/usr/include/ql/cashflows/cashflowvectors.hpp is in libquantlib0-dev 1.7.1-1.
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 StatPro Italia srl
Copyright (C) 2006, 2007 Cristina Duminuco
Copyright (C) 2006, 2007 Giorgio Facchinetti
Copyright (C) 2006 Mario Pucci
Copyright (C) 2007 Ferdinando Ametrano
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 cashflowvectors.hpp
\brief Cash flow vector builders
*/
#ifndef quantlib_cash_flow_vectors_hpp
#define quantlib_cash_flow_vectors_hpp
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/cashflows/replication.hpp>
#include <ql/time/schedule.hpp>
#include <ql/utilities/null.hpp>
#include <ql/utilities/vectors.hpp>
#include <ql/position.hpp>
#include <ql/indexes/swapindex.hpp>
namespace QuantLib {
namespace detail {
Rate effectiveFixedRate(const std::vector<Spread>& spreads,
const std::vector<Rate>& caps,
const std::vector<Rate>& floors,
Size i);
bool noOption(const std::vector<Rate>& caps,
const std::vector<Rate>& floors,
Size i);
}
template <typename InterestRateIndexType,
typename FloatingCouponType,
typename CappedFlooredCouponType>
Leg FloatingLeg(const Schedule& schedule,
const std::vector<Real>& nominals,
const boost::shared_ptr<InterestRateIndexType>& index,
const DayCounter& paymentDayCounter,
BusinessDayConvention paymentAdj,
const std::vector<Natural>& fixingDays,
const std::vector<Real>& gearings,
const std::vector<Spread>& spreads,
const std::vector<Rate>& caps,
const std::vector<Rate>& floors,
bool isInArrears,
bool isZero) {
Size n = schedule.size()-1;
QL_REQUIRE(!nominals.empty(), "no notional given");
QL_REQUIRE(nominals.size() <= n,
"too many nominals (" << nominals.size() <<
"), only " << n << " required");
QL_REQUIRE(gearings.size()<=n,
"too many gearings (" << gearings.size() <<
"), only " << n << " required");
QL_REQUIRE(spreads.size()<=n,
"too many spreads (" << spreads.size() <<
"), only " << n << " required");
QL_REQUIRE(caps.size()<=n,
"too many caps (" << caps.size() <<
"), only " << n << " required");
QL_REQUIRE(floors.size()<=n,
"too many floors (" << floors.size() <<
"), only " << n << " required");
QL_REQUIRE(!isZero || !isInArrears,
"in-arrears and zero features are not compatible");
Leg leg; leg.reserve(n);
// the following is not always correct
Calendar calendar = schedule.calendar();
Date refStart, start, refEnd, end;
Date lastPaymentDate = calendar.adjust(schedule.date(n), paymentAdj);
for (Size i=0; i<n; ++i) {
refStart = start = schedule.date(i);
refEnd = end = schedule.date(i+1);
Date paymentDate =
isZero ? lastPaymentDate : calendar.adjust(end, paymentAdj);
if (i==0 && !schedule.isRegular(i+1)) {
BusinessDayConvention bdc = schedule.businessDayConvention();
refStart = calendar.adjust(end - schedule.tenor(), bdc);
}
if (i==n-1 && !schedule.isRegular(i+1)) {
BusinessDayConvention bdc = schedule.businessDayConvention();
refEnd = calendar.adjust(start + schedule.tenor(), bdc);
}
if (detail::get(gearings, i, 1.0) == 0.0) { // fixed coupon
leg.push_back(boost::shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate,
detail::get(nominals, i, 1.0),
detail::effectiveFixedRate(spreads,caps,
floors,i),
paymentDayCounter,
start, end, refStart, refEnd)));
} else { // floating coupon
if (detail::noOption(caps, floors, i))
leg.push_back(boost::shared_ptr<CashFlow>(new
FloatingCouponType(
paymentDate,
detail::get(nominals, i, 1.0),
start, end,
detail::get(fixingDays, i, index->fixingDays()),
index,
detail::get(gearings, i, 1.0),
detail::get(spreads, i, 0.0),
