/usr/include/ql/experimental/credit/defaultprobabilitykey.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) 2009 StatPro Italia srl
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 defaultprobabilitykey.hpp
\brief Classes for default-event description.
*/
#ifndef quantlib_default_probability_key_hpp
#define quantlib_default_probability_key_hpp
#include <ql/experimental/credit/defaulttype.hpp>
#include <ql/currency.hpp>
#include <vector>
namespace QuantLib {
/*! Used to index market implied credit curve probabilities. It is
a proxy to the defaultable bond or class of bonds which
determines the credit contract conditions. It aggregates the
atomic default types in a group defining the contract
conditions and which serves to index the probability curves
calibrated to the market.
*/
class DefaultProbKey {
protected:
//! aggregation of event types for which the contract is sensitive.
std::vector<boost::shared_ptr<DefaultType> > eventTypes_;
//! Currency of the bond and protection leg payment.
Currency obligationCurrency_;
//! Reference bonds seniority.
Seniority seniority_;
public:
DefaultProbKey();
DefaultProbKey(const std::vector<boost::shared_ptr<DefaultType> >&
eventTypes,
const Currency cur,
Seniority sen);
const Currency& currency() const {return obligationCurrency_;}
Seniority seniority() const {return seniority_;}
const std::vector<boost::shared_ptr<DefaultType> >&
eventTypes() const {
return eventTypes_;
}
Size size() const {return eventTypes_.size();}
};
bool operator==(const DefaultProbKey& lhs, const DefaultProbKey& rhs);
//! ISDA standard default contractual key for corporate US debt.
// Restructuring here can be set to NoRestructuring.
class NorthAmericaCorpDefaultKey : public DefaultProbKey {
public:
// with only one restructuring type
NorthAmericaCorpDefaultKey(const Currency& currency,
Seniority sen,
Period graceFailureToPay =
Period(30, Days),
Real amountFailure = 1.e6,
Restructuring::Type resType =
Restructuring::CR);
};
}
#endif
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