/usr/include/ql/experimental/callablebonds/treecallablebondengine.hpp is in libquantlib0-dev 1.7.1-1.
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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Allen Kuo
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 treecallablebondengine.hpp
\brief Numerical lattice engines for callable/puttable bonds
*/
#ifndef quantlib_tree_callable_bond_engine_hpp
#define quantlib_tree_callable_bond_engine_hpp
#include <ql/experimental/callablebonds/callablebond.hpp>
#include <ql/pricingengines/latticeshortratemodelengine.hpp>
namespace QuantLib {
//! Numerical lattice engine for callable fixed rate bonds
/*! \ingroup callablebondengines */
class TreeCallableFixedRateBondEngine
: public LatticeShortRateModelEngine<CallableBond::arguments,
CallableBond::results> {
public:
/*! \name Constructors
\note the term structure is only needed when the short-rate
model cannot provide one itself.
*/
//@{
TreeCallableFixedRateBondEngine(
const boost::shared_ptr<ShortRateModel>&,
const Size timeSteps,
const Handle<YieldTermStructure>& termStructure =
Handle<YieldTermStructure>());
TreeCallableFixedRateBondEngine(
const boost::shared_ptr<ShortRateModel>&,
const TimeGrid& timeGrid,
const Handle<YieldTermStructure>& termStructure =
Handle<YieldTermStructure>()) ;
//@}
void calculate() const;
private:
Handle<YieldTermStructure> termStructure_;
};
//! Numerical lattice engine for callable zero coupon bonds
/*! \ingroup callablebondengines */
class TreeCallableZeroCouponBondEngine
: public TreeCallableFixedRateBondEngine {
public:
TreeCallableZeroCouponBondEngine(
const boost::shared_ptr<ShortRateModel>& model,
const Size timeSteps,
const Handle<YieldTermStructure>& termStructure =
Handle<YieldTermStructure>())
: TreeCallableFixedRateBondEngine(model, timeSteps, termStructure) {}
TreeCallableZeroCouponBondEngine(
const boost::shared_ptr<ShortRateModel>& model,
const TimeGrid& timeGrid,
const Handle<YieldTermStructure>& termStructure =
Handle<YieldTermStructure>())
: TreeCallableFixedRateBondEngine(model, timeGrid, termStructure) {}
};
}
#endif
|