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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 StatPro Italia srl
Copyright (C) 2009 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.
*/
#include <ql/experimental/credit/defaultevent.hpp>
#include <ql/experimental/credit/recoveryratequote.hpp>
#include <ql/settings.hpp>
namespace QuantLib {
Date DefaultEvent::date() const {
return defaultDate_;
}
void DefaultEvent::accept(AcyclicVisitor& v) {
Visitor<DefaultEvent>* v1 =
dynamic_cast<Visitor<DefaultEvent>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
Event::accept(v);
}
// They will be sorted by settlement date
Date DefaultEvent::DefaultSettlement::date() const {
return settlementDate_;
}
void DefaultEvent::DefaultSettlement::accept(AcyclicVisitor& v) {
Visitor<DefaultEvent::DefaultSettlement>* v1 =
dynamic_cast<Visitor<DefaultEvent::DefaultSettlement>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
Event::accept(v);
}
DefaultEvent::DefaultSettlement::DefaultSettlement(
const Date& date,
const std::map<Seniority, Real>& recoveryRates )
: settlementDate_(date), recoveryRates_(recoveryRates) {
QL_REQUIRE(recoveryRates.find(NoSeniority) ==
recoveryRates.end(),
"NoSeniority is not a valid realized seniority.");
}
DefaultEvent::DefaultSettlement::DefaultSettlement(
const Date& date,
Seniority seniority,
const Real recoveryRate)
: settlementDate_(date), recoveryRates_(makeIsdaConvMap()) {
if (seniority == NoSeniority) {
for (std::map<Seniority, Real>::iterator i=recoveryRates_.begin();
i != recoveryRates_.end(); ++i) {
i->second = recoveryRate;
}
} else {
recoveryRates_[seniority] = recoveryRate;
}
}
Real DefaultEvent::DefaultSettlement::recoveryRate(
Seniority sen) const {
// expensive require cause called often...... fix me
QL_REQUIRE(sen != NoSeniority,
"NoSeniority is not valid for recovery rate request.");
std::map<Seniority, Real>::const_iterator itmatch =
recoveryRates_.find(sen);
if(itmatch != recoveryRates_.end()) {
return itmatch->second;
}else{
return Null<Real>();
}
}
DefaultEvent::DefaultEvent(const Date& creditEventDate,
const DefaultType& atomicEvType,
const Currency& curr,
Seniority bondsSen,
// Settlement information:
const Date& settleDate,
const std::map<Seniority, Real>& recoveryRates)
: bondsCurrency_(curr),
defaultDate_(creditEventDate),
eventType_(atomicEvType),
bondsSeniority_(bondsSen),
defSettlement_(settleDate,
recoveryRates.empty() ? makeIsdaConvMap()
: recoveryRates) {
if(settleDate != Null<Date>()) {// has settled
QL_REQUIRE(settleDate >= creditEventDate,
"Settlement date should be after default date.");
QL_REQUIRE(recoveryRates.find(bondsSen) != recoveryRates.end(),
"Settled events must contain the seniority of the default");
}
}
DefaultEvent::DefaultEvent(const Date& creditEventDate,
const DefaultType& atomicEvType,
const Currency& curr,
Seniority bondsSen,
// Settlement information:
const Date& settleDate,
Real recoveryRate)
: bondsCurrency_(curr),
defaultDate_(creditEventDate),
eventType_(atomicEvType),
bondsSeniority_(bondsSen),
defSettlement_(settleDate, bondsSen, recoveryRate) {
if(settleDate != Null<Date>()) {
QL_REQUIRE(settleDate >= creditEventDate,
"Settlement date should be after default date.");
}
}
bool DefaultEvent::matchesDefaultKey(
const DefaultProbKey& contractKey) const {
if(bondsCurrency_ != contractKey.currency()) return false;
// a contract with NoSeniority matches all events
if((bondsSeniority_ != contractKey.seniority())
&& (contractKey.seniority() != NoSeniority))
return false;
// loop on all event types in the contract and chek if we match any,
// calls derived types
for(Size i=0; i<contractKey.size(); i++) {
if(this->matchesEventType(contractKey.eventTypes()[i])) return true;
}
return false;
}
bool operator==(const DefaultEvent& lhs, const DefaultEvent& rhs) {
return (lhs.currency() == rhs.currency()) &&
(lhs.defaultType() == rhs.defaultType()) &&
(lhs.date() == rhs.date()) &&
(lhs.eventSeniority() == rhs.eventSeniority());
}
bool FailureToPayEvent::matchesEventType(
const boost::shared_ptr<DefaultType>& contractEvType) const {
boost::shared_ptr<FailureToPay> eveType =
boost::dynamic_pointer_cast<FailureToPay>(contractEvType);
// this chekcs the atomic types, no need to call parents method
if(!eveType) return false;
if(defaultedAmount_ < eveType->amountRequired()) return false;
Date today = Settings::instance().evaluationDate();
if(!this->hasOccurred(today - eveType->gracePeriod(), true))
return false;
return true;
}
FailureToPayEvent::FailureToPayEvent(const Date& creditEventDate,
const Currency& curr,
Seniority bondsSen,
Real defaultedAmount,
// Settlement information:
const Date& settleDate,
const std::map<Seniority, Real>&
recoveryRates)
: DefaultEvent(creditEventDate,
DefaultType(AtomicDefault::FailureToPay,
Restructuring::XR),
curr,
bondsSen,
settleDate,
recoveryRates),
defaultedAmount_(defaultedAmount) { }
FailureToPayEvent::FailureToPayEvent(const Date& creditEventDate,
const Currency& curr,
Seniority bondsSen,
Real defaultedAmount,
// Settlement information:
const Date& settleDate,
Real recoveryRates)
: DefaultEvent(creditEventDate,
DefaultType(AtomicDefault::FailureToPay,
Restructuring::XR),
curr,
bondsSen,
settleDate,
recoveryRates),
defaultedAmount_(defaultedAmount) { }
BankruptcyEvent::BankruptcyEvent(const Date& creditEventDate,
const Currency& curr,
Seniority bondsSen,
// Settlement information:
const Date& settleDate,
const std::map<Seniority, Real>&
recoveryRates)
: DefaultEvent(creditEventDate,
DefaultType(AtomicDefault::Bankruptcy,
Restructuring::XR),
curr,
bondsSen,
settleDate,
recoveryRates) {
if(hasSettled()) {
QL_REQUIRE(recoveryRates.size() == makeIsdaConvMap().size(),
"Bankruptcy event should have settled for all seniorities.");
}
}
BankruptcyEvent::BankruptcyEvent(const Date& creditEventDate,
const Currency& curr,
Seniority bondsSen,
// Settlement information:
const Date& settleDate,
// means same for all
Real recoveryRates)
: DefaultEvent(creditEventDate,
DefaultType(AtomicDefault::Bankruptcy,
Restructuring::XR),
curr,
bondsSen,
settleDate,
recoveryRates) { }
}
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