François du Vignaud
Copyright (C) 2007 Giorgio Facchinetti
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 flatsmilesection.hpp
\brief Flat SmileSection
*/
#ifndef quantlib_flat_smile_section_hpp
#define quantlib_flat_smile_section_hpp
#include <ql/termstructures/volatility/smilesection.hpp>
namespace QuantLib {
class FlatSmileSection : public SmileSection {
public:
FlatSmileSection(const Date& d,
Volatility vol,
const DayCounter& dc,
const Date& referenceDate = Date(),
Real atmLevel = Null<Rate>());
FlatSmileSection(Time exerciseTime,
Volatility vol,
const DayCounter& dc,
Real atmLevel = Null<Rate>());
//! \name SmileSection interface
//@{
Real minStrike () const;
Real maxStrike () const;
Real atmLevel() const;
//@}
protected:
Volatility volatilityImpl(Rate) const;
private:
Volatility vol_;
Real atmLevel_;
};
inline Real FlatSmileSection::minStrike () const {
return QL_MIN_REAL;
}
inline Real FlatSmileSection::maxStrike () const {
return QL_MAX_REAL;
}
inline Real FlatSmileSection::atmLevel() const {
return atmLevel_;
}
inline Volatility FlatSmileSection::volatilityImpl(Rate) const {
return vol_;
}
}
#endif
|