/usr/include/ql/experimental/credit/recoveryratequote.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) 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.
*/
#ifndef quantlib_recoveryrate_quote_hpp
#define quantlib_recoveryrate_quote_hpp
#include <ql/quote.hpp>
#include <ql/experimental/credit/defaulttype.hpp>
#include <map>
namespace QuantLib {
//! Stores a recovery rate market quote and the associated seniority.
class RecoveryRateQuote : public Quote {
friend std::map<Seniority, Real> makeIsdaConvMap();
public:
/*! Returns a map with the ISDA conventional (values by
default) of the recovery rate per each ISDA seniority.
*/
static Real conventionalRecovery(Seniority sen) {
return IsdaConvRecoveries[sen];
}
RecoveryRateQuote(Real value = Null<Real>(),
Seniority seniority = NoSeniority);
//! \name Quote interface
//@{
Real value() const;
Seniority seniority() const;
bool isValid() const;
//@}
//! \name Modifiers
//@{
//! returns the difference between the new value and the old value
Real setValue(Real value = Null<Real>());
void reset();
//@}
/*! Turn a set of recoveries into a seniority-recovery map
(intended to be used in an event construction)
*/
// member? move to friend?
template<Size N>
static const std::map<Seniority, Real>
makeIsdaMap(const Real (&(arrayIsdaRR))[N]) ;
private:
// Conventional recoveries for ISDA seniorities
static const Real IsdaConvRecoveries[];
// The seniority this recovery is quoted for.
Seniority seniority_;
// The recovery value. In fractional units.
Real recoveryRate_;
};
inline Seniority RecoveryRateQuote::seniority() const {
return seniority_;
}
inline Real RecoveryRateQuote::value() const {
QL_ENSURE(isValid(), "invalid Recovery Quote");
return recoveryRate_;
}
inline bool RecoveryRateQuote::isValid() const {
// not to be consufed with proper initialization [0-1]
return recoveryRate_!=Null<Real>();/* &&
seniority_ != NoSeniority;*/
}
//! Helper function for conventional recoveries. Returns the ISDA
// conventional recovery rates for the ISDA seniorities.
std::map<Seniority, Real> makeIsdaConvMap();
// template definitions
// helpers allow further automatic inclusion of seniorities
template<Size N>
const std::map<Seniority, Real>
RecoveryRateQuote::makeIsdaMap (const Real (&(arrayIsdaRR))[N]) {
// TO DO: include check on sizes... not to go beyond enum sizes.
// TO DO: check Reals are valid, i.e. non Null and within [0-1] range
std::map<Seniority, Real> isdaMap;
for(Size i=0; i<N; i++) {
Seniority isdaType = Seniority(i);//compiler dependent?
isdaMap[isdaType] = arrayIsdaRR[i];
}
return isdaMap;
}
}
#endif
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