/usr/include/ql/experimental/credit/cdsoption.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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Roland Stamm
Copyright (C) 2009 Jose Aparicio
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 cdsoption.hpp
\brief CDS option
*/
#ifndef quantlib_cds_option_hpp
#define quantlib_cds_option_hpp
#include <ql/option.hpp>
#include <ql/instruments/creditdefaultswap.hpp>
namespace QuantLib {
class Quote;
class YieldTermStructure;
//! CDS option
/*! The side of the swaption is set by choosing the side of the CDS.
A receiver CDS option is a right to buy an underlying CDS
selling protection and receiving a coupon. A payer CDS option
is a right to buy an underlying CDS buying protection and
paying coupon.
*/
class CdsOption : public Option {
public:
class arguments;
class results;
class engine;
CdsOption(const boost::shared_ptr<CreditDefaultSwap>& swap,
const boost::shared_ptr<Exercise>& exercise,
bool knocksOut = true);
//! \name Instrument interface
//@{
bool isExpired() const;
void setupArguments(PricingEngine::arguments*) const;
//@}
//! \name Inspectors
//@{
const boost::shared_ptr<CreditDefaultSwap>& underlyingSwap() const {
return swap_;
}
//@}
//! \name Calculations
//@{
Rate atmRate() const;
Real riskyAnnuity() const;
Volatility impliedVolatility(
Real price,
const Handle<YieldTermStructure>& termStructure,
const Handle<DefaultProbabilityTermStructure>&,
Real recoveryRate,
Real accuracy = 1.e-4,
Size maxEvaluations = 100,
Volatility minVol = 1.0e-7,
Volatility maxVol = 4.0) const;
//@}
private:
boost::shared_ptr<CreditDefaultSwap> swap_;
bool knocksOut_;
mutable Real riskyAnnuity_;
void setupExpired() const;
void fetchResults(const PricingEngine::results*) const;
};
//! %Arguments for CDS-option calculation
class CdsOption::arguments : public CreditDefaultSwap::arguments,
public Option::arguments {
public:
arguments() {}
boost::shared_ptr<CreditDefaultSwap> swap;
bool knocksOut;
void validate() const;
};
//! %Results from CDS-option calculation
class CdsOption::results : public Option::results {
public:
Real riskyAnnuity;
void reset();
};
//! base class for swaption engines
class CdsOption::engine
: public GenericEngine<CdsOption::arguments, CdsOption::results> {};
}
#endif
|