/usr/include/ql/termstructures/credit/defaultprobabilityhelpers.hpp is in libquantlib0-dev 1.12-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2008, 2009 Jose Aparicio
Copyright (C) 2008 Chris Kenyon
Copyright (C) 2008 Roland Lichters
Copyright (C) 2008 StatPro Italia srl
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 defaultprobabilityhelpers.hpp
\brief bootstrap helpers for default-probability term structures
*/
#ifndef quantlib_default_probability_helpers_hpp
#define quantlib_default_probability_helpers_hpp
#include <ql/termstructures/defaulttermstructure.hpp>
#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/time/schedule.hpp>
#include <ql/instruments/creditdefaultswap.hpp>
namespace QuantLib {
class YieldTermStructure;
class CreditDefaultSwap;
//! alias for default-probability bootstrap helpers
typedef BootstrapHelper<DefaultProbabilityTermStructure>
DefaultProbabilityHelper;
typedef RelativeDateBootstrapHelper<DefaultProbabilityTermStructure>
RelativeDateDefaultProbabilityHelper;
/*! Base default-probability bootstrap helper
@param tenor CDS tenor.
@param frequency Coupon frequency.
@param settlementDays The number of days from today's date
to the start of the protection period.
Does not refer to initial cash settlements
(upfront and/or rebates) which are typically
on T+3
@param paymentConvention The payment convention applied to
coupons schedules, settlement dates
and protection period calculations.
*/
class CdsHelper : public RelativeDateDefaultProbabilityHelper {
public:
CdsHelper(const Handle<Quote>& quote,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
const Date& startDate = Date(),
const DayCounter& lastPeriodDayCounter = DayCounter(),
bool rebatesAccrual = true,
const CreditDefaultSwap::PricingModel model =
CreditDefaultSwap::Midpoint);
CdsHelper(Rate quote,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
const Date& startDate = Date(),
const DayCounter& lastPeriodDayCounter = DayCounter(),
bool rebatesAccrual = true,
const CreditDefaultSwap::PricingModel model =
CreditDefaultSwap::Midpoint);
void setTermStructure(DefaultProbabilityTermStructure*);
boost::shared_ptr<CreditDefaultSwap> swap() const {
return swap_;
}
void update();
protected:
void initializeDates();
virtual void resetEngine() = 0;
Period tenor_;
Integer settlementDays_;
Calendar calendar_;
Frequency frequency_;
BusinessDayConvention paymentConvention_;
DateGeneration::Rule rule_;
DayCounter dayCounter_;
Real recoveryRate_;
Handle<YieldTermStructure> discountCurve_;
bool settlesAccrual_;
bool paysAtDefaultTime_;
DayCounter lastPeriodDC_;
bool rebatesAccrual_;
CreditDefaultSwap::PricingModel model_;
Schedule schedule_;
boost::shared_ptr<CreditDefaultSwap> swap_;
RelinkableHandle<DefaultProbabilityTermStructure> probability_;
//! protection effective date.
Date protectionStart_;
Date startDate_;
};
//! Spread-quoted CDS hazard rate bootstrap helper.
class SpreadCdsHelper : public CdsHelper {
public:
SpreadCdsHelper(const Handle<Quote>& runningSpread,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
const Date& startDate = Date(),
const DayCounter& lastPeriodDayCounter = DayCounter(),
bool rebatesAccrual = true,
const CreditDefaultSwap::PricingModel model =
CreditDefaultSwap::Midpoint);
SpreadCdsHelper(Rate runningSpread,
const Period& tenor,
Integer settlementDays, // ISDA: 1
const Calendar& calendar,
Frequency frequency, // ISDA: Quarterly
BusinessDayConvention paymentConvention,//ISDA:Following
DateGeneration::Rule rule, // ISDA: CDS
const DayCounter& dayCounter, // ISDA: Actual/360
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
const Date& startDate = Date(),
const DayCounter& lastPeriodDayCounter = DayCounter(), // ISDA: Actual/360(inc)
const bool rebatesAccrual = true, // ISDA: true
const CreditDefaultSwap::PricingModel model =
CreditDefaultSwap::Midpoint);
Real impliedQuote() const;
private:
void resetEngine();
};
//! Upfront-quoted CDS hazard rate bootstrap helper.
class UpfrontCdsHelper : public CdsHelper {
public:
/*! \note the upfront must be quoted in fractional units. */
UpfrontCdsHelper(const Handle<Quote>& upfront,
Rate runningSpread,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
Natural upfrontSettlementDays = 0,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
const Date& startDate = Date(),
const DayCounter& lastPeriodDayCounter = DayCounter(),
const bool rebatesAccrual = true,
const CreditDefaultSwap::PricingModel model =
CreditDefaultSwap::Midpoint);
/*! \note the upfront must be quoted in fractional units. */
UpfrontCdsHelper(Rate upfront,
Rate runningSpread,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
Natural upfrontSettlementDays = 0,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
const Date& startDate = Date(),
const DayCounter& lastPeriodDayCounter = DayCounter(),
const bool rebatesAccrual = true,
const CreditDefaultSwap::PricingModel model =
CreditDefaultSwap::Midpoint);
Real impliedQuote() const;
private:
void initializeDates();
void resetEngine();
Natural upfrontSettlementDays_;
Date upfrontDate_;
Rate runningSpread_;
};
}
#endif
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