/usr/include/ql/experimental/coupons/quantocouponpricer.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.
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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Toyin Akin
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 quantocouponpricer.hpp
\brief quanto-adjusted coupon
*/
#ifndef quantlib_coupon_quanto_pricer_hpp
#define quantlib_coupon_quanto_pricer_hpp
#include <ql/cashflows/couponpricer.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/quote.hpp>
namespace QuantLib {
class BlackIborQuantoCouponPricer : public BlackIborCouponPricer {
public:
BlackIborQuantoCouponPricer(
const Handle<BlackVolTermStructure>& fxRateBlackVolatility,
const Handle<Quote>& underlyingFxCorrelation,
const Handle<OptionletVolatilityStructure>& capletVolatility)
: BlackIborCouponPricer(capletVolatility),
fxRateBlackVolatility_(fxRateBlackVolatility),
underlyingFxCorrelation_(underlyingFxCorrelation) {
registerWith(fxRateBlackVolatility_);
registerWith(underlyingFxCorrelation_);
}
protected:
Rate adjustedFixing(Rate fixing = Null<Rate>()) const;
private:
Handle<BlackVolTermStructure> fxRateBlackVolatility_;
Handle<Quote> underlyingFxCorrelation_;
};
}
#endif
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