/usr/include/ql/termstructures/volatility/smilesectionutils.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013 Peter Caspers
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 smilesectionutils.hpp
\brief Additional utilities for smile sections
*/
#ifndef quantlib_smile_section_utils_hpp
#define quantlib_smile_section_utils_hpp
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/utilities/disposable.hpp>
#include <vector>
namespace QuantLib {
//! smile-section utilities
class SmileSectionUtils {
public:
SmileSectionUtils(const SmileSection §ion,
const std::vector<Real> &moneynessGrid =
std::vector<Real>(),
const Real atm = Null<Real>(),
const bool deleteArbitragePoints = false);
const std::pair<Real, Real> arbitragefreeRegion() const;
const std::pair<Size, Size> arbitragefreeIndices() const;
const std::vector<Real> &moneyGrid() const { return m_; }
const std::vector<Real> &strikeGrid() const { return k_; }
const std::vector<Real> &callPrices() const { return c_; }
const Real atmLevel() const { return f_; }
private:
bool af(const Size i0, const Size i, const Size i1) const;
std::vector<Real> m_, c_, k_;
Size leftIndex_, rightIndex_;
Real f_;
};
}
#endif
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