/usr/include/ql/cashflows/overnightindexedcoupon.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 Roland Lichters
Copyright (C) 2009 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 overnightindexedcoupon.hpp
\brief coupon paying the compounded daily overnight rate
*/
#ifndef quantlib_overnight_indexed_coupon_hpp
#define quantlib_overnight_indexed_coupon_hpp
#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/time/schedule.hpp>
namespace QuantLib {
//! overnight coupon
/*! %Coupon paying the compounded interest due to daily overnight fixings. */
class OvernightIndexedCoupon : public FloatingRateCoupon {
public:
OvernightIndexedCoupon(
const Date& paymentDate,
Real nominal,
const Date& startDate,
const Date& endDate,
const boost::shared_ptr<OvernightIndex>& overnightIndex,
Real gearing = 1.0,
Spread spread = 0.0,
const Date& refPeriodStart = Date(),
const Date& refPeriodEnd = Date(),
const DayCounter& dayCounter = DayCounter());
//! \name Inspectors
//@{
//! fixing dates for the rates to be compounded
const std::vector<Date>& fixingDates() const { return fixingDates_; }
//! accrual (compounding) periods
const std::vector<Time>& dt() const { return dt_; }
//! fixings to be compounded
const std::vector<Rate>& indexFixings() const;
//! value dates for the rates to be compounded
const std::vector<Date>& valueDates() const { return valueDates_; }
//@}
//! \name FloatingRateCoupon interface
//@{
//! the date when the coupon is fully determined
Date fixingDate() const { return fixingDates_.back(); }
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&);
//@}
private:
std::vector<Date> valueDates_, fixingDates_;
mutable std::vector<Rate> fixings_;
Size n_;
std::vector<Time> dt_;
};
//! helper class building a sequence of overnight coupons
class OvernightLeg {
public:
OvernightLeg(const Schedule& schedule,
const boost::shared_ptr<OvernightIndex>& overnightIndex);
OvernightLeg& withNotionals(Real notional);
OvernightLeg& withNotionals(const std::vector<Real>& notionals);
OvernightLeg& withPaymentDayCounter(const DayCounter&);
OvernightLeg& withPaymentAdjustment(BusinessDayConvention);
OvernightLeg& withGearings(Real gearing);
OvernightLeg& withGearings(const std::vector<Real>& gearings);
OvernightLeg& withSpreads(Spread spread);
OvernightLeg& withSpreads(const std::vector<Spread>& spreads);
operator Leg() const;
private:
Schedule schedule_;
boost::shared_ptr<OvernightIndex> overnightIndex_;
std::vector<Real> notionals_;
DayCounter paymentDayCounter_;
BusinessDayConvention paymentAdjustment_;
std::vector<Real> gearings_;
std::vector<Spread> spreads_;
};
}
#endif
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