/usr/include/ql/experimental/risk/creditriskplus.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) 2013 Peter Caspers
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 creditriskplus.hpp
\brief Extended CreditRisk+ Model
*/
#ifndef quantlib_creditriskplus_hpp
#define quantlib_creditriskplus_hpp
#include <ql/qldefines.hpp>
#include <ql/types.hpp>
#include <ql/math/matrix.hpp>
#include <vector>
namespace QuantLib {
/*! Extended CreditRisk+ model as described in [1] Integrating Correlations, Risk,
July 1999 and the references therein.
\warning the input correlation matrix is not checked for positive
definiteness
*/
class CreditRiskPlus {
public:
CreditRiskPlus(const std::vector<Real> &exposure,
const std::vector<Real> &defaultProbability,
const std::vector<Size> §or,
const std::vector<Real> &relativeDefaultVariance,
const Matrix &correlation, const Real unit);
const std::vector<Real> &loss() { return loss_; }
const std::vector<Real> &marginalLoss() { return marginalLoss_; }
Real exposure() { return exposureSum_; }
Real expectedLoss() const { return el_; }
Real unexpectedLoss() { return ul_; }
Real relativeDefaultVariance() {
return (unexpectedLoss() * unexpectedLoss() - el2_) /
(expectedLoss() * expectedLoss());
}
const std::vector<Real> §orExposures() const {
return sectorExposure_;
}
const std::vector<Real> §orExpectedLoss() const {
return sectorEl_;
}
const std::vector<Real> §orUnexpectedLoss() const {
return sectorUl_;
}
Real lossQuantile(const Real p);
private:
const std::vector<Real> exposure_;
const std::vector<Real> pd_;
const std::vector<Size> sector_;
const std::vector<Real> relativeDefaultVariance_;
const Matrix correlation_;
const Real unit_;
Size n_, m_; // number of sectors, exposures
std::vector<Real> sectorExposure_, sectorEl_, sectorUl_, marginalLoss_,
loss_;
Real exposureSum_, el_, el2_, ul_;
unsigned long upperIndex_;
void compute();
};
}
#endif
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