/usr/include/ql/pricingengines/swaption/gaussian1dswaptionengine.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) 2013 Peter Caspers
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 gaussian1dswaptionengine.hpp
\brief
*/
#ifndef quantlib_pricers_gaussian1d_swaption_hpp
#define quantlib_pricers_gaussian1d_swaption_hpp
#include <ql/instruments/swaption.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/shortrate/onefactormodels/gaussian1dmodel.hpp>
namespace QuantLib {
//! One factor model swaption engine
/*! \ingroup swaptionengines
All fixed coupons with start date greater or equal to the respective
option expiry are considered to be
part of the exercise into right.
\warning Cash settled swaptions are not supported
*/
class Gaussian1dSwaptionEngine
: public GenericModelEngine<Gaussian1dModel, Swaption::arguments,
Swaption::results> {
public:
enum Probabilities {
None,
Naive,
Digital
};
Gaussian1dSwaptionEngine(
const boost::shared_ptr<Gaussian1dModel> &model,
const int integrationPoints = 64, const Real stddevs = 7.0,
const bool extrapolatePayoff = true,
const bool flatPayoffExtrapolation = false,
const Handle<YieldTermStructure> &discountCurve =
Handle<YieldTermStructure>(),
const Probabilities probabilities = None)
: GenericModelEngine<Gaussian1dModel, Swaption::arguments,
Swaption::results>(model),
integrationPoints_(integrationPoints), stddevs_(stddevs),
extrapolatePayoff_(extrapolatePayoff),
flatPayoffExtrapolation_(flatPayoffExtrapolation),
discountCurve_(discountCurve), probabilities_(probabilities) {
if (!discountCurve_.empty())
registerWith(discountCurve_);
}
void calculate() const;
private:
const int integrationPoints_;
const Real stddevs_;
const bool extrapolatePayoff_, flatPayoffExtrapolation_;
const Handle<YieldTermStructure> discountCurve_;
const Probabilities probabilities_;
};
}
#endif
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