/usr/include/ql/experimental/credit/spreadedhazardratecurve.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 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 spreadedhazardratecurve.hpp
\brief Default-probability structure with an additive spread on hazard rates
*/
#ifndef quantlib_spreaded_hazard_rate_curve_hpp
#define quantlib_spreaded_hazard_rate_curve_hpp
#include <ql/termstructures/credit/hazardratestructure.hpp>
#include <ql/quote.hpp>
namespace QuantLib {
//! Default-probability structure with an additive spread on hazard rates
/*! \note This term structure will remain linked to the original
structure, i.e., any changes in the latter will be
reflected in this structure as well.
\ingroup termstructures
*/
class SpreadedHazardRateCurve : public HazardRateStructure {
public:
SpreadedHazardRateCurve(
const Handle<DefaultProbabilityTermStructure>& originalCurve,
const Handle<Quote>& spread);
//! \name DefaultProbabilityTermStructure interface
//@{
DayCounter dayCounter() const;
Calendar calendar() const;
const Date& referenceDate() const;
Date maxDate() const;
Time maxTime() const;
//@}
protected:
//! \name DefaultProbabilityTermStructure interface
//@{
Real hazardRateImpl(Time t) const;
//@}
private:
Handle<DefaultProbabilityTermStructure> originalCurve_;
Handle<Quote> spread_;
};
// inline definitions
inline SpreadedHazardRateCurve::SpreadedHazardRateCurve(
const Handle<DefaultProbabilityTermStructure>& h,
const Handle<Quote>& spread)
: originalCurve_(h), spread_(spread) {
registerWith(originalCurve_);
registerWith(spread_);
}
inline DayCounter SpreadedHazardRateCurve::dayCounter() const {
return originalCurve_->dayCounter();
}
inline Calendar SpreadedHazardRateCurve::calendar() const {
return originalCurve_->calendar();
}
inline const Date& SpreadedHazardRateCurve::referenceDate() const {
return originalCurve_->referenceDate();
}
inline Date SpreadedHazardRateCurve::maxDate() const {
return originalCurve_->maxDate();
}
inline Time SpreadedHazardRateCurve::maxTime() const {
return originalCurve_->maxTime();
}
inline Real SpreadedHazardRateCurve::hazardRateImpl(Time t) const {
return originalCurve_->hazardRate(t, true) + spread_->value();
}
}
#endif
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