/usr/include/ql/quotes/forwardswapquote.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 forwardswapquote.hpp
\brief quote for a forward starting swap
*/
#ifndef quantlib_forward_swap_quote_hpp
#define quantlib_forward_swap_quote_hpp
#include <ql/patterns/lazyobject.hpp>
#include <ql/instruments/vanillaswap.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/quote.hpp>
namespace QuantLib {
//! Quote for a forward starting swap
class ForwardSwapQuote : public Quote,
public LazyObject {
public:
ForwardSwapQuote(const boost::shared_ptr<SwapIndex>& swapIndex,
const Handle<Quote>& spread,
const Period& fwdStart);
//! \name Quote interface
//@{
Real value() const;
bool isValid() const;
//@}
//! \name Observer interface
//@{
void update();
//@}
const Date& valueDate() const;
const Date& startDate() const;
const Date& fixingDate() const;
protected:
void initializeDates();
void performCalculations() const;
boost::shared_ptr<SwapIndex> swapIndex_;
Handle<Quote> spread_;
Period fwdStart_;
Date evaluationDate_, valueDate_, startDate_, fixingDate_;
boost::shared_ptr<VanillaSwap> swap_;
mutable Rate result_;
};
}
#endif
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