/usr/include/ql/experimental/callablebonds/callablebondconstantvol.hpp is in libquantlib0-dev 1.4-2.
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) 2008 Allen Kuo
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 callablebondconstantvol.hpp
\brief Constant callable-bond volatility
*/
#ifndef quantlib_callable_bond_constant_volatility_hpp
#define quantlib_callable_bond_constant_volatility_hpp
#include <ql/experimental/callablebonds/callablebondvolstructure.hpp>
#include <ql/time/period.hpp>
namespace QuantLib {
class Quote;
//! Constant callable-bond volatility, no time-strike dependence
class CallableBondConstantVolatility
: public CallableBondVolatilityStructure {
public:
CallableBondConstantVolatility(const Date& referenceDate,
Volatility volatility,
const DayCounter& dayCounter);
CallableBondConstantVolatility(const Date& referenceDate,
const Handle<Quote>& volatility,
const DayCounter& dayCounter);
CallableBondConstantVolatility(Natural settlementDays,
const Calendar&,
Volatility volatility,
const DayCounter& dayCounter);
CallableBondConstantVolatility(Natural settlementDays,
const Calendar&,
const Handle<Quote>& volatility,
const DayCounter& dayCounter);
//! \name TermStructure interface
//@{
DayCounter dayCounter() const { return dayCounter_; }
Date maxDate() const { return Date::maxDate(); }
//@}
//! \name CallableBondConstantVolatility interface
//@{
const Period& maxBondTenor() const;
Time maxBondLength() const;
Real minStrike() const;
Real maxStrike() const;
protected:
Volatility volatilityImpl(Time, Time, Rate) const;
boost::shared_ptr<SmileSection> smileSectionImpl(Time optionTime,
Time bondLength) const;
Volatility volatilityImpl(const Date&, const Period&, Rate) const;
//@}
private:
Handle<Quote> volatility_;
DayCounter dayCounter_;
Period maxBondTenor_;
};
// inline definitions
inline const Period& CallableBondConstantVolatility::maxBondTenor() const {
return maxBondTenor_;
}
inline Time CallableBondConstantVolatility::maxBondLength() const {
return QL_MAX_REAL;
}
inline Real CallableBondConstantVolatility::minStrike() const {
return QL_MIN_REAL;
}
inline Real CallableBondConstantVolatility::maxStrike() const {
return QL_MAX_REAL;
}
}
#endif
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