refStart, refEnd,
paymentDayCounter, isInArrears)));
else {
leg.push_back(boost::shared_ptr<CashFlow>(new
CappedFlooredCouponType(
paymentDate,
detail::get(nominals, i, 1.0),
start, end,
detail::get(fixingDays, i, index->fixingDays()),
index,
detail::get(gearings, i, 1.0),
detail::get(spreads, i, 0.0),
detail::get(caps, i, Null<Rate>()),
detail::get(floors, i, Null<Rate>()),
refStart, refEnd,
paymentDayCounter,
isInArrears)));
}
}
}
return leg;
}
template <typename InterestRateIndexType,
typename FloatingCouponType,
typename DigitalCouponType>
Leg FloatingDigitalLeg(
const Schedule& schedule,
const std::vector<Real>& nominals,
const boost::shared_ptr<InterestRateIndexType>& index,
const DayCounter& paymentDayCounter,
BusinessDayConvention paymentAdj,
const std::vector<Natural>& fixingDays,
const std::vector<Real>& gearings,
const std::vector<Spread>& spreads,
bool isInArrears,
const std::vector<Rate>& callStrikes,
Position::Type callPosition,
bool isCallATMIncluded,
const std::vector<Rate>& callDigitalPayoffs,
const std::vector<Rate>& putStrikes,
Position::Type putPosition,
bool isPutATMIncluded,
const std::vector<Rate>& putDigitalPayoffs,
const boost::shared_ptr<DigitalReplication>& replication)
{
Size n = schedule.size()-1;
QL_REQUIRE(!nominals.empty(), "no notional given");
QL_REQUIRE(nominals.size() <= n,
"too many nominals (" << nominals.size() <<
"), only " << n << " required");
QL_REQUIRE(gearings.size()<=n,
"too many gearings (" << gearings.size() <<
"), only " << n << " required");
QL_REQUIRE(spreads.size()<=n,
"too many spreads (" << spreads.size() <<
"), only " << n << " required");
QL_REQUIRE(callStrikes.size()<=n,
"too many call rates (" << callStrikes.size() <<
"), only " << n << " required");
QL_REQUIRE(putStrikes.size()<=n,
"too many put rates (" << putStrikes.size() <<
"), only " << n << " required");
Leg leg; leg.reserve(n);
// the following is not always correct
Calendar calendar = schedule.calendar();
Date refStart, start, refEnd, end;
Date paymentDate;
for (Size i=0; i<n; ++i) {
refStart = start = schedule.date(i);
refEnd = end = schedule.date(i+1);
paymentDate = calendar.adjust(end, paymentAdj);
if (i==0 && !schedule.isRegular(i+1)) {
BusinessDayConvention bdc = schedule.businessDayConvention();
refStart = calendar.adjust(end - schedule.tenor(), bdc);
}
if (i==n-1 && !schedule.isRegular(i+1)) {
BusinessDayConvention bdc = schedule.businessDayConvention();
refEnd = calendar.adjust(start + schedule.tenor(), bdc);
}
if (detail::get(gearings, i, 1.0) == 0.0) { // fixed coupon
leg.push_back(boost::shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate,
detail::get(nominals, i, 1.0),
detail::get(spreads, i, 1.0),
paymentDayCounter,
start, end, refStart, refEnd)));
} else { // floating digital coupon
boost::shared_ptr<FloatingCouponType> underlying(new
FloatingCouponType(paymentDate,
detail::get(nominals, i, 1.0),
start, end,
detail::get(fixingDays, i, index->fixingDays()),
index,
detail::get(gearings, i, 1.0),
detail::get(spreads, i, 0.0),
refStart, refEnd,
paymentDayCounter, isInArrears));
leg.push_back(boost::shared_ptr<CashFlow>(new
DigitalCouponType(
underlying,
detail::get(callStrikes, i, Null<Real>()),
callPosition,
isCallATMIncluded,
detail::get(callDigitalPayoffs, i, Null<Real>()),
detail::get(putStrikes, i, Null<Real>()),
putPosition,
isPutATMIncluded,
detail::get(putDigitalPayoffs, i, Null<Real>()),
replication)));
}
}
return leg;
}
}
#endif
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