/usr/include/ql/termstructures/credit/survivalprobabilitystructure.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) 2009 Ferdinando Ametrano
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 survivalprobabilitystructure.hpp
\brief survival-probability term structure
*/
#ifndef quantlib_survival_probability_structure_hpp
#define quantlib_survival_probability_structure_hpp
#include <ql/termstructures/defaulttermstructure.hpp>
namespace QuantLib {
//! Hazard-rate term structure
/*! This abstract class acts as an adapter to
DefaultProbabilityTermStructure allowing the programmer to implement
only the <tt>survivalProbabilityImpl(Time)</tt> method in derived
classes.
Hazard rates and default densities are calculated
from survival probabilities.
\ingroup defaultprobabilitytermstructures
*/
class SurvivalProbabilityStructure
: public DefaultProbabilityTermStructure {
public:
/*! \name Constructors
See the TermStructure documentation for issues regarding
constructors.
*/
//@{
SurvivalProbabilityStructure(
const DayCounter& dayCounter = DayCounter(),
const std::vector<Handle<Quote> >& jumps = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>());
SurvivalProbabilityStructure(
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>());
SurvivalProbabilityStructure(
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
//@{
//! instantaneous default density at a given time
/*! implemented in terms of the survival probability \f$ S(t) \f$ as
\f$ p(t) = -\frac{d}{dt} S(t). \f$
\warning This implementation uses numerical differentiation,
which might be inefficient and inaccurate.
Derived classes should override it if a more efficient
implementation is available.
*/
Real defaultDensityImpl(Time) const;
//@}
};
}
#endif
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