/usr/include/ql/termstructures/volatility/spreadedsmilesection.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.
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 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Mario Pucci
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 spreadedsmilesection.hpp
\brief Spreaded SmileSection class
*/
#ifndef quantlib_spreaded_smile_section_hpp
#define quantlib_spreaded_smile_section_hpp
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/handle.hpp>
namespace QuantLib {
class Quote;
class SpreadedSmileSection : public SmileSection {
public:
SpreadedSmileSection(const boost::shared_ptr<SmileSection>&,
const Handle<Quote>& spread);
//! \name SmileSection interface
//@{
Real minStrike () const;
Real maxStrike () const;
Real atmLevel() const;
const Date& exerciseDate() const;
Time exerciseTime() const;
const DayCounter& dayCounter() const;
const Date& referenceDate() const;
const VolatilityType volatilityType() const;
const Rate shift() const;
//@}
//! \name LazyObject interface
//@{
void update() { notifyObservers(); }
//@}
protected:
Volatility volatilityImpl(Rate strike) const;
private:
const boost::shared_ptr<SmileSection> underlyingSection_;
const Handle<Quote> spread_;
};
inline Real SpreadedSmileSection::minStrike() const {
return underlyingSection_->minStrike();
}
inline Real SpreadedSmileSection::maxStrike() const {
return underlyingSection_->maxStrike();
}
inline Real SpreadedSmileSection::atmLevel() const {
return underlyingSection_->atmLevel();
}
inline const Date& SpreadedSmileSection::exerciseDate() const {
return underlyingSection_->exerciseDate();
}
inline Time SpreadedSmileSection::exerciseTime() const {
return underlyingSection_->exerciseTime();
}
inline const DayCounter& SpreadedSmileSection::dayCounter() const {
return underlyingSection_->dayCounter();
}
inline const Date& SpreadedSmileSection::referenceDate() const {
return underlyingSection_->referenceDate();
}
inline const VolatilityType SpreadedSmileSection::volatilityType() const {
return underlyingSection_->volatilityType();
}
inline const Rate SpreadedSmileSection::shift() const {
return underlyingSection_->shift();
}
}
#endif
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