/usr/include/ql/experimental/volatility/equityfxvolsurface.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2002, 2003 Ferdinando Ametrano
Copyright (C) 2003, 2004, 2005, 2006 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 equityfxvolsurface.hpp
\brief Equity/FX vol (smile) surface
*/
#ifndef quantlib_equity_fx_vol_surface_hpp
#define quantlib_equity_fx_vol_surface_hpp
#include <ql/experimental/volatility/blackvolsurface.hpp>
namespace QuantLib {
//! Equity/FX volatility (smile) surface
/*! This abstract class defines the interface of concrete
Equity/FX volatility (smile) surfaces which will
be derived from this one.
Volatilities are assumed to be expressed on an annual basis.
It's only in absence of smile that the concept of (at-the-money)
forward volatility makes sense.
*/
class EquityFXVolSurface : public BlackVolSurface {
public:
/*! \name Constructors
See the TermStructure documentation for issues regarding
constructors.
*/
//@{
//! default constructor
/*! \warning term structures initialized by means of this
constructor must manage their own reference date
by overriding the referenceDate() method.
*/
EquityFXVolSurface(BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! initialize with a fixed reference date
EquityFXVolSurface(const Date& referenceDate,
const Calendar& cal = Calendar(),
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! calculate the reference date based on the global evaluation date
EquityFXVolSurface(Natural settlementDays,
const Calendar&,
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//@}
//! \name Black Volatility
//@{
//! forward (at-the-money) volatility
Volatility atmForwardVol(const Date& date1,
const Date& date2,
bool extrapolate = false) const;
//! forward (at-the-money) volatility
Volatility atmForwardVol(Time time1,
Time time2,
bool extrapolate = false) const;
//! forward (at-the-money) variance
Real atmForwardVariance(const Date& date1,
const Date& date2,
bool extrapolate = false) const;
//! forward (at-the-money) variance
Real atmForwardVariance(Time time1,
Time time2,
bool extrapolate = false) const;
//@}
//! \name Visitability
//@{
virtual void accept(AcyclicVisitor&);
//@}
};
}
#endif
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