/usr/include/ql/termstructures/volatility/atmsmilesection.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) 2013 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 atmsmilesection.hpp
\brief smile section that allows for explicit / alternate specification of
atm level
*/
#ifndef quantlib_atm_smile_section_hpp
#define quantlib_atm_smile_section_hpp
#include <ql/termstructures/volatility/smilesection.hpp>
namespace QuantLib {
class AtmSmileSection : public SmileSection {
public:
AtmSmileSection(const boost::shared_ptr<SmileSection> source,
const Real atm = Null<Real>());
Real minStrike() const { return source_->minStrike(); }
Real maxStrike() const { return source_->maxStrike(); }
Real atmLevel() const { return f_; }
const Date& exerciseDate() const { return source_->exerciseDate(); }
Time exerciseTime() const { return source_->exerciseTime(); }
const DayCounter& dayCounter() const { return source_->dayCounter(); }
const Date& referenceDate() const { return source_->referenceDate(); }
const VolatilityType volatilityType() const {
return source_->volatilityType();
}
const Rate shift() const { return source_->shift(); }
protected:
Volatility volatilityImpl(Rate strike) const {
return source_->volatility(strike);
}
Real varianceImpl(Rate strike) const {
return source_->variance(strike);
}
private:
boost::shared_ptr<SmileSection> source_;
Real f_;
};
}
#endif
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