/usr/include/ql/cashflows/digitalcmscoupon.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2007 Cristina Duminuco
Copyright (C) 2007 Giorgio Facchinetti
Copyright (C) 2007 StatPro Italia srl
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 digitalcmscoupon.hpp
\brief Cms-rate coupon with digital call/put option
*/
#ifndef quantlib_digital_cms_coupon_hpp
#define quantlib_digital_cms_coupon_hpp
#include <ql/cashflows/digitalcoupon.hpp>
#include <ql/cashflows/cmscoupon.hpp>
#include <ql/time/schedule.hpp>
namespace QuantLib {
//! Cms-rate coupon with digital digital call/put option
class DigitalCmsCoupon : public DigitalCoupon {
public:
DigitalCmsCoupon(
const boost::shared_ptr<CmsCoupon>& underlying,
Rate callStrike = Null<Rate>(),
Position::Type callPosition = Position::Long,
bool isCallATMIncluded = false,
Rate callDigitalPayoff = Null<Rate>(),
Rate putStrike = Null<Rate>(),
Position::Type putPosition = Position::Long,
bool isPutATMIncluded = false,
Rate putDigitalPayoff = Null<Rate>(),
const boost::shared_ptr<DigitalReplication>& replication =
boost::shared_ptr<DigitalReplication>());
//! \name Visitability
//@{
virtual void accept(AcyclicVisitor&);
//@}
};
//! helper class building a sequence of digital ibor-rate coupons
class DigitalCmsLeg {
public:
DigitalCmsLeg(const Schedule& schedule,
const boost::shared_ptr<SwapIndex>& index);
DigitalCmsLeg& withNotionals(Real notional);
DigitalCmsLeg& withNotionals(const std::vector<Real>& notionals);
DigitalCmsLeg& withPaymentDayCounter(const DayCounter&);
DigitalCmsLeg& withPaymentAdjustment(BusinessDayConvention);
DigitalCmsLeg& withFixingDays(Natural fixingDays);
DigitalCmsLeg& withFixingDays(const std::vector<Natural>& fixingDays);
DigitalCmsLeg& withGearings(Real gearing);
DigitalCmsLeg& withGearings(const std::vector<Real>& gearings);
DigitalCmsLeg& withSpreads(Spread spread);
DigitalCmsLeg& withSpreads(const std::vector<Spread>& spreads);
DigitalCmsLeg& inArrears(bool flag = true);
DigitalCmsLeg& withCallStrikes(Rate strike);
DigitalCmsLeg& withCallStrikes(const std::vector<Rate>& strikes);
DigitalCmsLeg& withLongCallOption(Position::Type);
DigitalCmsLeg& withCallATM(bool flag = true);
DigitalCmsLeg& withCallPayoffs(Rate payoff);
DigitalCmsLeg& withCallPayoffs(const std::vector<Rate>& payoffs);
DigitalCmsLeg& withPutStrikes(Rate strike);
DigitalCmsLeg& withPutStrikes(const std::vector<Rate>& strikes);
DigitalCmsLeg& withLongPutOption(Position::Type);
DigitalCmsLeg& withPutATM(bool flag = true);
DigitalCmsLeg& withPutPayoffs(Rate payoff);
DigitalCmsLeg& withPutPayoffs(const std::vector<Rate>& payoffs);
DigitalCmsLeg& withReplication(
const boost::shared_ptr<DigitalReplication>& replication =
boost::shared_ptr<DigitalReplication>());
operator Leg() const;
private:
Schedule schedule_;
boost::shared_ptr<SwapIndex> index_;
std::vector<Real> notionals_;
DayCounter paymentDayCounter_;
BusinessDayConvention paymentAdjustment_;
std::vector<Natural> fixingDays_;
std::vector<Real> gearings_;
std::vector<Spread> spreads_;
bool inArrears_;
std::vector<Rate> callStrikes_, callPayoffs_;
Position::Type longCallOption_;
bool callATM_;
std::vector<Rate> putStrikes_, putPayoffs_;
Position::Type longPutOption_;
bool putATM_;
boost::shared_ptr<DigitalReplication> replication_;
};
}
#endif
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