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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008, 2009 Jose Aparicio
Copyright (C) 2008 Chris Kenyon
Copyright (C) 2008 Roland Lichters
Copyright (C) 2008 StatPro Italia srl
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/termstructures/credit/defaultprobabilityhelpers.hpp>
#include <ql/instruments/creditdefaultswap.hpp>
#include <ql/pricingengines/credit/midpointcdsengine.hpp>
namespace QuantLib {
namespace {
void no_deletion(DefaultProbabilityTermStructure*) {}
}
CdsHelper::CdsHelper(const Handle<Quote>& quote,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
bool settlesAccrual,
bool paysAtDefaultTime)
: RelativeDateDefaultProbabilityHelper(quote),
tenor_(tenor), settlementDays_(settlementDays), calendar_(calendar),
frequency_(frequency), paymentConvention_(paymentConvention),
rule_(rule), dayCounter_(dayCounter), recoveryRate_(recoveryRate),
discountCurve_(discountCurve),
settlesAccrual_(settlesAccrual), paysAtDefaultTime_(paysAtDefaultTime) {
initializeDates();
registerWith(discountCurve);
}
CdsHelper::CdsHelper(Rate quote,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
bool settlesAccrual,
bool paysAtDefaultTime)
: RelativeDateDefaultProbabilityHelper(quote),
tenor_(tenor), settlementDays_(settlementDays), calendar_(calendar),
frequency_(frequency), paymentConvention_(paymentConvention),
rule_(rule), dayCounter_(dayCounter), recoveryRate_(recoveryRate),
discountCurve_(discountCurve),
settlesAccrual_(settlesAccrual), paysAtDefaultTime_(paysAtDefaultTime) {
initializeDates();
registerWith(discountCurve);
}
void CdsHelper::setTermStructure(DefaultProbabilityTermStructure* ts) {
RelativeDateDefaultProbabilityHelper::setTermStructure(ts);
probability_.linkTo(
boost::shared_ptr<DefaultProbabilityTermStructure>(ts, no_deletion),
false);
resetEngine();
}
void CdsHelper::update() {
RelativeDateDefaultProbabilityHelper::update();
resetEngine();
}
void CdsHelper::initializeDates() {
protectionStart_ = evaluationDate_ + settlementDays_;
Date startDate = calendar_.adjust(protectionStart_,
paymentConvention_);
Date endDate = evaluationDate_ + tenor_;
schedule_ =
MakeSchedule().from(startDate)
.to(endDate)
.withFrequency(frequency_)
.withCalendar(calendar_)
.withConvention(paymentConvention_)
.withTerminationDateConvention(Unadjusted)
.withRule(rule_);
earliestDate_ = schedule_.dates().front();
latestDate_ = calendar_.adjust(schedule_.dates().back(),
paymentConvention_);
}
SpreadCdsHelper::SpreadCdsHelper(
const Handle<Quote>& runningSpread,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
bool settlesAccrual,
bool paysAtDefaultTime)
: CdsHelper(runningSpread, tenor, settlementDays, calendar,
frequency, paymentConvention, rule, dayCounter,
recoveryRate, discountCurve, settlesAccrual,
paysAtDefaultTime) {}
SpreadCdsHelper::SpreadCdsHelper(
Rate runningSpread,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
bool settlesAccrual,
bool paysAtDefaultTime)
: CdsHelper(runningSpread, tenor, settlementDays, calendar,
frequency, paymentConvention, rule, dayCounter,
recoveryRate, discountCurve, settlesAccrual,
paysAtDefaultTime) {}
Real SpreadCdsHelper::impliedQuote() const {
swap_->recalculate();
return swap_->fairSpread();
}
void SpreadCdsHelper::resetEngine() {
swap_ = boost::shared_ptr<CreditDefaultSwap>(
new CreditDefaultSwap(Protection::Buyer, 100.0, 0.01,
schedule_, paymentConvention_,
dayCounter_, settlesAccrual_,
paysAtDefaultTime_,
protectionStart_));
swap_->setPricingEngine(boost::shared_ptr<PricingEngine>(
new MidPointCdsEngine(probability_,
recoveryRate_,
discountCurve_)));
}
UpfrontCdsHelper::UpfrontCdsHelper(
const Handle<Quote>& upfront,
Rate runningSpread,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
Natural upfrontSettlementDays,
bool settlesAccrual,
bool paysAtDefaultTime)
: CdsHelper(upfront, tenor, settlementDays, calendar,
frequency, paymentConvention, rule, dayCounter,
recoveryRate, discountCurve, settlesAccrual,
paysAtDefaultTime),
upfrontSettlementDays_(upfrontSettlementDays),
runningSpread_(runningSpread) {
initializeDates();
}
UpfrontCdsHelper::UpfrontCdsHelper(
Rate upfrontSpread,
Rate runningSpread,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
Natural upfrontSettlementDays,
bool settlesAccrual,
bool paysAtDefaultTime)
: CdsHelper(upfrontSpread, tenor, settlementDays, calendar,
frequency, paymentConvention, rule, dayCounter,
recoveryRate, discountCurve, settlesAccrual,
paysAtDefaultTime),
upfrontSettlementDays_(upfrontSettlementDays),
runningSpread_(runningSpread) {
initializeDates();
}
void UpfrontCdsHelper::initializeDates() {
CdsHelper::initializeDates();
upfrontDate_ = calendar_.advance(evaluationDate_,
upfrontSettlementDays_, Days,
paymentConvention_);
}
Real UpfrontCdsHelper::impliedQuote() const {
SavedSettings backup;
Settings::instance().includeTodaysCashFlows() = true;
swap_->recalculate();
return swap_->fairUpfront();
}
void UpfrontCdsHelper::resetEngine() {
swap_ = boost::shared_ptr<CreditDefaultSwap>(
new CreditDefaultSwap(Protection::Buyer, 100.0,
0.01, runningSpread_,
schedule_, paymentConvention_,
dayCounter_,
settlesAccrual_,
paysAtDefaultTime_,
protectionStart_,
upfrontDate_));
swap_->setPricingEngine(boost::shared_ptr<PricingEngine>(
new MidPointCdsEngine(probability_,
recoveryRate_,
discountCurve_,
true)));
}
}
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