/usr/include/ql/termstructures/yield/zeroyieldstructure.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 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004 StatPro Italia srl
Copyright (C) 2009 Ferdinando Ametrano
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 zeroyieldstructure.hpp
\brief Zero-yield based term structure
*/
#ifndef quantlib_zero_yield_structure_hpp
#define quantlib_zero_yield_structure_hpp
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
//! Zero-yield term structure
/*! This abstract class acts as an adapter to YieldTermStructure
allowing the programmer to implement only the
<tt>zeroYieldImpl(Time)</tt> method in derived classes.
Discount and forward are calculated from zero yields.
Zero rates are assumed to be annual continuous compounding.
\ingroup yieldtermstructures
*/
class ZeroYieldStructure : public YieldTermStructure {
public:
/*! \name Constructors
See the TermStructure documentation for issues regarding
constructors.
*/
//@{
ZeroYieldStructure(
const DayCounter& dc = DayCounter(),
const std::vector<Handle<Quote> >& jumps = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>());
ZeroYieldStructure(
const Date& referenceDate,
const Calendar& calendar = Calendar(),
const DayCounter& dc = DayCounter(),
const std::vector<Handle<Quote> >& jumps = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>());
ZeroYieldStructure(
Natural settlementDays,
const Calendar& calendar,
const DayCounter& dc = DayCounter(),
const std::vector<Handle<Quote> >& jumps = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>());
//@}
protected:
/*! \name Calculations
This method must be implemented in derived classes to
perform the actual calculations. When it is called,
range check has already been performed; therefore, it
must assume that extrapolation is required.
*/
//@{
//! zero-yield calculation
virtual Rate zeroYieldImpl(Time) const = 0;
//@}
//! \name YieldTermStructure implementation
//@{
/*! Returns the discount factor for the given date calculating it
from the zero yield.
*/
DiscountFactor discountImpl(Time) const;
//@}
};
// inline definitions
inline DiscountFactor ZeroYieldStructure::discountImpl(Time t) const {
if (t == 0.0) // this acts as a safe guard in cases where
return 1.0; // zeroYieldImpl(0.0) would throw.
Rate r = zeroYieldImpl(t);
return DiscountFactor(std::exp(-r*t));
}
}
#endif
|