/usr/include/ql/experimental/volatility/noarbsabrsmilesection.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) 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 noarbsabrsmilesection.hpp
\brief no arbitrage sabr smile section
*/
#ifndef quantlib_noarbsabr_smile_section_hpp
#define quantlib_noarbsabr_smile_section_hpp
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <ql/experimental/volatility/noarbsabr.hpp>
#include <vector>
namespace QuantLib {
class NoArbSabrSmileSection : public SmileSection {
public:
NoArbSabrSmileSection(Time timeToExpiry, Rate forward,
const std::vector<Real> &sabrParameters,
const Real shift = 0.0);
NoArbSabrSmileSection(const Date &d, Rate forward,
const std::vector<Real> &sabrParameters,
const DayCounter &dc = Actual365Fixed(),
const Real shift = 0.0);
Real minStrike() const { return 0.0; }
Real maxStrike() const { return QL_MAX_REAL; }
Real atmLevel() const { return forward_; }
Real optionPrice(Rate strike, Option::Type type = Option::Call,
Real discount = 1.0) const;
Real digitalOptionPrice(Rate strike, Option::Type type = Option::Call,
Real discount = 1.0, Real gap = 1.0e-5) const;
Real density(Rate strike, Real discount = 1.0, Real gap = 1.0E-4) const;
boost::shared_ptr<NoArbSabrModel> model() { return model_; }
protected:
Volatility volatilityImpl(Rate strike) const;
private:
void init();
boost::shared_ptr<NoArbSabrModel> model_;
Rate forward_;
std::vector<Real> params_;
Real shift_;
};
}
#endif
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