/usr/include/ql/instruments/makecapfloor.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) 2006, 2007 Ferdinando Ametrano
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 makecapfloor.hpp
\brief Helper class to instantiate standard market cap/floor.
*/
#ifndef quantlib_instruments_makecapfloor_hpp
#define quantlib_instruments_makecapfloor_hpp
#include <ql/instruments/capfloor.hpp>
#include <ql/instruments/makevanillaswap.hpp>
namespace QuantLib {
//! helper class
/*! This class provides a more comfortable way
to instantiate standard market cap and floor.
*/
class MakeCapFloor {
public:
MakeCapFloor(CapFloor::Type capFloorType,
const Period& capFloorTenor,
const boost::shared_ptr<IborIndex>& iborIndex,
Rate strike = Null<Rate>(),
const Period& forwardStart = 0*Days);
operator CapFloor() const;
operator boost::shared_ptr<CapFloor>() const;
MakeCapFloor& withNominal(Real n);
MakeCapFloor& withEffectiveDate(const Date& effectiveDate,
bool firstCapletExcluded);
MakeCapFloor& withTenor(const Period& t);
MakeCapFloor& withCalendar(const Calendar& cal);
MakeCapFloor& withConvention(BusinessDayConvention bdc);
MakeCapFloor& withTerminationDateConvention(BusinessDayConvention bdc);
MakeCapFloor& withRule(DateGeneration::Rule r);
MakeCapFloor& withEndOfMonth(bool flag = true);
MakeCapFloor& withFirstDate(const Date& d);
MakeCapFloor& withNextToLastDate(const Date& d);
MakeCapFloor& withDayCount(const DayCounter& dc);
//! only get last coupon
MakeCapFloor& asOptionlet(bool b = true);
MakeCapFloor& withPricingEngine(
const boost::shared_ptr<PricingEngine>& engine);
private:
CapFloor::Type capFloorType_;
Rate strike_;
bool firstCapletExcluded_, asOptionlet_;
MakeVanillaSwap makeVanillaSwap_;
boost::shared_ptr<PricingEngine> engine_;
};
}
#endif
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