/usr/include/ql/cashflows/indexedcashflow.hpp is in libquantlib0-dev 1.12-1.
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) 2009 Chris Kenyon
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 simplecashflow.hpp
\brief Cash flow dependent on an index ratio (NOT a coupon, i.e. no accruals)
*/
#ifndef quantlib_indexed_cash_flow_hpp
#define quantlib_indexed_cash_flow_hpp
#include <ql/patterns/visitor.hpp>
#include <ql/cashflow.hpp>
#include <ql/index.hpp>
namespace QuantLib {
//! Cash flow dependent on an index ratio.
/*! This cash flow is not a coupon, i.e., there's no accrual. The
amount is either i(T)/i(0) or i(T)/i(0) - 1, depending on the
growthOnly parameter.
We expect this to be used inside an instrument that does all the date
adjustment etc., so this takes just dates and does not change them.
growthOnly = false means i(T)/i(0), which is a bond-type setting.
growthOnly = true means i(T)/i(0) - 1, which is a swap-type setting.
*/
class IndexedCashFlow : public CashFlow,
public Observer {
public:
IndexedCashFlow(Real notional,
const boost::shared_ptr<Index> &index,
const Date& baseDate,
const Date& fixingDate,
const Date& paymentDate,
bool growthOnly = false)
: notional_(notional), index_(index),
baseDate_(baseDate), fixingDate_(fixingDate),
paymentDate_(paymentDate), growthOnly_(growthOnly) {
registerWith(index);
}
//! \name Event interface
//@{
Date date() const { return paymentDate_; }
//@}
virtual Real notional() const { return notional_; }
virtual Date baseDate() const { return baseDate_; }
virtual Date fixingDate() const { return fixingDate_; }
virtual boost::shared_ptr<Index> index() const { return index_; }
virtual bool growthOnly() const { return growthOnly_; }
//! \name CashFlow interface
//@{
Real amount() const; // already virtual
//@}
//! \name Visitability
//@{
virtual void accept(AcyclicVisitor&);
//@}
//! \name Observer interface
//@{
void update() { notifyObservers(); }
//@}
private:
Real notional_;
boost::shared_ptr<Index> index_;
Date baseDate_, fixingDate_, paymentDate_;
bool growthOnly_;
};
// inline definitions
inline void IndexedCashFlow::accept(AcyclicVisitor& v) {
Visitor<IndexedCashFlow>* v1 =
dynamic_cast<Visitor<IndexedCashFlow>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
CashFlow::accept(v);
}
}
#endif
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