/usr/include/ql/termstructures/credit/defaultdensitystructure.hpp is in libquantlib0-dev 1.7.1-1.
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 Chris Kenyon
Copyright (C) 2008 Roland Lichters
Copyright (C) 2008 StatPro Italia srl
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 defaultdensitystructure.hpp
\brief default-density term structure
*/
#ifndef quantlib_default_density_structure_hpp
#define quantlib_default_density_structure_hpp
#include <ql/termstructures/defaulttermstructure.hpp>
namespace QuantLib {
//! Default-density term structure
/*! This abstract class acts as an adapter to
DefaultProbabilityTermStructure allowing the programmer to implement
only the <tt>defaultDensityImpl(Time)</tt> method in derived classes.
Survival/default probabilities and hazard rates are calculated
from default densities.
\ingroup defaultprobabilitytermstructures
*/
class DefaultDensityStructure : public DefaultProbabilityTermStructure {
public:
/*! \name Constructors
See the TermStructure documentation for issues regarding
constructors.
*/
//@{
DefaultDensityStructure(
const DayCounter& dayCounter = DayCounter(),
const std::vector<Handle<Quote> >& jumps = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>());
DefaultDensityStructure(
const Date& referenceDate,
const Calendar& cal = Calendar(),
const DayCounter& dayCounter = DayCounter(),
const std::vector<Handle<Quote> >& jumps = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>());
DefaultDensityStructure(
Natural settlementDays,
const Calendar& cal,
const DayCounter& dayCounter = DayCounter(),
const std::vector<Handle<Quote> >& jumps = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>());
//@}
protected:
//! \name DefaultProbabilityTermStructure implementation
//@{
//! survival probability calculation
/*! implemented in terms of the default density \f$ p(t) \f$ as
\f[
S(t) = 1 - \int_0^t p(\tau) d\tau.
\f]
\warning This default implementation uses numerical integration,
which might be inefficient and inaccurate.
Derived classes should override it if a more efficient
implementation is available.
*/
Probability survivalProbabilityImpl(Time) const;
//@}
};
}
#endif
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