/usr/include/ql/instruments/makeyoyinflationcapfloor.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2006, 2007 Ferdinando Ametrano
Copyright (C) 2007 StatPro Italia srl
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 makecapfloor.hpp
\brief Helper class to instantiate standard yoy inflation cap/floor.
*/
#ifndef quantlib_instruments_make_yoyinflation_capfloor_hpp
#define quantlib_instruments_make_yoyinflation_capfloor_hpp
#include <ql/instruments/inflationcapfloor.hpp>
#include <ql/instruments/makevanillaswap.hpp>
namespace QuantLib {
//! helper class
/*! This class provides a more comfortable way to instantiate
standard yoy inflation cap and floor.
*/
class MakeYoYInflationCapFloor {
public:
MakeYoYInflationCapFloor(YoYInflationCapFloor::Type capFloorType,
const Size& length, const Calendar& cal,
const boost::shared_ptr<YoYInflationIndex>& index,
const Period& observationLag, Rate strike = Null<Rate>(),
const Period& forwardStart=0*Days);
MakeYoYInflationCapFloor& withNominal(Real n);
MakeYoYInflationCapFloor& withEffectiveDate(const Date& effectiveDate);
MakeYoYInflationCapFloor& withFirstCapletExcluded();
MakeYoYInflationCapFloor& withPaymentDayCounter(const DayCounter&);
MakeYoYInflationCapFloor& withPaymentAdjustment(BusinessDayConvention);
MakeYoYInflationCapFloor& withFixingDays(Natural fixingDays);
operator YoYInflationCapFloor() const;
operator boost::shared_ptr<YoYInflationCapFloor>() const ;
//! only get last coupon
MakeYoYInflationCapFloor& asOptionlet(bool b = true);
MakeYoYInflationCapFloor& withPricingEngine(
const boost::shared_ptr<PricingEngine>& engine);
private:
YoYInflationCapFloor::Type capFloorType_;
Size length_;
Calendar calendar_;
boost::shared_ptr<YoYInflationIndex> index_;
Period observationLag_;
Rate strike_;
bool firstCapletExcluded_, asOptionlet_;
Date effectiveDate_;
Period forwardStart_;
DayCounter dayCounter_;
BusinessDayConvention roll_;
Natural fixingDays_;
Real nominal_;
boost::shared_ptr<PricingEngine> engine_;
};
}
#endif
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