/usr/include/ql/experimental/catbonds/catbond.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2012, 2013 Grzegorz Andruszkiewicz
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 catbond.hpp
\brief cat bond class
*/
#ifndef quantlib_catbond_hpp
#define quantlib_catbond_hpp
#include <ql/instruments/bond.hpp>
#include <ql/time/dategenerationrule.hpp>
#include <ql/time/schedule.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/experimental/catbonds/catrisk.hpp>
#include <ql/experimental/catbonds/riskynotional.hpp>
namespace QuantLib {
class CatBond : public Bond
{
public:
class arguments;
class results;
class engine;
CatBond(Natural settlementDays,
const Calendar& calendar,
const Date& issueDate,
boost::shared_ptr<NotionalRisk> notionalRisk)
: Bond(settlementDays, calendar, issueDate),
notionalRisk_(notionalRisk)
{}
virtual ~CatBond(void) {}
virtual void setupArguments(PricingEngine::arguments*) const;
virtual void fetchResults(const PricingEngine::results*) const;
Real lossProbability() { return lossProbability_; }
Real expectedLoss() { return expectedLoss_; }
Real exhaustionProbability() { return exhaustionProbability_; }
protected:
boost::shared_ptr<NotionalRisk> notionalRisk_;
mutable Real lossProbability_;
mutable Real exhaustionProbability_;
mutable Real expectedLoss_;
};
class CatBond::arguments : public Bond::arguments {
public:
Date startDate;
boost::shared_ptr<NotionalRisk> notionalRisk;
void validate() const;
};
//! results for a cat bond calculation
class CatBond::results : public Bond::results {
public:
Real lossProbability;
Real exhaustionProbability;
Real expectedLoss;
};
//! base class for cat bond engine
class CatBond::engine
: public GenericEngine<CatBond::arguments,
CatBond::results> {};
//! floating-rate cat bond (possibly capped and/or floored)
/*! \ingroup instruments
\test calculations are tested by checking results against
cached values.
*/
class FloatingCatBond : public CatBond {
public:
FloatingCatBond(Natural settlementDays,
Real faceAmount,
const Schedule& schedule,
const boost::shared_ptr<IborIndex>& iborIndex,
const DayCounter& accrualDayCounter,
boost::shared_ptr<NotionalRisk> notionalRisk,
BusinessDayConvention paymentConvention
= Following,
Natural fixingDays = Null<Natural>(),
const std::vector<Real>& gearings
= std::vector<Real>(1, 1.0),
const std::vector<Spread>& spreads
= std::vector<Spread>(1, 0.0),
const std::vector<Rate>& caps
= std::vector<Rate>(),
const std::vector<Rate>& floors
= std::vector<Rate>(),
bool inArrears = false,
Real redemption = 100.0,
const Date& issueDate = Date());
FloatingCatBond(Natural settlementDays,
Real faceAmount,
const Date& startDate,
const Date& maturityDate,
Frequency couponFrequency,
const Calendar& calendar,
const boost::shared_ptr<IborIndex>& iborIndex,
const DayCounter& accrualDayCounter,
boost::shared_ptr<NotionalRisk> notionalRisk,
BusinessDayConvention accrualConvention = Following,
BusinessDayConvention paymentConvention = Following,
Natural fixingDays = Null<Natural>(),
const std::vector<Real>& gearings
= std::vector<Real>(1, 1.0),
const std::vector<Spread>& spreads
= std::vector<Spread>(1, 0.0),
const std::vector<Rate>& caps = std::vector<Rate>(),
const std::vector<Rate>& floors = std::vector<Rate>(),
bool inArrears = false,
Real redemption = 100.0,
const Date& issueDate = Date(),
const Date& stubDate = Date(),
DateGeneration::Rule rule = DateGeneration::Backward,
bool endOfMonth = false);
};
}
#endif
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