/usr/include/ql/experimental/catbonds/montecarlocatbondengine.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) 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 montecarlocatbondengine.hpp
\brief Monte Carlo pricing engine for cat bonds
*/
#ifndef quantlib_montecarlo_catbond_engine_hpp
#define quantlib_montecarlo_catbond_engine_hpp
#include <ql/experimental/catbonds/catbond.hpp>
namespace QuantLib {
class MonteCarloCatBondEngine :
public CatBond::engine
{
public:
MonteCarloCatBondEngine(
const boost::shared_ptr<CatRisk> catRisk,
const Handle<YieldTermStructure>& discountCurve =
Handle<YieldTermStructure>(),
boost::optional<bool> includeSettlementDateFlows = boost::none);
void calculate() const;
Handle<YieldTermStructure> discountCurve() const {
return discountCurve_;
}
protected:
Real cashFlowRiskyValue(const boost::shared_ptr<CashFlow> cf,
const NotionalPath& notionalPath) const;
Real npv(bool includeSettlementDateFlows,
Date settlementDate,
Date npvDate,
Real& lossProbability,
Real& exhaustionProbability,
Real& expectedLoss) const;
Real pathNpv(bool includeSettlementDateFlows,
Date settlementDate,
const NotionalPath& notionalPath) const;
private:
boost::shared_ptr<CatRisk> catRisk_;
Handle<YieldTermStructure> discountCurve_;
boost::optional<bool> includeSettlementDateFlows_;
};
}
#endif
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