/usr/include/ql/experimental/credit/riskybond.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) 2008 Roland Lichters
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 riskybond.hpp
\brief Defaultable bonds
*/
#ifndef quantlib_riskybond_hpp
#define quantlib_riskybond_hpp
#include <ql/instrument.hpp>
#include <ql/experimental/credit/issuer.hpp>
#include <ql/default.hpp>
#include <ql/time/schedule.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/cashflow.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/experimental/credit/pool.hpp>
#include <ql/termstructures/defaulttermstructure.hpp>
namespace QuantLib {
/*! Base class for default risky bonds
\ingroup credit
*/
class RiskyBond : public Instrument {
public:
RiskyBond(std::string name,
Currency ccy,
Real recoveryRate,
Handle<DefaultProbabilityTermStructure> defaultTS,
Handle<YieldTermStructure> yieldTS)
: name_(name), ccy_(ccy), recoveryRate_(recoveryRate),
defaultTS_(defaultTS), yieldTS_(yieldTS) {
registerWith (yieldTS_);
registerWith (defaultTS_);
}
virtual ~RiskyBond() {}
virtual std::vector<boost::shared_ptr<CashFlow> > cashflows() const = 0;
std::vector<boost::shared_ptr<CashFlow> > expectedCashflows();
virtual Real notional(Date date = Date::minDate()) const = 0;
virtual Date effectiveDate() const = 0;
virtual Date maturityDate() const = 0;
virtual std::vector<boost::shared_ptr<CashFlow> > interestFlows() const = 0;
virtual std::vector<boost::shared_ptr<CashFlow> > notionalFlows() const = 0;
Real riskfreeNPV() const;
Real totalFutureFlows() const;
std::string name() const;
Currency ccy() const;
Handle<YieldTermStructure> yieldTS() const;
Handle<DefaultProbabilityTermStructure> defaultTS() const;
Real recoveryRate() const;
//! \name Instrument interface
//@{
bool isExpired() const;
//@}
protected:
void setupExpired() const;
void performCalculations() const;
private:
std::string name_;
Currency ccy_;
Real recoveryRate_;
Handle<DefaultProbabilityTermStructure> defaultTS_;
Handle<YieldTermStructure> yieldTS_;
};
inline std::string RiskyBond::name() const {
return name_;
}
inline Currency RiskyBond::ccy() const {
return ccy_;
}
inline Handle<YieldTermStructure> RiskyBond::yieldTS() const {
return yieldTS_;
}
inline Handle<DefaultProbabilityTermStructure>
RiskyBond::defaultTS() const {
return defaultTS_;
}
inline Real RiskyBond::recoveryRate() const {
return recoveryRate_;
}
/*! Default risky fixed bond
\ingroup credit
*/
class RiskyFixedBond : public RiskyBond {
public:
RiskyFixedBond(std::string name,
Currency ccy,
Real recoveryRate,
Handle<DefaultProbabilityTermStructure> defaultTS,
Schedule schedule,
Real rate,
DayCounter dayCounter,
BusinessDayConvention paymentConvention,
std::vector<Real> notionals,
Handle<YieldTermStructure> yieldTS);
std::vector<boost::shared_ptr<CashFlow> > cashflows() const;
Real notional(Date date = Date::minDate()) const;
Date effectiveDate() const;
Date maturityDate() const;
std::vector<boost::shared_ptr<CashFlow> > interestFlows() const;
std::vector<boost::shared_ptr<CashFlow> > notionalFlows() const;
private:
Schedule schedule_;
Real rate_;
DayCounter dayCounter_;
BusinessDayConvention paymentConvention_;
std::vector<Real> notionals_;
std::vector<boost::shared_ptr<CashFlow> > leg_;
std::vector<boost::shared_ptr<CashFlow> > interestLeg_;
std::vector<boost::shared_ptr<CashFlow> > redemptionLeg_;
};
/*! Default risky floating bonds
\ingroup credit
*/
class RiskyFloatingBond : public RiskyBond {
public:
RiskyFloatingBond(std::string name,
Currency ccy,
Real recoveryRate,
Handle<DefaultProbabilityTermStructure> defaultTS,
Schedule schedule,
boost::shared_ptr<IborIndex> index,
Integer fixingDays,
Real spread,
std::vector<Real> notionals,
Handle<YieldTermStructure> yieldTS);
std::vector<boost::shared_ptr<CashFlow> > cashflows() const;
Real notional(Date date = Date::minDate()) const;
Date effectiveDate() const;
Date maturityDate() const;
std::vector<boost::shared_ptr<CashFlow> > interestFlows() const;
std::vector<boost::shared_ptr<CashFlow> > notionalFlows() const;
private:
Schedule schedule_;
boost::shared_ptr<IborIndex> index_;
DayCounter dayCounter_;
Integer fixingDays_;
Real spread_;
BusinessDayConvention paymentConvention_;
std::vector<Real> notionals_;
std::vector<boost::shared_ptr<CashFlow> > leg_;
std::vector<boost::shared_ptr<CashFlow> > interestLeg_;
std::vector<boost::shared_ptr<CashFlow> > redemptionLeg_;
};
}
#endif
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