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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Roland Lichters
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/randomdefaultmodel.hpp>
#include <ql/math/solvers1d/brent.hpp>
using namespace std;
namespace QuantLib {
namespace {
// Utility for the numerical solver
class Root {
public:
Root(const Handle<DefaultProbabilityTermStructure> dts, Real pd)
: dts_(dts), pd_(pd) {}
Real operator()(Real t) const {
QL_REQUIRE (t >= 0.0, "t < 0");
return dts_->defaultProbability(t, true) - pd_;
}
private:
const Handle<DefaultProbabilityTermStructure> dts_;
Real pd_;
};
}
GaussianRandomDefaultModel::GaussianRandomDefaultModel(
boost::shared_ptr<Pool> pool,
const std::vector<DefaultProbKey>& defaultKeys,
Handle<OneFactorCopula> copula,
Real accuracy,
long seed)
: RandomDefaultModel(pool, defaultKeys),
copula_(copula),
accuracy_(accuracy),
seed_(seed),
rsg_(PseudoRandom::make_sequence_generator(pool->size()+1, seed)) {}
void GaussianRandomDefaultModel::reset() {
Size dim = pool_->size() + 1;
rsg_ = PseudoRandom::make_sequence_generator(dim, seed_);
}
void GaussianRandomDefaultModel::nextSequence(Real tmax) {
const std::vector<Real>& values = rsg_.nextSequence().value;
Real a = sqrt(copula_->correlation());
for (Size j = 0; j < pool_->size(); j++) {
const string name = pool_->names()[j];
const Handle<DefaultProbabilityTermStructure>&
dts = pool_->get(name).defaultProbability(defaultKeys_[j]);
Real y = a * values[0] + sqrt(1-a*a) * values[j+1];
Real p = CumulativeNormalDistribution()(y);
if (dts->defaultProbability(tmax) < p)
pool_->setTime(name, tmax+1);
else
pool_->setTime(name, Brent().solve(Root(dts,p),accuracy_,0,1));
}
}
}
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