/usr/include/ql/cashflows/cpicouponpricer.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) 2009, 2011 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 cpicouponpricer.hpp
\brief zero inflation-coupon pricer
*/
#ifndef quantlib_cpicouponpricer_hpp
#define quantlib_cpicouponpricer_hpp
#include <ql/cashflow.hpp>
#include <ql/option.hpp>
#include <ql/cashflows/inflationcouponpricer.hpp>
#include <ql/cashflows/cpicoupon.hpp>
#include <ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp>
namespace QuantLib {
//! base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO
/*! \note this pricer can already do swaplets but to get
volatility-dependent coupons you need to implement the descendents.
*/
class CPICouponPricer : public InflationCouponPricer {
public:
CPICouponPricer(const Handle<CPIVolatilitySurface>& capletVol
= Handle<CPIVolatilitySurface>());
virtual Handle<CPIVolatilitySurface> capletVolatility() const{
return capletVol_;
}
virtual void setCapletVolatility(
const Handle<CPIVolatilitySurface>& capletVol);
//! \name InflationCouponPricer interface
//@{
virtual Real swapletPrice() const;
virtual Rate swapletRate() const;
virtual Real capletPrice(Rate effectiveCap) const;
virtual Rate capletRate(Rate effectiveCap) const;
virtual Real floorletPrice(Rate effectiveFloor) const;
virtual Rate floorletRate(Rate effectiveFloor) const;
virtual void initialize(const InflationCoupon&);
//@}
protected:
//! can replace this if really required
virtual Real optionletPrice(Option::Type optionType,
Real effStrike) const;
//! usually only need implement this (of course they may need
//! to re-implement initialize too ...)
virtual Real optionletPriceImp(Option::Type, Real strike,
Real forward, Real stdDev) const;
virtual Rate adjustedFixing(Rate fixing = Null<Rate>()) const;
//! data
Handle<CPIVolatilitySurface> capletVol_;
const CPICoupon* coupon_;
Real gearing_;
Spread spread_;
Real discount_;
Real spreadLegValue_;
};
} // namespace QuantLib
#endif
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