/usr/include/ql/pricingengines/swaption/g2swaptionengine.hpp is in libquantlib0-dev 1.12-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2004 Mike Parker
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 g2swaptionengine.hpp
\brief Swaption pricing engine for two-factor additive Gaussian Model G2++
*/
#ifndef quantlib_pricers_G2_swaption_hpp
#define quantlib_pricers_G2_swaption_hpp
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/shortrate/twofactormodels/g2.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
namespace QuantLib {
//! %Swaption priced by means of the Black formula
/*! \ingroup swaptionengines
\warning The engine assumes that the exercise date equals the
start date of the passed swap.
*/
class G2SwaptionEngine : public GenericModelEngine<G2, Swaption::arguments,
Swaption::results> {
public:
// range is the number of standard deviations to use in the
// exponential term of the integral for the european swaption.
// intervals is the number of intervals to use in the integration.
G2SwaptionEngine(const boost::shared_ptr<G2>& model,
Real range,
Size intervals)
: GenericModelEngine<G2, Swaption::arguments, Swaption::results>(model),
range_(range), intervals_(intervals) {}
void calculate() const {
QL_REQUIRE(arguments_.settlementType == Settlement::Physical,
"cash-settled swaptions not priced with G2 engine");
// adjust the fixed rate of the swap for the spread on the
// floating leg (which is not taken into account by the
// model)
VanillaSwap swap = *arguments_.swap;
swap.setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(model_->termStructure(), false)));
Spread correction = swap.spread() *
std::fabs(swap.floatingLegBPS() / swap.fixedLegBPS());
Rate fixedRate = swap.fixedRate() - correction;
results_.value = model_->swaption(arguments_, fixedRate,
range_, intervals_);
}
private:
Real range_;
Size intervals_;
};
}
#endif
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