/usr/include/ql/termstructures/yield/impliedtermstructure.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) 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 impliedtermstructure.hpp
\brief Implied term structure
*/
#ifndef quantlib_implied_term_structure_hpp
#define quantlib_implied_term_structure_hpp
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
//! Implied term structure at a given date in the future
/*! The given date will be the implied reference date.
\note This term structure will remain linked to the original
structure, i.e., any changes in the latter will be
reflected in this structure as well.
\ingroup yieldtermstructures
\test
- the correctness of the returned values is tested by
checking them against numerical calculations.
- observability against changes in the underlying term
structure is checked.
*/
class ImpliedTermStructure : public YieldTermStructure {
public:
ImpliedTermStructure(const Handle<YieldTermStructure>&,
const Date& referenceDate);
//! \name YieldTermStructure interface
//@{
DayCounter dayCounter() const;
Calendar calendar() const;
Natural settlementDays() const;
Date maxDate() const;
protected:
DiscountFactor discountImpl(Time) const;
//@}
private:
Handle<YieldTermStructure> originalCurve_;
};
// inline definitions
inline ImpliedTermStructure::ImpliedTermStructure(
const Handle<YieldTermStructure>& h,
const Date& referenceDate)
: YieldTermStructure(referenceDate), originalCurve_(h) {
registerWith(originalCurve_);
}
inline DayCounter ImpliedTermStructure::dayCounter() const {
return originalCurve_->dayCounter();
}
inline Calendar ImpliedTermStructure::calendar() const {
return originalCurve_->calendar();
}
inline Natural ImpliedTermStructure::settlementDays() const {
return originalCurve_->settlementDays();
}
inline Date ImpliedTermStructure::maxDate() const {
return originalCurve_->maxDate();
}
inline DiscountFactor ImpliedTermStructure::discountImpl(Time t) const {
/* t is relative to the current reference date
and needs to be converted to the time relative
to the reference date of the original curve */
Date ref = referenceDate();
Time originalTime = t + dayCounter().yearFraction(
originalCurve_->referenceDate(), ref);
/* discount at evaluation date cannot be cached
since the original curve could change between
invocations of this method */
return originalCurve_->discount(originalTime, true) /
originalCurve_->discount(ref, true);
}
}
#endif
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