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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Roland Lichters
Copyright (C) 2008 Chris Kenyon
Copyright (C) 2008 StatPro Italia srl
Copyright (C) 2009 Ferdinando Ametrano
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/defaulttermstructure.hpp>
#include <ql/utilities/dataformatters.hpp>
namespace QuantLib {
DefaultProbabilityTermStructure::DefaultProbabilityTermStructure(
const DayCounter& dc,
const std::vector<Handle<Quote> >& jumps,
const std::vector<Date>& jumpDates)
: TermStructure(dc), jumps_(jumps),
jumpDates_(jumpDates), jumpTimes_(jumpDates.size()),
nJumps_(jumps_.size()) {
setJumps();
for (Size i=0; i<nJumps_; ++i)
registerWith(jumps_[i]);
}
DefaultProbabilityTermStructure::DefaultProbabilityTermStructure(
const Date& referenceDate,
const Calendar& cal,
const DayCounter& dc,
const std::vector<Handle<Quote> >& jumps,
const std::vector<Date>& jumpDates)
: TermStructure(referenceDate, cal, dc), jumps_(jumps),
jumpDates_(jumpDates), jumpTimes_(jumpDates.size()),
nJumps_(jumps_.size()) {
setJumps();
for (Size i=0; i<nJumps_; ++i)
registerWith(jumps_[i]);
}
DefaultProbabilityTermStructure::DefaultProbabilityTermStructure(
Natural settlementDays,
const Calendar& cal,
const DayCounter& dc,
const std::vector<Handle<Quote> >& jumps,
const std::vector<Date>& jumpDates)
: TermStructure(settlementDays, cal, dc), jumps_(jumps),
jumpDates_(jumpDates), jumpTimes_(jumpDates.size()),
nJumps_(jumps_.size()) {
setJumps();
for (Size i=0; i<nJumps_; ++i)
registerWith(jumps_[i]);
}
void DefaultProbabilityTermStructure::setJumps() {
if (jumpDates_.empty() && !jumps_.empty()) { // turn of year dates
jumpDates_.resize(nJumps_);
jumpTimes_.resize(nJumps_);
Year y = referenceDate().year();
for (Size i=0; i<nJumps_; ++i)
jumpDates_[i] = Date(31, December, y+i);
} else { // fixed dats
QL_REQUIRE(jumpDates_.size()==nJumps_,
"mismatch between number of jumps (" << nJumps_ <<
") and jump dates (" << jumpDates_.size() << ")");
}
for (Size i=0; i<nJumps_; ++i)
jumpTimes_[i] = timeFromReference(jumpDates_[i]);
latestReference_ = referenceDate();
}
Probability DefaultProbabilityTermStructure::survivalProbability(
Time t,
bool extrapolate) const {
checkRange(t, extrapolate);
if (!jumps_.empty()) {
Probability jumpEffect = 1.0;
for (Size i=0; i<nJumps_ && jumpTimes_[i]<t; ++i) {
QL_REQUIRE(jumps_[i]->isValid(),
"invalid " << io::ordinal(i+1) << " jump quote");
DiscountFactor thisJump = jumps_[i]->value();
QL_REQUIRE(thisJump > 0.0 && thisJump <= 1.0,
"invalid " << io::ordinal(i+1) << " jump value: " <<
thisJump);
jumpEffect *= thisJump;
}
return jumpEffect * survivalProbabilityImpl(t);
}
return survivalProbabilityImpl(t);
}
Probability DefaultProbabilityTermStructure::defaultProbability(
const Date& d1,
const Date& d2,
bool extrapolate) const {
QL_REQUIRE(d1 <= d2,
"initial date (" << d1 << ") "
"later than final date (" << d2 << ")");
Probability p1 = d1 < referenceDate() ? 0.0 :
defaultProbability(d1,extrapolate),
p2 = defaultProbability(d2,extrapolate);
return p2 - p1;
}
Probability DefaultProbabilityTermStructure::defaultProbability(
Time t1,
Time t2,
bool extrapolate) const {
QL_REQUIRE(t1 <= t2,
"initial time (" << t1 << ") "
"later than final time (" << t2 << ")");
Probability p1 = t1 < 0.0 ? 0.0 : defaultProbability(t1,extrapolate),
p2 = defaultProbability(t2,extrapolate);
return p2 - p1;
}
}
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