/usr/include/ql/termstructures/bootstraperror.hpp is in libquantlib0-dev 1.1-2build1.
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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Ferdinando Ametrano
Copyright (C) 2007 Chris Kenyon
Copyright (C) 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 bootstraperror.hpp
\brief boostrap error.
*/
#ifndef quantlib_bootstrap_error_hpp
#define quantlib_bootstrap_error_hpp
#include <ql/types.hpp>
#include <boost/shared_ptr.hpp>
namespace QuantLib {
//! bootstrap error
template <class Curve>
class BootstrapError {
typedef typename Curve::traits_type Traits;
public:
BootstrapError(
const Curve* curve,
const boost::shared_ptr<typename Traits::helper>& instrument,
Size segment);
Real operator()(Rate guess) const;
private:
const Curve* curve_;
const boost::shared_ptr<typename Traits::helper> helper_;
const Size segment_;
};
// template definitions
template <class Curve>
BootstrapError<Curve>::BootstrapError(
const Curve* curve,
const boost::shared_ptr<typename Traits::helper>& helper,
Size segment)
: curve_(curve), helper_(helper), segment_(segment) {}
#ifndef __DOXYGEN__
template <class Curve>
Real BootstrapError<Curve>::operator()(Real guess) const {
Traits::updateGuess(curve_->data_, guess, segment_);
curve_->interpolation_.update();
return helper_->quoteError();
}
#endif
}
#endif
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