/usr/include/ql/instruments/swap.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) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2006, 2011 Ferdinando Ametrano
Copyright (C) 2007, 2008 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 swap.hpp
\brief Interest rate swap
*/
#ifndef quantlib_swap_hpp
#define quantlib_swap_hpp
#include <ql/instrument.hpp>
#include <ql/cashflow.hpp>
namespace QuantLib {
//! Interest rate swap
/*! The cash flows belonging to the first leg are paid;
the ones belonging to the second leg are received.
\ingroup instruments
*/
class Swap : public Instrument {
public:
class arguments;
class results;
class engine;
//! \name Constructors
//@{
/*! The cash flows belonging to the first leg are paid;
the ones belonging to the second leg are received.
*/
Swap(const Leg& firstLeg,
const Leg& secondLeg);
/*! Multi leg constructor. */
Swap(const std::vector<Leg>& legs,
const std::vector<bool>& payer);
//@}
//! \name Instrument interface
//@{
bool isExpired() const;
void setupArguments(PricingEngine::arguments*) const;
void fetchResults(const PricingEngine::results*) const;
//@}
//! \name Additional interface
//@{
Date startDate() const;
Date maturityDate() const;
Real legBPS(Size j) const {
QL_REQUIRE(j<legs_.size(), "leg# " << j << " doesn't exist!");
calculate();
return legBPS_[j];
}
Real legNPV(Size j) const {
QL_REQUIRE(j<legs_.size(), "leg #" << j << " doesn't exist!");
calculate();
return legNPV_[j];
}
DiscountFactor startDiscounts(Size j) const {
QL_REQUIRE(j<legs_.size(), "leg #" << j << " doesn't exist!");
calculate();
return startDiscounts_[j];
}
DiscountFactor endDiscounts(Size j) const {
QL_REQUIRE(j<legs_.size(), "leg #" << j << " doesn't exist!");
calculate();
return endDiscounts_[j];
}
DiscountFactor npvDateDiscount() const {
calculate();
return npvDateDiscount_;
}
const Leg& leg(Size j) const {
QL_REQUIRE(j<legs_.size(), "leg #" << j << " doesn't exist!");
return legs_[j];
}
//@}
protected:
//! \name Constructors
//@{
/*! This constructor can be used by derived classes that will
build their legs themselves.
*/
Swap(Size legs);
//@}
//! \name Instrument interface
//@{
void setupExpired() const;
//@}
// data members
std::vector<Leg> legs_;
std::vector<Real> payer_;
mutable std::vector<Real> legNPV_;
mutable std::vector<Real> legBPS_;
mutable std::vector<DiscountFactor> startDiscounts_, endDiscounts_;
mutable DiscountFactor npvDateDiscount_;
};
class Swap::arguments : public virtual PricingEngine::arguments {
public:
std::vector<Leg> legs;
std::vector<Real> payer;
void validate() const;
};
class Swap::results : public Instrument::results {
public:
std::vector<Real> legNPV;
std::vector<Real> legBPS;
std::vector<DiscountFactor> startDiscounts, endDiscounts;
DiscountFactor npvDateDiscount;
void reset();
};
class Swap::engine : public GenericEngine<Swap::arguments,
Swap::results> {};
}
#endif
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