/usr/include/ql/experimental/inflation/yoyoptionlethelpers.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) 2009 Chris Kenyon
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 yoyoptionlethelpers.hpp
\brief helpers for YoY inflation-volatility bootstrap
*/
#ifndef quantlib_yoy_optionlet_helpers_hpp
#define quantlib_yoy_optionlet_helpers_hpp
#include <ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp>
#include <ql/instruments/inflationcapfloor.hpp>
#include <ql/pricingengines/inflation/inflationcapfloorengines.hpp>
#include <ql/termstructures/bootstraphelper.hpp>
namespace QuantLib {
//! Year-on-year inflation-volatility bootstrap helper.
class YoYOptionletHelper
: public BootstrapHelper<YoYOptionletVolatilitySurface> {
public:
YoYOptionletHelper(
const Handle<Quote>& price,
Real notional, // get the price level right
// (e.g. bps = 10,000)
YoYInflationCapFloor::Type capFloorType,
Period &lag,
const DayCounter& yoyDayCounter,
const Calendar& paymentCalendar,
Natural fixingDays,
const boost::shared_ptr<YoYInflationIndex>& index,
Rate strike, Size n,
const boost::shared_ptr<YoYInflationCapFloorEngine> &pricer);
void setTermStructure(YoYOptionletVolatilitySurface*);
Real impliedQuote() const;
protected:
Real notional_; // get the price level right (e.g. bps = 10,000)
YoYInflationCapFloor::Type capFloorType_;
Period lag_;
Natural fixingDays_;
boost::shared_ptr<YoYInflationIndex> index_; // VERY important - has
// nominal & yoy curves
Rate strike_;
Size n_; // how many payments
DayCounter yoyDayCounter_;
Calendar calendar_;
boost::shared_ptr<YoYInflationCapFloorEngine> pricer_;
// what you make
boost::shared_ptr<YoYInflationCapFloor> yoyCapFloor_;
};
}
#endif
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