/usr/include/ql/cashflows/overnightindexedcoupon.hpp is in libquantlib0-dev 1.12-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2009 Roland Lichters
Copyright (C) 2009 Ferdinando Ametrano
Copyright (C) 2014 Peter Caspers
Copyright (C) 2017 Joseph Jeisman
Copyright (C) 2017 Fabrice Lecuyer
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 overnightindexedcoupon.hpp
\brief coupon paying the compounded daily overnight rate
*/
#ifndef quantlib_overnight_indexed_coupon_hpp
#define quantlib_overnight_indexed_coupon_hpp
#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/time/schedule.hpp>
namespace QuantLib {
//! overnight coupon
/*! %Coupon paying the compounded interest due to daily overnight fixings.
\warning telescopicValueDates optimizes the schedule for calculation speed,
but might fail to produce correct results if the coupon ages by more than
a grace period of 7 days. It is therefore recommended not to set this flag
to true unless you know exactly what you are doing. The intended use is
rather by the OISRateHelper which is safe, since it reinitialises the
instrument each time the evaluation date changes.
*/
class OvernightIndexedCoupon : public FloatingRateCoupon {
public:
OvernightIndexedCoupon(
const Date& paymentDate,
Real nominal,
const Date& startDate,
const Date& endDate,
const boost::shared_ptr<OvernightIndex>& overnightIndex,
Real gearing = 1.0,
Spread spread = 0.0,
const Date& refPeriodStart = Date(),
const Date& refPeriodEnd = Date(),
const DayCounter& dayCounter = DayCounter(),
bool telescopicValueDates = false);
//! \name Inspectors
//@{
//! fixing dates for the rates to be compounded
const std::vector<Date>& fixingDates() const { return fixingDates_; }
//! accrual (compounding) periods
const std::vector<Time>& dt() const { return dt_; }
//! fixings to be compounded
const std::vector<Rate>& indexFixings() const;
//! value dates for the rates to be compounded
const std::vector<Date>& valueDates() const { return valueDates_; }
//@}
//! \name FloatingRateCoupon interface
//@{
//! the date when the coupon is fully determined
Date fixingDate() const { return fixingDates_.back(); }
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&);
//@}
private:
std::vector<Date> valueDates_, fixingDates_;
mutable std::vector<Rate> fixings_;
Size n_;
std::vector<Time> dt_;
};
//! helper class building a sequence of overnight coupons
class OvernightLeg {
public:
OvernightLeg(const Schedule& schedule,
const boost::shared_ptr<OvernightIndex>& overnightIndex);
OvernightLeg& withNotionals(Real notional);
OvernightLeg& withNotionals(const std::vector<Real>& notionals);
OvernightLeg& withPaymentDayCounter(const DayCounter&);
OvernightLeg& withPaymentAdjustment(BusinessDayConvention);
OvernightLeg& withPaymentCalendar(const Calendar&);
OvernightLeg& withPaymentLag(Natural lag);
OvernightLeg& withGearings(Real gearing);
OvernightLeg& withGearings(const std::vector<Real>& gearings);
OvernightLeg& withSpreads(Spread spread);
OvernightLeg& withSpreads(const std::vector<Spread>& spreads);
OvernightLeg& withTelescopicValueDates(bool telescopicValueDates);
operator Leg() const;
private:
Schedule schedule_;
boost::shared_ptr<OvernightIndex> overnightIndex_;
std::vector<Real> notionals_;
DayCounter paymentDayCounter_;
Calendar paymentCalendar_;
BusinessDayConvention paymentAdjustment_;
Natural paymentLag_;
std::vector<Real> gearings_;
std::vector<Spread> spreads_;
bool telescopicValueDates_;
};
}
#endif
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