/usr/include/ql/experimental/volatility/interestratevolsurface.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) 2007 Ferdinando Ametrano
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 interestratevolsurface.hpp
\brief Interest rate volatility (smile) surface
*/
#ifndef quantlib_interest_rate_vol_surface_hpp
#define quantlib_interest_rate_vol_surface_hpp
#include <ql/experimental/volatility/blackvolsurface.hpp>
#include <ql/experimental/volatility/interestratevolsurface.hpp>
#include <ql/indexes/interestrateindex.hpp>
namespace QuantLib {
//! Interest rate volatility (smile) surface
/*! This abstract class defines the interface of concrete
Interest rate volatility (smile) surfaces which will
be derived from this one.
Volatilities are assumed to be expressed on an annual basis.
*/
class InterestRateVolSurface : public BlackVolSurface {
public:
/*! \name Constructors
See the TermStructure documentation for issues regarding
constructors.
*/
//@{
/*! \warning term structures initialized by means of this
constructor must manage their own reference date
by overriding the referenceDate() method.
*/
InterestRateVolSurface(const boost::shared_ptr<InterestRateIndex>&,
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! initialize with a fixed reference date
InterestRateVolSurface(const boost::shared_ptr<InterestRateIndex>&,
const Date& referenceDate,
const Calendar& cal = Calendar(),
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//! calculate the reference date based on the global evaluation date
InterestRateVolSurface(const boost::shared_ptr<InterestRateIndex>&,
Natural settlementDays,
const Calendar&,
BusinessDayConvention bdc = Following,
const DayCounter& dc = DayCounter());
//@}
//! \name VolatilityTermStructure interface
//@{
//! period/date conversion
Date optionDateFromTenor(const Period&) const;
//@}
const boost::shared_ptr<InterestRateIndex>& index() const;
//! \name Visitability
//@{
virtual void accept(AcyclicVisitor&);
//@}
protected:
boost::shared_ptr<InterestRateIndex> index_;
};
// inline
inline const boost::shared_ptr<InterestRateIndex>&
InterestRateVolSurface::index() const {
return index_;
}
}
#endif
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