/usr/include/ql/cashflows/iborcoupon.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) 2007, 2011 Ferdinando Ametrano
Copyright (C) 2007 Giorgio Facchinetti
Copyright (C) 2007 Cristina Duminuco
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 iborcoupon.hpp
\brief Coupon paying a Libor-type index
*/
#ifndef quantlib_ibor_coupon_hpp
#define quantlib_ibor_coupon_hpp
#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/time/schedule.hpp>
namespace QuantLib {
//! %Coupon paying a Libor-type index
class IborCoupon : public FloatingRateCoupon {
public:
IborCoupon(const Date& paymentDate,
Real nominal,
const Date& startDate,
const Date& endDate,
Natural fixingDays,
const boost::shared_ptr<IborIndex>& index,
Real gearing = 1.0,
Spread spread = 0.0,
const Date& refPeriodStart = Date(),
const Date& refPeriodEnd = Date(),
const DayCounter& dayCounter = DayCounter(),
bool isInArrears = false);
//! \name Inspectors
//@{
const boost::shared_ptr<IborIndex>& iborIndex() const {
return iborIndex_;
}
//@}
//! \name FloatingRateCoupon interface
//@{
//! Implemented in order to manage the case of par coupon
Rate indexFixing() const;
//@}
//! \name Visitability
//@{
virtual void accept(AcyclicVisitor&);
//@}
private:
boost::shared_ptr<IborIndex> iborIndex_;
Date fixingDate_, fixingValueDate_, fixingEndDate_;
Time spanningTime_;
};
//! helper class building a sequence of capped/floored ibor-rate coupons
class IborLeg {
public:
IborLeg(const Schedule& schedule,
const boost::shared_ptr<IborIndex>& index);
IborLeg& withNotionals(Real notional);
IborLeg& withNotionals(const std::vector<Real>& notionals);
IborLeg& withPaymentDayCounter(const DayCounter&);
IborLeg& withPaymentAdjustment(BusinessDayConvention);
IborLeg& withFixingDays(Natural fixingDays);
IborLeg& withFixingDays(const std::vector<Natural>& fixingDays);
IborLeg& withGearings(Real gearing);
IborLeg& withGearings(const std::vector<Real>& gearings);
IborLeg& withSpreads(Spread spread);
IborLeg& withSpreads(const std::vector<Spread>& spreads);
IborLeg& withCaps(Rate cap);
IborLeg& withCaps(const std::vector<Rate>& caps);
IborLeg& withFloors(Rate floor);
IborLeg& withFloors(const std::vector<Rate>& floors);
IborLeg& inArrears(bool flag = true);
IborLeg& withZeroPayments(bool flag = true);
operator Leg() const;
private:
Schedule schedule_;
boost::shared_ptr<IborIndex> index_;
std::vector<Real> notionals_;
DayCounter paymentDayCounter_;
BusinessDayConvention paymentAdjustment_;
std::vector<Natural> fixingDays_;
std::vector<Real> gearings_;
std::vector<Spread> spreads_;
std::vector<Rate> caps_, floors_;
bool inArrears_, zeroPayments_;
};
}
#endif
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