/usr/include/ql/experimental/credit/blackcdsoptionengine.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Roland Stamm
Copyright (C) 2009 Jose Aparicio
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 blackcdsoptionengine.hpp
\brief Black credit default swap option engine
*/
#ifndef quantlib_black_cds_option_engine_hpp
#define quantlib_black_cds_option_engine_hpp
#include <ql/experimental/credit/cdsoption.hpp>
namespace QuantLib {
//! Black-formula CDS-option engine
/*! \warning The engine assumes that the exercise date equals the
start date of the passed CDS.
*/
class BlackCdsOptionEngine : public CdsOption::engine {
public:
BlackCdsOptionEngine(const Handle<DefaultProbabilityTermStructure>&,
Real recoveryRate,
const Handle<YieldTermStructure>& termStructure,
const Handle<Quote>& vol);
void calculate() const;
Handle<YieldTermStructure> termStructure();
Handle<Quote> volatility();
private:
Handle<DefaultProbabilityTermStructure> probability_;
Real recoveryRate_;
Handle<YieldTermStructure> termStructure_;
Handle<Quote> volatility_;
};
}
#endif
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