/usr/include/ql/experimental/catbonds/catrisk.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.
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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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 catrisk.hpp
\brief classes that encapsulate catastrophe risk
*/
#ifndef quantlib_catrisk_hpp
#define quantlib_catrisk_hpp
#include <ql/time/date.hpp>
#include <ql/errors.hpp>
#include <boost/shared_ptr.hpp>
#if defined(__GNUC__) && (((__GNUC__ == 4) && (__GNUC_MINOR__ >= 8)) || (__GNUC__ > 4))
#pragma GCC diagnostic push
#pragma GCC diagnostic ignored "-Wunused-local-typedefs"
#endif
#include <boost/random.hpp>
#if defined(__GNUC__) && (((__GNUC__ == 4) && (__GNUC_MINOR__ >= 8)) || (__GNUC__ > 4))
#pragma GCC diagnostic pop
#endif
#include <vector>
namespace QuantLib {
class CatSimulation {
public:
CatSimulation(Date start,
Date end)
: start_(start), end_(end)
{}
virtual ~CatSimulation(){}
virtual bool nextPath(std::vector<std::pair<Date, Real> > &path) = 0;
protected:
Date start_;
Date end_;
};
class CatRisk {
public:
virtual ~CatRisk() {}
virtual boost::shared_ptr<CatSimulation> newSimulation(const Date& start, const Date& end) const = 0;
};
class EventSetSimulation : public CatSimulation {
public:
EventSetSimulation(boost::shared_ptr<std::vector<std::pair<Date, Real> > > events, Date eventsStart, Date eventsEnd, Date start, Date end);
virtual bool nextPath(std::vector<std::pair<Date, Real> > &path);
private:
boost::shared_ptr<std::vector<std::pair<Date, Real> > > events_;
Date eventsStart_;
Date eventsEnd_;
Year years_;
Date periodStart_;
Date periodEnd_;
Year offsetYears_;
unsigned int i_;
};
class EventSet : public CatRisk {
public:
EventSet(boost::shared_ptr<std::vector<std::pair<Date, Real> > > events,
Date eventsStart,
Date eventsEnd);
boost::shared_ptr<CatSimulation> newSimulation(const Date& start, const Date& end) const;
private:
boost::shared_ptr<std::vector<std::pair<Date, Real> > > events_;
Date eventsStart_;
Date eventsEnd_;
};
class BetaRiskSimulation : public CatSimulation {
public:
BetaRiskSimulation(Date start,
Date end,
Real maxLoss,
Real lambda,
Real alpha,
Real beta) ;
virtual bool nextPath(std::vector<std::pair<Date, Real> > &path);
Real generateBeta();
private:
Real lambda_;
Real maxLoss_;
Integer dayCount_;
Real yearFraction_;
boost::mt19937 rng_;
boost::variate_generator<boost::mt19937&, boost::exponential_distribution<> > exponential_;
boost::variate_generator<boost::mt19937&, boost::gamma_distribution<> > gammaAlpha_;
boost::variate_generator<boost::mt19937&, boost::gamma_distribution<> > gammaBeta_;
};
class BetaRisk : public CatRisk {
public:
BetaRisk(Real maxLoss,
Real years,
Real mean,
Real stdDev);
virtual boost::shared_ptr<CatSimulation> newSimulation(const Date& start, const Date& end) const;
private:
Real maxLoss_;
Real lambda_;
Real alpha_;
Real beta_;
};
}
#endif
|