/usr/include/ql/instruments/inflationcapfloor.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) 2009 Chris Kenyon
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 capfloor.hpp
\brief inflation cap and floor class, just year-on-year variety for now
*/
#ifndef quantlib_instruments_inflationcapfloor_hpp
#define quantlib_instruments_inflationcapfloor_hpp
#include <ql/instrument.hpp>
#include <ql/cashflows/yoyinflationcoupon.hpp>
#include <ql/handle.hpp>
namespace QuantLib {
class YieldTermStructure;
//! Base class for yoy inflation cap-like instruments
/*! \ingroup instruments
Note that the standard YoY inflation cap/floor defined here is
different from nominal, because in nominal world standard
cap/floors do not have the first optionlet. This is because
they set in advance so there is no point. However, yoy
inflation generally sets (effectively) in arrears, (actually
in arrears vs lag of a few months) thus the first optionlet is
relevant. Hence we can do a parity test without a special
definition of the YoY cap/floor instrument.
\test
- the relationship between the values of caps, floors and the
resulting collars is checked.
- the put-call parity between the values of caps, floors and
swaps is checked.
- the correctness of the returned value is tested by checking
it against a known good value.
*/
class YoYInflationCapFloor : public Instrument {
public:
enum Type { Cap, Floor, Collar };
class arguments;
class engine;
YoYInflationCapFloor(Type type,
const Leg& yoyLeg,
const std::vector<Rate>& capRates,
const std::vector<Rate>& floorRates);
YoYInflationCapFloor(Type type,
const Leg& yoyLeg,
const std::vector<Rate>& strikes);
//! \name Instrument interface
//@{
bool isExpired() const;
void setupArguments(PricingEngine::arguments*) const;
//@}
//! \name Inspectors
//@{
Type type() const { return type_; }
const std::vector<Rate>& capRates() const { return capRates_; }
const std::vector<Rate>& floorRates() const { return floorRates_; }
const Leg& yoyLeg() const { return yoyLeg_; }
Date startDate() const;
Date maturityDate() const;
boost::shared_ptr<YoYInflationCoupon> lastYoYInflationCoupon() const;
//! Returns the n-th optionlet as a cap/floor with only one cash flow.
boost::shared_ptr<YoYInflationCapFloor> optionlet(const Size n) const;
//@}
virtual Rate atmRate(const YieldTermStructure& discountCurve) const;
//! implied term volatility
virtual Volatility impliedVolatility(
Real price,
const Handle<YoYInflationTermStructure>& yoyCurve,
Volatility guess,
Real accuracy = 1.0e-4,
Natural maxEvaluations = 100,
Volatility minVol = 1.0e-7,
Volatility maxVol = 4.0) const;
private:
Type type_;
Leg yoyLeg_;
std::vector<Rate> capRates_;
std::vector<Rate> floorRates_;
};
//! Concrete YoY Inflation cap class
/*! \ingroup instruments */
class YoYInflationCap : public YoYInflationCapFloor {
public:
YoYInflationCap(const Leg& yoyLeg,
const std::vector<Rate>& exerciseRates)
: YoYInflationCapFloor(YoYInflationCapFloor::Cap, yoyLeg,
exerciseRates, std::vector<Rate>()) {}
};
//! Concrete YoY Inflation floor class
/*! \ingroup instruments */
class YoYInflationFloor : public YoYInflationCapFloor {
public:
YoYInflationFloor(const Leg& yoyLeg,
const std::vector<Rate>& exerciseRates)
: YoYInflationCapFloor(YoYInflationCapFloor::Floor, yoyLeg,
std::vector<Rate>(), exerciseRates) {}
};
//! Concrete YoY Inflation collar class
/*! \ingroup instruments */
class YoYInflationCollar : public YoYInflationCapFloor {
public:
YoYInflationCollar(const Leg& yoyLeg,
const std::vector<Rate>& capRates,
const std::vector<Rate>& floorRates)
: YoYInflationCapFloor(YoYInflationCapFloor::Collar, yoyLeg,
capRates, floorRates) {}
};
//! %Arguments for YoY Inflation cap/floor calculation
class YoYInflationCapFloor::arguments
: public virtual PricingEngine::arguments {
public:
arguments() : type(YoYInflationCapFloor::Type(-1)) {}
YoYInflationCapFloor::Type type;
boost::shared_ptr<YoYInflationIndex> index;
Period observationLag;
std::vector<Date> startDates;
std::vector<Date> fixingDates;
std::vector<Date> payDates;
std::vector<Time> accrualTimes;
std::vector<Rate> capRates;
std::vector<Rate> floorRates;
std::vector<Real> gearings;
std::vector<Real> spreads;
std::vector<Real> nominals;
void validate() const;
};
//! base class for cap/floor engines
class YoYInflationCapFloor::engine
: public GenericEngine<YoYInflationCapFloor::arguments,
YoYInflationCapFloor::results> {};
std::ostream& operator<<(std::ostream&, YoYInflationCapFloor::Type);
// inline
inline Volatility YoYInflationCapFloor::impliedVolatility(
Real,
const Handle<YoYInflationTermStructure>&,
Volatility,
Real,
Natural,
Volatility,
Volatility) const {
QL_FAIL("not implemented yet");
}
}
#endif
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