/usr/include/ql/experimental/credit/riskyassetswap.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, 2009 Roland Lichters
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 riskyassetswap.hpp
\brief Risky asset-swap instrument
*/
#ifndef quantlib_risky_asset_swap_hpp
#define quantlib_risky_asset_swap_hpp
#include <ql/instrument.hpp>
#include <ql/termstructures/defaulttermstructure.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp>
#include <ql/time/schedule.hpp>
namespace QuantLib {
//! Risky asset-swap instrument
class RiskyAssetSwap : public Instrument {
public:
RiskyAssetSwap(bool fixedPayer,
Real nominal,
const Schedule& fixedSchedule,
const Schedule& floatSchedule,
const DayCounter& fixedDayCounter,
const DayCounter& floatDayCounter,
Rate spread,
Rate recoveryRate_,
const Handle<YieldTermStructure>& yieldTS,
const Handle<DefaultProbabilityTermStructure>& defaultTS,
Rate coupon = Null<Rate>());
Real fairSpread ();
Real floatAnnuity() const;
Real nominal() { return nominal_; }
Rate spread() { return spread_; }
bool fixedPayer() { return fixedPayer_; }
private:
void setupExpired() const;
bool isExpired() const;
void performCalculations() const;
Real fixedAnnuity() const;
Real parCoupon() const;
Real recoveryValue() const;
Real riskyBondPrice() const;
// calculated values
mutable Real fixedAnnuity_;
mutable Real floatAnnuity_;
mutable Real parCoupon_;
mutable Real recoveryValue_;
mutable Real riskyBondPrice_;
// input
bool fixedPayer_;
Real nominal_;
Schedule fixedSchedule_, floatSchedule_;
DayCounter fixedDayCounter_, floatDayCounter_;
Rate spread_;
Rate recoveryRate_;
Handle<YieldTermStructure> yieldTS_;
Handle<DefaultProbabilityTermStructure> defaultTS_;
mutable Real coupon_;
};
// risky-asset-swap helper for probability-curve bootstrap
class AssetSwapHelper : public DefaultProbabilityHelper {
public:
AssetSwapHelper(const Handle<Quote>& spread,
const Period& tenor,
Natural settlementDays,
const Calendar& calendar,
const Period& fixedPeriod,
BusinessDayConvention fixedConvention,
const DayCounter& fixedDayCount,
const Period& floatPeriod,
BusinessDayConvention floatConvention,
const DayCounter& floatDayCount,
Real recoveryRate,
const RelinkableHandle<YieldTermStructure>& yieldTS,
const Period& integrationStepSize = Period());
Real impliedQuote() const;
void setTermStructure(DefaultProbabilityTermStructure*);
private:
void update();
void initializeDates();
Period tenor_;
Natural settlementDays_;
Calendar calendar_;
BusinessDayConvention fixedConvention_;
Period fixedPeriod_;
DayCounter fixedDayCount_;
BusinessDayConvention floatConvention_;
Period floatPeriod_;
DayCounter floatDayCount_;
Real recoveryRate_;
RelinkableHandle<YieldTermStructure> yieldTS_;
Period integrationStepSize_;
Date evaluationDate_;
boost::shared_ptr<RiskyAssetSwap> asw_;
RelinkableHandle<DefaultProbabilityTermStructure> probability_;
};
}
#endif
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