/usr/include/ql/experimental/swaptions/irregularswap.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) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl
Copyright (C) 2006, 2008 Ferdinando Ametrano
Copyright (C) 2010 Andre Miemiec
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 irregularswap.hpp
\brief Irregular fixed-rate vs Libor swap
*/
#ifndef quantlib_irregular_swap_hpp
#define quantlib_irregular_swap_hpp
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/instruments/swap.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/schedule.hpp>
#include <boost/optional.hpp>
namespace QuantLib {
class IborIndex;
//! Irregular swap: fixed vs floating leg
class IrregularSwap : public Swap {
public:
enum Type { Receiver = -1, Payer = 1 };
class arguments;
class results;
class engine;
IrregularSwap(
Type type,
const Leg& fixLeg,
const Leg& floatLeg);
//! \name Inspectors
//@{
Type type() const;
const Leg& fixedLeg() const;
const Leg& floatingLeg() const;
//@}
//! \name Results
//@{
Real fixedLegBPS() const;
Real fixedLegNPV() const;
Rate fairRate() const;
Real floatingLegBPS() const;
Real floatingLegNPV() const;
Spread fairSpread() const;
//@}
// other
void setupArguments(PricingEngine::arguments* args) const;
void fetchResults(const PricingEngine::results*) const;
private:
void setupExpired() const;
Type type_;
// results
mutable Rate fairRate_;
mutable Spread fairSpread_;
};
//! %Arguments for irregular-swap calculation
class IrregularSwap::arguments : public Swap::arguments {
public:
arguments() : type(Receiver){}
Type type;
std::vector<Date> fixedResetDates;
std::vector<Date> fixedPayDates;
std::vector<Real> fixedCoupons;
std::vector<Real> fixedNominals;
std::vector<Date> floatingResetDates;
std::vector<Date> floatingFixingDates;
std::vector<Date> floatingPayDates;
std::vector<Time> floatingAccrualTimes;
std::vector<Real> floatingNominals;
std::vector<Spread> floatingSpreads;
std::vector<Real> floatingCoupons;
void validate() const;
};
//! %Results from irregular-swap calculation
class IrregularSwap::results : public Swap::results {
public:
Rate fairRate;
Spread fairSpread;
void reset();
};
class IrregularSwap::engine : public GenericEngine<IrregularSwap::arguments,
IrregularSwap::results> {};
// inline definitions
inline IrregularSwap::Type IrregularSwap::type() const {
return type_;
}
inline const Leg& IrregularSwap::fixedLeg() const {
return legs_[0];
}
inline const Leg& IrregularSwap::floatingLeg() const {
return legs_[1];
}
std::ostream& operator<<(std::ostream& out,
IrregularSwap::Type t);
}
#endif
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