/usr/include/ql/instruments/makeswaption.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.
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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2007 Giorgio Facchinetti
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 makeswaption.hpp
\brief Helper class to instantiate standard market swaption.
*/
#ifndef quantlib_make_swaption_hpp
#define quantlib_make_swaption_hpp
#include <ql/time/businessdayconvention.hpp>
#include <ql/instruments/swaption.hpp>
namespace QuantLib {
class SwapIndex;
class Swap;
class Calendar;
class IborIndex;
class Period;
class PricingEngine;
//! helper class
/*! This class provides a more comfortable way
to instantiate standard market swaption.
*/
class MakeSwaption {
public:
MakeSwaption(const boost::shared_ptr<SwapIndex>& swapIndex,
const Period& optionTenor,
Rate strike = Null<Rate>());
MakeSwaption(const boost::shared_ptr<SwapIndex>& swapIndex,
const Date& fixingDate,
Rate strike = Null<Rate>());
operator Swaption() const;
operator boost::shared_ptr<Swaption>() const ;
MakeSwaption& withSettlementType(Settlement::Type delivery);
MakeSwaption& withOptionConvention(BusinessDayConvention bdc);
MakeSwaption& withExerciseDate(const Date&);
MakeSwaption& withUnderlyingType(const VanillaSwap::Type type);
MakeSwaption& withPricingEngine(
const boost::shared_ptr<PricingEngine>& engine);
private:
boost::shared_ptr<SwapIndex> swapIndex_;
Settlement::Type delivery_;
mutable boost::shared_ptr<VanillaSwap> underlyingSwap_;
Period optionTenor_;
BusinessDayConvention optionConvention_;
mutable Date fixingDate_;
Date exerciseDate_;
mutable boost::shared_ptr<Exercise> exercise_;
Rate strike_;
VanillaSwap::Type underlyingType_;
boost::shared_ptr<PricingEngine> engine_;
};
}
#endif
|