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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Roland Lichters
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/syntheticcdo.hpp>
#include <ql/event.hpp>
using namespace std;
namespace QuantLib {
SyntheticCDO::SyntheticCDO (const boost::shared_ptr<Basket> basket,
Protection::Side side,
const Schedule& schedule,
Rate upfrontRate,
Rate runningRate,
const DayCounter& dayCounter,
BusinessDayConvention paymentConvention,
const Handle<YieldTermStructure>& yieldTS)
: basket_(basket),
side_(side),
schedule_(schedule),
upfrontRate_(upfrontRate),
runningRate_(runningRate),
dayCounter_(dayCounter),
paymentConvention_(paymentConvention),
yieldTS_(yieldTS) {
QL_REQUIRE (basket->names().size() > 0, "basket is empty");
registerWith (yieldTS_);
const boost::shared_ptr<Pool> pool = basket->pool();
Date today = Settings::instance().evaluationDate();
// register with probabilities if the corresponding issuer is
// alive under this name contractual conditions
for (Size i = 0; i < basket->names().size(); i++) {
if(!pool->get(basket->names()[i]).
defaultedBetween(schedule.dates()[0],
today,
basket->defaultKeys()[i]))
registerWith(pool->get(basket->names()[i]).
defaultProbability(basket->defaultKeys()[i]));
// To do: the basket could do this last line on its own without so much
// travelling, update its interface? some RR models depend on the
// probabilities and they will be registered with them. Strictly
// speaking the basket does not need directly to be registered
// with the probs.
/*
we used to be registering with Issuers which are not observables. However
this might be what we want: Issuer registration might give us registration
with probabilities and with creditEvents at the same time.
*/
}
// register with recoveries:
registerWith(basket_);
}
Rate SyntheticCDO::premiumValue () const {
calculate();
return premiumValue_;
}
Rate SyntheticCDO::protectionValue () const {
calculate();
return protectionValue_;
}
Real SyntheticCDO::premiumLegNPV() const {
calculate();
if(side_ == Protection::Buyer) return premiumValue_;
return -premiumValue_;
}
Real SyntheticCDO::protectionLegNPV() const {
calculate();
if(side_ == Protection::Buyer) return -protectionValue_;
return premiumValue_;
}
Rate SyntheticCDO::fairPremium () const {
calculate();
return runningRate_
* (protectionValue_ - upfrontPremiumValue_) / premiumValue_;
}
Rate SyntheticCDO::fairUpfrontPremium () const {
calculate();
return (protectionValue_ - premiumValue_) / remainingNotional_;
}
vector<Real> SyntheticCDO::expectedTrancheLoss() const {
calculate();
return expectedTrancheLoss_;
}
Size SyntheticCDO::error () const {
calculate();
return error_;
}
bool SyntheticCDO::isExpired () const {
return detail::simple_event(schedule_.dates().back())
.hasOccurred(yieldTS_->referenceDate());
}
Real SyntheticCDO::remainingNotional() const {
calculate();
return remainingNotional_;
}
void SyntheticCDO::setupArguments(PricingEngine::arguments* args) const {
SyntheticCDO::arguments* arguments
= dynamic_cast<SyntheticCDO::arguments*>(args);
QL_REQUIRE(arguments != 0, "wrong argument type");
arguments->basket = basket_;
arguments->side = side_;
arguments->schedule = schedule_;
arguments->upfrontRate = upfrontRate_;
arguments->runningRate = runningRate_;
arguments->dayCounter = dayCounter_;
arguments->paymentConvention = paymentConvention_;
arguments->yieldTS = yieldTS_;
}
void SyntheticCDO::fetchResults(const PricingEngine::results* r) const {
Instrument::fetchResults(r);
const SyntheticCDO::results* results
= dynamic_cast<const SyntheticCDO::results*>(r);
QL_REQUIRE(results != 0, "wrong result type");
premiumValue_ = results->premiumValue;
protectionValue_ = results->protectionValue;
upfrontPremiumValue_ = results->upfrontPremiumValue;
remainingNotional_ = results->remainingNotional;
error_ = results->error;
expectedTrancheLoss_ = results->expectedTrancheLoss;
}
void SyntheticCDO::setupExpired() const {
Instrument::setupExpired();
premiumValue_ = 0.0;
protectionValue_ = 0.0;
upfrontPremiumValue_ = 0.0;
remainingNotional_ = 1.0;
expectedTrancheLoss_.clear();
}
void SyntheticCDO::arguments::validate() const {
QL_REQUIRE(side != Protection::Side(-1), "side not set");
QL_REQUIRE(basket && !basket->names().empty(), "no basket given");
QL_REQUIRE(runningRate != Null<Real>(), "no premium rate given");
QL_REQUIRE(upfrontRate != Null<Real>(), "no upfront rate given");
QL_REQUIRE(!dayCounter.empty(), "no day counter given");
QL_REQUIRE(!yieldTS.empty(), "no discount curve given");
}
void SyntheticCDO::results::reset() {
Instrument::results::reset();
premiumValue = Null<Real>();
protectionValue = Null<Real>();
upfrontPremiumValue = Null<Real>();
remainingNotional = Null<Real>();
error = 0;
expectedTrancheLoss.clear();
}
}
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