/usr/include/ql/instruments/makeois.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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 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 makeois.hpp
\brief Helper class to instantiate overnight indexed swaps.
*/
#ifndef quantlib_makeois_hpp
#define quantlib_makeois_hpp
#include <ql/instruments/overnightindexedswap.hpp>
#include <ql/time/dategenerationrule.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
//! helper class
/*! This class provides a more comfortable way
to instantiate overnight indexed swaps.
*/
class MakeOIS {
public:
MakeOIS(const Period& swapTenor,
const boost::shared_ptr<OvernightIndex>& overnightIndex,
Rate fixedRate = Null<Rate>(),
const Period& fwdStart = 0*Days);
operator OvernightIndexedSwap() const;
operator boost::shared_ptr<OvernightIndexedSwap>() const ;
MakeOIS& receiveFixed(bool flag = true);
MakeOIS& withType(OvernightIndexedSwap::Type type);
MakeOIS& withNominal(Real n);
MakeOIS& withSettlementDays(Natural settlementDays);
MakeOIS& withEffectiveDate(const Date&);
MakeOIS& withTerminationDate(const Date&);
MakeOIS& withRule(DateGeneration::Rule r);
MakeOIS& withPaymentFrequency(Frequency f);
MakeOIS& withEndOfMonth(bool flag = true);
MakeOIS& withFixedLegDayCount(const DayCounter& dc);
MakeOIS& withOvernightLegSpread(Spread sp);
MakeOIS& withDiscountingTermStructure(
const Handle<YieldTermStructure>& discountingTermStructure);
MakeOIS& withPricingEngine(
const boost::shared_ptr<PricingEngine>& engine);
private:
Period swapTenor_;
boost::shared_ptr<OvernightIndex> overnightIndex_;
Rate fixedRate_;
Period forwardStart_;
Natural settlementDays_;
Date effectiveDate_, terminationDate_;
Calendar calendar_;
Frequency paymentFrequency_;
DateGeneration::Rule rule_;
bool endOfMonth_, isDefaultEOM_;
OvernightIndexedSwap::Type type_;
Real nominal_;
Spread overnightSpread_;
DayCounter fixedDayCount_;
boost::shared_ptr<PricingEngine> engine_;
};
}
#endif
|