/usr/include/ql/pricingengines/swaption/blackswaptionengine.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
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 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 blackswaptionengine.hpp
\brief Black-formula swaption engine
*/
#ifndef quantlib_pricers_black_swaption_hpp
#define quantlib_pricers_black_swaption_hpp
#include <ql/instruments/swaption.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
namespace QuantLib {
class Quote;
//! Black-formula swaption engine
/*! \ingroup swaptionengines
\warning The engine assumes that the exercise date equals the
start date of the passed swap.
*/
class BlackSwaptionEngine : public Swaption::engine {
public:
BlackSwaptionEngine(const Handle<YieldTermStructure>& discountCurve,
Volatility vol,
const DayCounter& dc = Actual365Fixed(),
Real displacement = 0.0);
BlackSwaptionEngine(const Handle<YieldTermStructure>& discountCurve,
const Handle<Quote>& vol,
const DayCounter& dc = Actual365Fixed(),
Real displacement = 0.0);
BlackSwaptionEngine(const Handle<YieldTermStructure>& discountCurve,
const Handle<SwaptionVolatilityStructure>& vol,
Real displacement = 0.0);
void calculate() const;
Handle<YieldTermStructure> termStructure() { return discountCurve_; }
Handle<SwaptionVolatilityStructure> volatility() { return vol_; }
Real displacement() { return displacement_; }
private:
Handle<YieldTermStructure> discountCurve_;
Handle<SwaptionVolatilityStructure> vol_;
Real displacement_;
};
}
#endif
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