/usr/include/ql/instruments/makecds.hpp is in libquantlib0-dev 1.12-1.
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) 2014 Jose Aparicio
Copyright (C) 2014 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 makecds.hpp
\brief Helper class to instantiate standard market cds.
*/
#ifndef quantlib_makecds_hpp
#define quantlib_makecds_hpp
#include <ql/instruments/creditdefaultswap.hpp>
#include <boost/optional.hpp>
namespace QuantLib {
//! helper class
/*! This class provides a more comfortable way
to instantiate standard cds.
*/
class MakeCreditDefaultSwap {
public:
MakeCreditDefaultSwap(const Period &tenor, const Real couponRate);
MakeCreditDefaultSwap(const Date &termDate, const Real couponRate);
operator CreditDefaultSwap() const;
operator boost::shared_ptr<CreditDefaultSwap>() const;
MakeCreditDefaultSwap &withUpfrontRate(Real);
MakeCreditDefaultSwap &withSide(Protection::Side);
MakeCreditDefaultSwap &withNominal(Real);
MakeCreditDefaultSwap &withCouponTenor(Period);
MakeCreditDefaultSwap &withDayCounter(DayCounter &);
MakeCreditDefaultSwap &withLastPeriodDayCounter(DayCounter &);
MakeCreditDefaultSwap &
withPricingEngine(const boost::shared_ptr<PricingEngine> &);
private:
Protection::Side side_;
Real nominal_;
boost::optional<Period> tenor_;
boost::optional<Date> termDate_;
Period couponTenor_;
Real couponRate_;
Real upfrontRate_;
DayCounter dayCounter_;
DayCounter lastPeriodDayCounter_;
boost::shared_ptr<PricingEngine> engine_;
};
}
#endif
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