/usr/include/ql/experimental/coupons/cmsspreadcoupon.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 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 | /*
Copyright (C) 2014 Peter Caspers
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 cmsspreadcoupon.hpp
\brief CMS spread coupon
*/
#ifndef quantlib_cmsspread_coupon_hpp
#define quantlib_cmsspread_coupon_hpp
#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/cashflows/capflooredcoupon.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/experimental/coupons/swapspreadindex.hpp>
#include <ql/time/schedule.hpp>
namespace QuantLib {
class SwapIndex;
//! CMS spread coupon class
/*! \warning This class does not perform any date adjustment,
i.e., the start and end date passed upon construction
should be already rolled to a business day.
*/
class CmsSpreadCoupon : public FloatingRateCoupon {
public:
CmsSpreadCoupon(const Date& paymentDate,
Real nominal,
const Date& startDate,
const Date& endDate,
Natural fixingDays,
const boost::shared_ptr<SwapSpreadIndex>& index,
Real gearing = 1.0,
Spread spread = 0.0,
const Date& refPeriodStart = Date(),
const Date& refPeriodEnd = Date(),
const DayCounter& dayCounter = DayCounter(),
bool isInArrears = false);
//! \name Inspectors
//@{
const boost::shared_ptr<SwapSpreadIndex>& swapSpreadIndex() const {
return index_;
}
//@}
//! \name Visitability
//@{
virtual void accept(AcyclicVisitor&);
//@}
private:
boost::shared_ptr<SwapSpreadIndex> index_;
};
class CappedFlooredCmsSpreadCoupon : public CappedFlooredCoupon {
public:
CappedFlooredCmsSpreadCoupon(
const Date& paymentDate,
Real nominal,
const Date& startDate,
const Date& endDate,
Natural fixingDays,
const boost::shared_ptr<SwapSpreadIndex>& index,
Real gearing = 1.0,
Spread spread= 0.0,
const Rate cap = Null<Rate>(),
const Rate floor = Null<Rate>(),
const Date& refPeriodStart = Date(),
const Date& refPeriodEnd = Date(),
const DayCounter& dayCounter = DayCounter(),
bool isInArrears = false)
: CappedFlooredCoupon(boost::shared_ptr<FloatingRateCoupon>(new
CmsSpreadCoupon(paymentDate, nominal, startDate, endDate, fixingDays,
index, gearing, spread, refPeriodStart, refPeriodEnd,
dayCounter, isInArrears)), cap, floor) {}
virtual void accept(AcyclicVisitor& v) {
Visitor<CappedFlooredCmsSpreadCoupon>* v1 =
dynamic_cast<Visitor<CappedFlooredCmsSpreadCoupon>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
CappedFlooredCoupon::accept(v);
}
};
//! helper class building a sequence of capped/floored cms-spread-rate coupons
class CmsSpreadLeg {
public:
CmsSpreadLeg(const Schedule& schedule,
const boost::shared_ptr<SwapSpreadIndex>& swapSpreadIndex);
CmsSpreadLeg& withNotionals(Real notional);
CmsSpreadLeg& withNotionals(const std::vector<Real>& notionals);
CmsSpreadLeg& withPaymentDayCounter(const DayCounter&);
CmsSpreadLeg& withPaymentAdjustment(BusinessDayConvention);
CmsSpreadLeg& withFixingDays(Natural fixingDays);
CmsSpreadLeg& withFixingDays(const std::vector<Natural>& fixingDays);
CmsSpreadLeg& withGearings(Real gearing);
CmsSpreadLeg& withGearings(const std::vector<Real>& gearings);
CmsSpreadLeg& withSpreads(Spread spread);
CmsSpreadLeg& withSpreads(const std::vector<Spread>& spreads);
CmsSpreadLeg& withCaps(Rate cap);
CmsSpreadLeg& withCaps(const std::vector<Rate>& caps);
CmsSpreadLeg& withFloors(Rate floor);
CmsSpreadLeg& withFloors(const std::vector<Rate>& floors);
CmsSpreadLeg& inArrears(bool flag = true);
CmsSpreadLeg& withZeroPayments(bool flag = true);
operator Leg() const;
private:
Schedule schedule_;
boost::shared_ptr<SwapSpreadIndex> swapSpreadIndex_;
std::vector<Real> notionals_;
DayCounter paymentDayCounter_;
BusinessDayConvention paymentAdjustment_;
std::vector<Natural> fixingDays_;
std::vector<Real> gearings_;
std::vector<Spread> spreads_;
std::vector<Rate> caps_, floors_;
bool inArrears_, zeroPayments_;
};
//! base pricer for vanilla CMS spread coupons
class CmsSpreadCouponPricer : public FloatingRateCouponPricer {
public:
CmsSpreadCouponPricer(
const Handle<Quote> &correlation = Handle<Quote>())
: correlation_(correlation) {
registerWith(correlation_);
}
Handle<Quote> correlation() const{
return correlation_;
}
void setCorrelation(
const Handle<Quote> &correlation = Handle<Quote>()) {
unregisterWith(correlation_);
correlation_ = correlation;
registerWith(correlation_);
update();
}
private:
Handle<Quote> correlation_;
};
}
#endif
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