/usr/include/ql/termstructures/inflation/inflationhelpers.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, 2009 Chris Kenyon
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 inflationhelpers.hpp
\brief Bootstrap helpers for inflation term structures
*/
#ifndef quantlib_inflation_helpers_hpp
#define quantlib_inflation_helpers_hpp
#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/termstructures/inflationtermstructure.hpp>
#include <ql/instruments/zerocouponinflationswap.hpp>
#include <ql/instruments/yearonyearinflationswap.hpp>
namespace QuantLib {
//! Zero-coupon inflation-swap bootstrap helper
class ZeroCouponInflationSwapHelper
: public BootstrapHelper<ZeroInflationTermStructure> {
public:
ZeroCouponInflationSwapHelper(
const Handle<Quote>& quote,
const Period& swapObsLag, // lag on swap observation of index
const Date& maturity,
const Calendar& calendar, // index may have null calendar as valid on every day
BusinessDayConvention paymentConvention,
const DayCounter& dayCounter,
const boost::shared_ptr<ZeroInflationIndex>& zii);
void setTermStructure(ZeroInflationTermStructure*);
Real impliedQuote() const;
protected:
Period swapObsLag_;
Date maturity_;
Calendar calendar_;
BusinessDayConvention paymentConvention_;
DayCounter dayCounter_;
boost::shared_ptr<ZeroInflationIndex> zii_;
boost::shared_ptr<ZeroCouponInflationSwap> zciis_;
};
//! Year-on-year inflation-swap bootstrap helper
class YearOnYearInflationSwapHelper
: public BootstrapHelper<YoYInflationTermStructure> {
public:
YearOnYearInflationSwapHelper(const Handle<Quote>& quote,
const Period& swapObsLag_,
const Date& maturity,
const Calendar& calendar,
BusinessDayConvention paymentConvention,
const DayCounter& dayCounter,
const boost::shared_ptr<YoYInflationIndex>& yii);
void setTermStructure(YoYInflationTermStructure*);
Real impliedQuote() const;
protected:
Period swapObsLag_;
Date maturity_;
Calendar calendar_;
BusinessDayConvention paymentConvention_;
DayCounter dayCounter_;
boost::shared_ptr<YoYInflationIndex> yii_;
boost::shared_ptr<YearOnYearInflationSwap> yyiis_;
};
}
#endif
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