/usr/include/ql/termstructures/yield/drifttermstructure.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) 2003 Ferdinando Ametrano
Copyright (C) 2008 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 drifttermstructure.hpp
\brief Drift term structure
*/
#ifndef quantlib_drift_term_structure_hpp
#define quantlib_drift_term_structure_hpp
#include <ql/termstructures/yield/zeroyieldstructure.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
namespace QuantLib {
//! Drift term structure
/*! Drift term structure for modelling the common drift term:
riskFreeRate - dividendYield - 0.5*vol*vol
\note This term structure will remain linked to the original
structures, i.e., any changes in the latters will be
reflected in this structure as well.
*/
class DriftTermStructure : public ZeroYieldStructure {
public:
DriftTermStructure(const Handle<YieldTermStructure>& riskFreeTS,
const Handle<YieldTermStructure>& dividendTS,
const Handle<BlackVolTermStructure>& blackVolTS);
//! \name YieldTermStructure interface
//@{
DayCounter dayCounter() const;
Calendar calendar() const;
Natural settlementDays() const;
const Date& referenceDate() const;
Date maxDate() const;
//@}
protected:
//! returns the discount factor as seen from the evaluation date
Rate zeroYieldImpl(Time) const;
private:
Handle<YieldTermStructure> riskFreeTS_, dividendTS_;
Handle<BlackVolTermStructure> blackVolTS_;
Real underlyingLevel_;
};
// inline definitions
inline DriftTermStructure::DriftTermStructure(
const Handle<YieldTermStructure>& riskFreeTS,
const Handle<YieldTermStructure>& dividendTS,
const Handle<BlackVolTermStructure>& blackVolTS)
: ZeroYieldStructure(riskFreeTS->dayCounter()),
riskFreeTS_(riskFreeTS),
dividendTS_(dividendTS),
blackVolTS_(blackVolTS) {
registerWith(riskFreeTS_);
registerWith(dividendTS_);
registerWith(blackVolTS_);
}
inline DayCounter DriftTermStructure::dayCounter() const {
return riskFreeTS_->dayCounter();
}
inline Calendar DriftTermStructure::calendar() const {
return riskFreeTS_->calendar();
}
inline Natural DriftTermStructure::settlementDays() const {
return riskFreeTS_->settlementDays();
}
inline const Date& DriftTermStructure::referenceDate() const {
// warning: here it is assumed that all TS have the same referenceDate
// It should be QL_REQUIREd
return riskFreeTS_->referenceDate();
}
inline Date DriftTermStructure::maxDate() const {
return std::min(std::min(dividendTS_->maxDate(),
riskFreeTS_->maxDate()),
blackVolTS_->maxDate());
}
inline Rate DriftTermStructure::zeroYieldImpl(Time t) const {
// warning: here it is assumed that
// a) all TS have the same daycount.
// b) all TS have the same referenceDate
// It should be QL_REQUIREd
return riskFreeTS_->zeroRate(t, Continuous, NoFrequency, true)
- dividendTS_->zeroRate(t, Continuous, NoFrequency, true)
- 0.5 * blackVolTS_->blackVol(t, underlyingLevel_, true)
* blackVolTS_->blackVol(t, underlyingLevel_, true);
}
}
#endif
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