/usr/include/ql/termstructures/yield/oisratehelper.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) 2009 Roland Lichters
Copyright (C) 2009 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 oisratehelper.hpp
\brief Overnight Indexed Swap (aka OIS) rate helpers
*/
#ifndef quantlib_oisratehelper_hpp
#define quantlib_oisratehelper_hpp
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/instruments/overnightindexedswap.hpp>
namespace QuantLib {
//! Rate helper for bootstrapping over Overnight Indexed Swap rates
class OISRateHelper : public RelativeDateRateHelper {
public:
OISRateHelper(Natural settlementDays,
const Period& tenor, // swap maturity
const Handle<Quote>& fixedRate,
const boost::shared_ptr<OvernightIndex>& overnightIndex);
//! \name RateHelper interface
//@{
Real impliedQuote() const;
void setTermStructure(YieldTermStructure*);
//@}
//! \name inspectors
//@{
boost::shared_ptr<OvernightIndexedSwap> swap() const { return swap_; }
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&);
//@}
protected:
void initializeDates();
Natural settlementDays_;
Period tenor_;
boost::shared_ptr<OvernightIndex> overnightIndex_;
boost::shared_ptr<OvernightIndexedSwap> swap_;
RelinkableHandle<YieldTermStructure> termStructureHandle_;
};
//! Rate helper for bootstrapping over Overnight Indexed Swap rates
class DatedOISRateHelper : public RateHelper {
public:
DatedOISRateHelper(
const Date& startDate,
const Date& endDate,
const Handle<Quote>& fixedRate,
const boost::shared_ptr<OvernightIndex>& overnightIndex);
//! \name RateHelper interface
//@{
Real impliedQuote() const;
void setTermStructure(YieldTermStructure*);
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&);
//@}
protected:
boost::shared_ptr<OvernightIndexedSwap> swap_;
RelinkableHandle<YieldTermStructure> termStructureHandle_;
};
}
#endif
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