__FILE__ and __LINE__ are in which C++ header that I need to include in order to use them?

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evilrixSenior Software Engineer (Avast)Commented:
They are not defined in any header, you just use them.
to add to above comment:

the macros __FILE__ and __LINE__ were provided by the precompiler and expand to the current source file name and line number.

for vc compiler you may see more at https://msdn.microsoft.com/en-us/library/b0084kay.aspx

__FILE__ and __LINE__ could be used for some error message to report some dissent detected by the program. For example,

 std::cerr << "Internal error: negative string length " << len << " at " << __FILE__ << ", line " << __LINE__ "\n";

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evilrixSenior Software Engineer (Avast)Commented:
LuckyLucks, you realise that my comment, the first one posted, actually answered your question, right? At best, Sara has just provided additional information to support my answer.
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