/usr/include/ql/termstructures/volatility/sabr.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) 2006 Ferdinando Ametrano
Copyright (C) 2006 Mario Pucci
Copyright (C) 2006 StatPro Italia srl
Copyright (C) 2015 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 sabr.hpp
\brief SABR functions
*/
#ifndef quantlib_sabr_hpp
#define quantlib_sabr_hpp
#include <ql/types.hpp>
namespace QuantLib {
Real unsafeSabrVolatility(Rate strike,
Rate forward,
Time expiryTime,
Real alpha,
Real beta,
Real nu,
Real rho);
Real unsafeShiftedSabrVolatility(Rate strike,
Rate forward,
Time expiryTime,
Real alpha,
Real beta,
Real nu,
Real rho,
Real shift);
Real sabrVolatility(Rate strike,
Rate forward,
Time expiryTime,
Real alpha,
Real beta,
Real nu,
Real rho);
Real shiftedSabrVolatility(Rate strike,
Rate forward,
Time expriyTime,
Real alpha,
Real beta,
Real nu,
Real rho,
Real shift);
void validateSabrParameters(Real alpha,
Real beta,
Real nu,
Real rho);
}
#endif
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