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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2012, 2013 Grzegorz Andruszkiewicz
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/catbonds/riskynotional.hpp>
namespace QuantLib
{
NotionalPath::NotionalPath()
{
Rate previous = 1.0;//full notional at the beginning
notionalRate_.push_back(std::pair<Date, Real>(Date(), previous));
}
Rate NotionalPath::notionalRate(const Date& date) const
{
Size i = 0;
for (; i<notionalRate_.size() && notionalRate_[i].first<=date; ++i) //TODO do we take notional after reductions or before?
{}
return notionalRate_[i-1].second;
}
void NotionalPath::reset() {
notionalRate_.resize(1);
}
void NotionalPath::addReduction(const Date &date, Rate newRate) {
notionalRate_.push_back(std::pair<Date, Real>(date, newRate));
}
Real NotionalPath::loss() {
return 1.0-notionalRate_.rbegin()->second;
}
void DigitalNotionalRisk::updatePath(const std::vector<std::pair<Date, Real> > &events,
NotionalPath &path) const {
path.reset();
for(size_t i=0; i<events.size(); ++i) {
if(events[i].second>=threshold_) {
path.addReduction(paymentOffset_->paymentDate(events[i].first), Rate(0.0));
}
}
}
}
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