/usr/include/ql/experimental/inflation/yoyoptionletstripper.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 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 yoyoptionletstripper.hpp
\brief yoy inflation-cap stripping
*/
#ifndef quantlib_yoy_optionlet_stripper_hpp
#define quantlib_yoy_optionlet_stripper_hpp
#include <ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp>
#include <ql/pricingengines/inflation/inflationcapfloorengines.hpp>
#include <ql/experimental/inflation/yoycapfloortermpricesurface.hpp>
namespace QuantLib {
//! Interface for inflation cap stripping, i.e. from price surfaces.
/*! Strippers return K slices of the volatility surface at a given T.
In initialize they actually do the stripping along each K.
*/
class YoYOptionletStripper {
public:
virtual ~YoYOptionletStripper() {}
//! YoYOptionletStripper interface
//@{
virtual void initialize(
const boost::shared_ptr<YoYCapFloorTermPriceSurface> &,
const boost::shared_ptr<YoYInflationCapFloorEngine> &,
const Real slope) const = 0;
virtual Rate minStrike() const = 0;
virtual Rate maxStrike() const = 0;
virtual std::vector<Rate> strikes() const = 0;
virtual std::pair<std::vector<Rate>, std::vector<Volatility> >
slice(const Date &d) const = 0;
//@}
protected:
mutable boost::shared_ptr<YoYCapFloorTermPriceSurface>
YoYCapFloorTermPriceSurface_;
mutable boost::shared_ptr<YoYInflationCapFloorEngine> p_;
mutable Period lag_;
mutable Frequency frequency_;
mutable bool indexIsInterpolated_;
};
}
#endif
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