/usr/include/ql/experimental/convertiblebonds/discretizedconvertible.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.
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/*
Copyright (C) 2005, 2006 Theo Boafo
Copyright (C) 2006, 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 discretizedconvertible.hpp
\brief discretized convertible
*/
#ifndef quantlib_discretized_convertible_hpp
#define quantlib_discretized_convertible_hpp
#include <ql/discretizedasset.hpp>
#include <ql/experimental/convertiblebonds/convertiblebond.hpp>
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
class DiscretizedConvertible : public DiscretizedAsset {
public:
DiscretizedConvertible(
const ConvertibleBond::option::arguments&,
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
const TimeGrid& grid = TimeGrid());
void reset(Size size);
const Array& conversionProbability() const {
return conversionProbability_;
}
Array& conversionProbability() { return conversionProbability_; }
const Array& spreadAdjustedRate() const { return spreadAdjustedRate_; }
Array& spreadAdjustedRate() { return spreadAdjustedRate_; }
const Array& dividendValues() const { return dividendValues_; }
Array& dividendValues() { return dividendValues_; }
std::vector<Time> mandatoryTimes() const {
std::vector<Time> result;
std::copy(stoppingTimes_.begin(), stoppingTimes_.end(),
std::back_inserter(result));
std::copy(callabilityTimes_.begin(), callabilityTimes_.end(),
std::back_inserter(result));
std::copy(couponTimes_.begin(), couponTimes_.end(),
std::back_inserter(result));
return result;
}
protected:
void postAdjustValuesImpl();
Array conversionProbability_, spreadAdjustedRate_, dividendValues_;
private:
Disposable<Array> adjustedGrid() const;
void applyConvertibility();
void applyCallability(Size, bool convertible);
void addCoupon(Size);
ConvertibleBond::option::arguments arguments_;
boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
std::vector<Time> stoppingTimes_;
std::vector<Time> callabilityTimes_;
std::vector<Time> couponTimes_;
std::vector<Time> dividendTimes_;
};
}
#endif
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