/usr/include/ql/pricingengines/swaption/treeswaptionengine.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) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2005, 2007 StatPro Italia srl
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 treeswaptionengine.hpp
\brief Numerical lattice engine for swaptions
*/
#ifndef quantlib_tree_swaption_engine_hpp
#define quantlib_tree_swaption_engine_hpp
#include <ql/instruments/swaption.hpp>
#include <ql/pricingengines/latticeshortratemodelengine.hpp>
namespace QuantLib {
//! Numerical lattice engine for swaptions
/*! \ingroup swaptionengines
\warning This engine is not guaranteed to work if the
underlying swap has a start date in the past, i.e.,
before today's date. When using this engine, prune
the initial part of the swap so that it starts at
\f$ t \geq 0 \f$.
\test calculations are checked against cached results
*/
class TreeSwaptionEngine
: public LatticeShortRateModelEngine<Swaption::arguments,
Swaption::results> {
public:
/*! \name Constructors
\note the term structure is only needed when the short-rate
model cannot provide one itself.
*/
//@{
TreeSwaptionEngine(const boost::shared_ptr<ShortRateModel>&,
Size timeSteps,
const Handle<YieldTermStructure>& termStructure =
Handle<YieldTermStructure>());
TreeSwaptionEngine(const boost::shared_ptr<ShortRateModel>&,
const TimeGrid& timeGrid,
const Handle<YieldTermStructure>& termStructure =
Handle<YieldTermStructure>());
TreeSwaptionEngine(const Handle<ShortRateModel>&,
Size timeSteps,
const Handle<YieldTermStructure>& termStructure =
Handle<YieldTermStructure>());
//@}
void calculate() const;
private:
Handle<YieldTermStructure> termStructure_;
};
}
#endif
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