/usr/include/ql/experimental/catbonds/catrisk.hpp is in libquantlib0-dev 1.4-2.
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) 2012, 2013 Grzegorz Andruszkiewicz
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 catrisk.hpp
\brief classes that encapsulate catastrophe risk
*/
#ifndef quantlib_catrisk_hpp
#define quantlib_catrisk_hpp
#include <ql/time/date.hpp>
#include <ql/errors.hpp>
#include <boost/shared_ptr.hpp>
#include <boost/random.hpp>
#include <vector>
namespace QuantLib {
class CatSimulation {
public:
CatSimulation(Date start,
Date end)
: start_(start), end_(end)
{}
virtual ~CatSimulation(){}
virtual bool nextPath(std::vector<std::pair<Date, Real> > &path) = 0;
protected:
Date start_;
Date end_;
};
class CatRisk {
public:
virtual ~CatRisk() {}
virtual boost::shared_ptr<CatSimulation> newSimulation(const Date& start, const Date& end) const = 0;
};
class EventSetSimulation : public CatSimulation {
public:
EventSetSimulation(boost::shared_ptr<std::vector<std::pair<Date, Real> > > events, Date eventsStart, Date eventsEnd, Date start, Date end);
virtual bool nextPath(std::vector<std::pair<Date, Real> > &path);
private:
boost::shared_ptr<std::vector<std::pair<Date, Real> > > events_;
Date eventsStart_;
Date eventsEnd_;
Year years_;
Date periodStart_;
Date periodEnd_;
Year offsetYears_;
unsigned int i_;
};
class EventSet : public CatRisk {
public:
EventSet(boost::shared_ptr<std::vector<std::pair<Date, Real> > > events,
Date eventsStart,
Date eventsEnd);
boost::shared_ptr<CatSimulation> newSimulation(const Date& start, const Date& end) const;
private:
boost::shared_ptr<std::vector<std::pair<Date, Real> > > events_;
Date eventsStart_;
Date eventsEnd_;
};
class BetaRiskSimulation : public CatSimulation {
public:
BetaRiskSimulation(Date start,
Date end,
Real maxLoss,
Real lambda,
Real alpha,
Real beta) ;
virtual bool nextPath(std::vector<std::pair<Date, Real> > &path);
Real generateBeta();
private:
Real lambda_;
Real maxLoss_;
Integer dayCount_;
Real yearFraction_;
boost::mt19937 rng_;
boost::variate_generator<boost::mt19937&, boost::exponential_distribution<> > exponential_;
boost::variate_generator<boost::mt19937&, boost::gamma_distribution<> > gammaAlpha_;
boost::variate_generator<boost::mt19937&, boost::gamma_distribution<> > gammaBeta_;
};
class BetaRisk : public CatRisk {
public:
BetaRisk(Real maxLoss,
Real years,
Real mean,
Real stdDev);
virtual boost::shared_ptr<CatSimulation> newSimulation(const Date& start, const Date& end) const;
private:
Real maxLoss_;
Real lambda_;
Real alpha_;
Real beta_;
};
}
#endif
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