/usr/share/quantlib-python/swaption.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
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_swaption_i
#define quantlib_swaption_i
%include options.i
%include marketelements.i
%include termstructures.i
%include volatilities.i
%include swap.i
%include old_volatility.i
%{
using QuantLib::Swaption;
using QuantLib::Settlement;
typedef boost::shared_ptr<Instrument> SwaptionPtr;
%}
struct Settlement {
enum Type { Physical, Cash };
};
%rename(Swaption) SwaptionPtr;
class SwaptionPtr : public boost::shared_ptr<Instrument> {
public:
%extend {
SwaptionPtr(const VanillaSwapPtr& simpleSwap,
const boost::shared_ptr<Exercise>& exercise,
Settlement::Type type = Settlement::Physical) {
boost::shared_ptr<VanillaSwap> swap =
boost::dynamic_pointer_cast<VanillaSwap>(simpleSwap);
QL_REQUIRE(swap, "simple swap required");
return new SwaptionPtr(new Swaption(swap,exercise,type));
}
}
};
// pricing engines
%{
using QuantLib::BlackSwaptionEngine;
typedef boost::shared_ptr<PricingEngine> BlackSwaptionEnginePtr;
%}
%rename(BlackSwaptionEngine) BlackSwaptionEnginePtr;
class BlackSwaptionEnginePtr : public boost::shared_ptr<PricingEngine> {
public:
%extend {
BlackSwaptionEnginePtr(
const Handle<YieldTermStructure> & discountCurve,
const Handle<Quote>& vol) {
return new BlackSwaptionEnginePtr(
new BlackSwaptionEngine(discountCurve, vol));
}
BlackSwaptionEnginePtr(
const Handle<YieldTermStructure> & discountCurve,
const Handle<SwaptionVolatilityStructure>& v) {
return new BlackSwaptionEnginePtr(
new BlackSwaptionEngine(discountCurve, v));
}
}
};
#endif
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