/usr/include/ql/experimental/credit/midpointcdoengine.hpp is in libquantlib0-dev 1.7.1-1.
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 Lichters
Copyright (C) 2009, 2014 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.
*/
#ifndef quantlib_midpoint_cdo_engine_hpp
#define quantlib_midpoint_cdo_engine_hpp
#include <ql/experimental/credit/syntheticcdo.hpp>
namespace QuantLib {
class YieldTermStructure;
//! CDO base engine taking schedule steps
/* The engine obtains the cdo reference basket from its arguments and it
is expecting it to have a default model assigned.
*/
/* FIX ME: ASSUMES basket->expectedTrancheLoss(endDate) includes past
realized losses (between cdo inception and calculation time) .... what if
basket inception is not the same as CDO's ?????
\todo non tested under realized defaults. JTD metrics might be invalid
*/
class MidPointCDOEngine : public SyntheticCDO::engine {
public:
MidPointCDOEngine(
const Handle<YieldTermStructure>& discountCurve)
: discountCurve_(discountCurve) {}
void calculate() const;
protected:
Handle<YieldTermStructure> discountCurve_;
};
}
#endif
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