/usr/include/ql/experimental/credit/cdsoption.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) 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 cdsoption.hpp
\brief CDS option
*/
#ifndef quantlib_cds_option_hpp
#define quantlib_cds_option_hpp
#include <ql/option.hpp>
#include <ql/instruments/creditdefaultswap.hpp>
namespace QuantLib {
class Quote;
class YieldTermStructure;
//! CDS option
/*! The side of the swaption is set by choosing the side of the CDS.
A receiver CDS option is a right to buy an underlying CDS
selling protection and receiving a coupon. A payer CDS option
is a right to buy an underlying CDS buying protection and
paying coupon.
*/
class CdsOption : public Option {
public:
class arguments;
class results;
class engine;
CdsOption(const boost::shared_ptr<CreditDefaultSwap>& swap,
const boost::shared_ptr<Exercise>& exercise,
bool knocksOut = true);
//! \name Instrument interface
//@{
bool isExpired() const;
void setupArguments(PricingEngine::arguments*) const;
//@}
//! \name Inspectors
//@{
const boost::shared_ptr<CreditDefaultSwap>& underlyingSwap() const {
return swap_;
}
//@}
//! \name Calculations
//@{
Rate atmRate() const;
Real riskyAnnuity() const;
Volatility impliedVolatility(
Real price,
const Handle<YieldTermStructure>& termStructure,
const Handle<DefaultProbabilityTermStructure>&,
Real recoveryRate,
Real accuracy = 1.e-4,
Size maxEvaluations = 100,
Volatility minVol = 1.0e-7,
Volatility maxVol = 4.0) const;
//@}
private:
boost::shared_ptr<CreditDefaultSwap> swap_;
bool knocksOut_;
mutable Real riskyAnnuity_;
void setupExpired() const;
void fetchResults(const PricingEngine::results*) const;
};
//! %Arguments for CDS-option calculation
class CdsOption::arguments : public CreditDefaultSwap::arguments,
public Option::arguments {
public:
arguments() {}
boost::shared_ptr<CreditDefaultSwap> swap;
bool knocksOut;
void validate() const;
};
//! %Results from CDS-option calculation
class CdsOption::results : public Option::results {
public:
Real riskyAnnuity;
void reset();
};
//! base class for swaption engines
class CdsOption::engine
: public GenericEngine<CdsOption::arguments, CdsOption::results> {};
}
#endif
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