/usr/include/ql/termstructures/credit/defaultprobabilityhelpers.hpp is in libquantlib0-dev 1.1-2build1.
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 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008, 2009 Jose Aparicio
Copyright (C) 2008 Chris Kenyon
Copyright (C) 2008 Roland Lichters
Copyright (C) 2008 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 defaultprobabilityhelpers.hpp
\brief bootstrap helpers for default-probability term structures
*/
#ifndef quantlib_default_probability_helpers_hpp
#define quantlib_default_probability_helpers_hpp
#include <ql/termstructures/defaulttermstructure.hpp>
#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/time/schedule.hpp>
namespace QuantLib {
class YieldTermStructure;
class CreditDefaultSwap;
//! alias for default-probability bootstrap helpers
typedef BootstrapHelper<DefaultProbabilityTermStructure>
DefaultProbabilityHelper;
typedef RelativeDateBootstrapHelper<DefaultProbabilityTermStructure>
RelativeDateDefaultProbabilityHelper;
/*! Base default-probability bootstrap helper
@param tenor CDS tenor.
@param frequency Coupon frequency.
@param settlementDays The number of days from today's date
to the start of the protection period.
@param paymentConvention The payment convention applied to
coupons schedules, settlement dates
and protection period calculations.
*/
class CdsHelper : public RelativeDateDefaultProbabilityHelper {
public:
CdsHelper(const Handle<Quote>& quote,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
bool settlesAccrual = true,
bool paysAtDefaultTime = true);
CdsHelper(Rate quote,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
bool settlesAccrual = true,
bool paysAtDefaultTime = true);
void setTermStructure(DefaultProbabilityTermStructure*);
protected:
void update();
void initializeDates();
virtual void resetEngine() = 0;
Period tenor_;
Integer settlementDays_;
Calendar calendar_;
Frequency frequency_;
BusinessDayConvention paymentConvention_;
DateGeneration::Rule rule_;
DayCounter dayCounter_;
Real recoveryRate_;
Handle<YieldTermStructure> discountCurve_;
bool settlesAccrual_;
bool paysAtDefaultTime_;
Schedule schedule_;
boost::shared_ptr<CreditDefaultSwap> swap_;
RelinkableHandle<DefaultProbabilityTermStructure> probability_;
//! protection effective date.
Date protectionStart_;
};
//! Spread-quoted CDS hazard rate bootstrap helper.
class SpreadCdsHelper : public CdsHelper {
public:
SpreadCdsHelper(const Handle<Quote>& runningSpread,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
bool settlesAccrual = true,
bool paysAtDefaultTime = true);
SpreadCdsHelper(Rate runningSpread,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
bool settlesAccrual = true,
bool paysAtDefaultTime = true);
Real impliedQuote() const;
private:
void resetEngine();
};
//! Upfront-quoted CDS hazard rate bootstrap helper.
class UpfrontCdsHelper : public CdsHelper {
public:
/*! \note the upfront must be quoted in fractional units. */
UpfrontCdsHelper(const Handle<Quote>& upfront,
Rate runningSpread,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
Natural upfrontSettlementDays = 0,
bool settlesAccrual = true,
bool paysAtDefaultTime = true);
/*! \note the upfront must be quoted in fractional units. */
UpfrontCdsHelper(Rate upfront,
Rate runningSpread,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
Natural upfrontSettlementDays = 0,
bool settlesAccrual = true,
bool paysAtDefaultTime = true);
Real impliedQuote() const;
void initializeDates();
private:
Natural upfrontSettlementDays_;
Date upfrontDate_;
Rate runningSpread_;
void resetEngine();
};
}
#endif
|