/usr/include/ql/pricingengines/credit/isdacdsengine.hpp is in libquantlib0-dev 1.12-1.
This file is owned by root:root, with mode 0o644.
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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 isdacdsengine.hpp
\brief ISDA engine for credit default swaps
*/
#ifndef quantlib_isda_cds_engine_hpp
#define quantlib_isda_cds_engine_hpp
#include <ql/instruments/creditdefaultswap.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/defaulttermstructure.hpp>
namespace QuantLib {
/*! References:
[1] The Pricing and Risk Management of Credit Default Swaps, with a
Focus on the ISDA Model,
OpenGamma Quantitative Research, Version as of 15-Oct-2013
[2] ISDA CDS Standard Model Proposed Numerical Fix \ Thursday,
November 15, 2012, Markit
[3] Markit Interest Rate Curve XML Specifications,
Version 1.16, Tuesday, 15 October 2013
*/
class IsdaCdsEngine : public CreditDefaultSwap::engine {
public:
/*! According to [1] the settings for the flags
AccrualBias / ForwardsInCouponPeriod corresponding
to the standard model implementation C code are
prior 1.8.2 HalfDayBias / Flat
1.8.2 NoBias / Flat
The theoretical correct setting would be NoBias / Piecewise
Todo: Clarify in which version of the standard model
implementation C code the numerical problem of zero denominators
is solved and how exactly.
*/
enum NumericalFix {
None, // as in [1] footnote 26 (i.e. 10^{-50} is added to
// denominators $f_i+h_i$$)
Taylor // as in [2] i.e. for $f_i+h_i < 10^{-4}$ a Taylor expansion
// is used to avoid zero denominators
};
enum AccrualBias {
HalfDayBias, // as in [1] formula (50), second (error) term is
// included
NoBias // as in [1], but second term in formula (50) is not included
};
enum ForwardsInCouponPeriod {
Flat, // as in [1], formula (52), second (error) term is included
Piecewise // as in [1], but second term in formula (52) is not
// included
};
/*! Constructor where the client code is responsible for providing a
default curve and an interest rate curve compliant with the ISDA
specifications.
To be precisely consistent with the ISDA specification
QL_USE_INDEXED_COUPON
must not be defined. This is not checked in order not to
kill the engine completely in this case.
Furthermore, the ibor index in the swap rate helpers should not
provide the evaluation date's fixing.
*/
IsdaCdsEngine(
const Handle<DefaultProbabilityTermStructure> &probability,
Real recoveryRate,
const Handle<YieldTermStructure> &discountCurve,
boost::optional<bool> includeSettlementDateFlows = boost::none,
const NumericalFix numericalFix = Taylor,
const AccrualBias accrualBias = HalfDayBias,
const ForwardsInCouponPeriod forwardsInCouponPeriod = Piecewise);
const Handle<YieldTermStructure> isdaRateCurve() const {
return discountCurve_;
}
const Handle<DefaultProbabilityTermStructure> isdaCreditCurve() const {
return probability_;
}
void calculate() const;
private:
Handle<DefaultProbabilityTermStructure> probability_;
const Real recoveryRate_;
Handle<YieldTermStructure> discountCurve_;
const boost::optional<bool> includeSettlementDateFlows_;
const NumericalFix numericalFix_;
const AccrualBias accrualBias_;
const ForwardsInCouponPeriod forwardsInCouponPeriod_;
};
}
#endif
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