/usr/share/quantlib-python/discountcurve.i is in quantlib-python 1.2-2.
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) 2003, 2004, 2005, 2006 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.
*/
#ifndef quantlib_discount_curve_i
#define quantlib_discount_curve_i
%include termstructures.i
%include interpolation.i
%{
using QuantLib::InterpolatedDiscountCurve;
%}
%define export_discount_curve(Name,Interpolator)
%{
typedef boost::shared_ptr<YieldTermStructure> Name##Ptr;
%}
%rename(Name) Name##Ptr;
class Name##Ptr : public boost::shared_ptr<YieldTermStructure> {
public:
%extend {
Name##Ptr(const std::vector<Date>& dates,
const std::vector<DiscountFactor>& discounts,
const DayCounter& dayCounter,
const Calendar& calendar = Calendar(),
const Interpolator& i = Interpolator()) {
return new Name##Ptr(
new InterpolatedDiscountCurve<Interpolator>(dates,discounts,
dayCounter,
calendar,i));
}
const std::vector<Date>& dates() {
typedef InterpolatedDiscountCurve<Interpolator> Name;
return boost::dynamic_pointer_cast<Name>(*self)->dates();
}
const std::vector<DiscountFactor>& discounts() {
typedef InterpolatedDiscountCurve<Interpolator> Name;
return boost::dynamic_pointer_cast<Name>(*self)->discounts();
}
#if !defined(SWIGR) && !defined(SWIGGUILE) && !defined(SWIGMZSCHEME)
std::vector<std::pair<Date,DiscountFactor> > nodes() {
typedef InterpolatedDiscountCurve<Interpolator> Name;
return boost::dynamic_pointer_cast<Name>(*self)->nodes();
}
#endif
}
};
%enddef
export_discount_curve(DiscountCurve,LogLinear);
// add interpolations as you wish, e.g.,
// export_discount_curve(LinearDiscountCurve,Linear);
#endif
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