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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 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
<https://www.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/qldefines.hpp>
#if !defined(BOOST_ALL_NO_LIB) && defined(BOOST_MSVC)
# include <ql/auto_link.hpp>
#endif
#include <ql/experimental/credit/gaussianlhplossmodel.hpp>
#include <ql/experimental/credit/constantlosslatentmodel.hpp>
#include <ql/experimental/credit/binomiallossmodel.hpp>
#include <ql/experimental/credit/randomdefaultlatentmodel.hpp>
#include <ql/experimental/credit/randomlosslatentmodel.hpp>
#include <ql/experimental/credit/spotlosslatentmodel.hpp>
#include <ql/experimental/credit/basecorrelationlossmodel.hpp>
#include <ql/termstructures/credit/flathazardrate.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/currencies/europe.hpp>
#include <iostream>
#include <iomanip>
#include <string>
using namespace std;
using namespace QuantLib;
int main(int, char* []) {
try {
std::cout << std::endl;
Calendar calendar = TARGET();
Date todaysDate(19, March, 2014);
// must be a business day
todaysDate = calendar.adjust(todaysDate);
Settings::instance().evaluationDate() = todaysDate;
/* --------------------------------------------------------------
SET UP BASKET PORTFOLIO
-------------------------------------------------------------- */
// build curves and issuers into a basket of ten names
std::vector<Real> hazardRates = {
0.001, 0.01, 0.02, 0.03, 0.04, 0.05, 0.06, 0.07, 0.08, 0.09
};
std::vector<std::string> names;
names.reserve(hazardRates.size());
for(Size i=0; i<hazardRates.size(); i++)
names.push_back(std::string("Acme") + std::to_string(i));
std::vector<Handle<DefaultProbabilityTermStructure>> defTS;
for (Real& hazardRate : hazardRates) {
defTS.emplace_back(
ext::make_shared<FlatHazardRate>(0, TARGET(), hazardRate, Actual365Fixed()));
defTS.back()->enableExtrapolation();
}
std::vector<Issuer> issuers;
for(Size i=0; i<hazardRates.size(); i++) {
std::vector<QuantLib::Issuer::key_curve_pair> curves(1,
std::make_pair(NorthAmericaCorpDefaultKey(
EURCurrency(), QuantLib::SeniorSec,
Period(), 1. // amount threshold
), defTS[i]));
issuers.emplace_back(curves);
}
auto thePool = ext::make_shared<Pool>();
for(Size i=0; i<hazardRates.size(); i++)
thePool->add(names[i], issuers[i], NorthAmericaCorpDefaultKey(
EURCurrency(), QuantLib::SeniorSec, Period(), 1.));
std::vector<DefaultProbKey> defaultKeys(hazardRates.size(),
NorthAmericaCorpDefaultKey(EURCurrency(), SeniorSec, Period(), 1.));
auto theBskt = ext::make_shared<Basket>(
todaysDate,
names, std::vector<Real>(hazardRates.size(), 100.), thePool,
// 0.0, 0.78);
0.03, .06);
/* --------------------------------------------------------------
SET UP DEFAULT LOSS MODELS
-------------------------------------------------------------- */
std::vector<Real> recoveries(hazardRates.size(), 0.4);
Date calcDate(TARGET().advance(Settings::instance().evaluationDate(),
Period(60, Months)));
Real factorValue = 0.05;
std::vector<std::vector<Real>> fctrsWeights(hazardRates.size(),
std::vector<Real>(1, std::sqrt(factorValue)));
// --- LHP model --------------------------
#ifndef QL_PATCH_SOLARIS
auto lmGLHP = ext::make_shared<GaussianLHPLossModel>(
fctrsWeights[0][0] * fctrsWeights[0][0], recoveries);
theBskt->setLossModel(lmGLHP);
std::cout << "GLHP Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
// --- G Binomial model --------------------
auto ktLossLM = ext::make_shared<GaussianConstantLossLM>(fctrsWeights,
recoveries, LatentModelIntegrationType::GaussianQuadrature,
GaussianCopulaPolicy::initTraits());
auto lmBinomial = ext::make_shared<GaussianBinomialLossModel>(ktLossLM);
theBskt->setLossModel(lmBinomial);
std::cout << "Gaussian Binomial Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
#endif
// --- T Binomial model --------------------
TCopulaPolicy::initTraits initT;
initT.tOrders = std::vector<Integer>(2, 3);
auto ktTLossLM = ext::make_shared<TConstantLossLM>(fctrsWeights,
recoveries,
//LatentModelIntegrationType::GaussianQuadrature,
LatentModelIntegrationType::Trapezoid,
initT);
auto lmTBinomial = ext::make_shared<TBinomialLossModel>(ktTLossLM);
theBskt->setLossModel(lmTBinomial);
std::cout << "T Binomial Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
// --- G Inhomogeneous model ---------------
Size numSimulations = 100000;
#ifndef QL_PATCH_SOLARIS
auto gLM = ext::make_shared<GaussianConstantLossLM>(fctrsWeights,
recoveries,
LatentModelIntegrationType::GaussianQuadrature,
// g++ requires this when using make_shared
GaussianCopulaPolicy::initTraits());
Size numBuckets = 100;
auto inhomogeneousLM = ext::make_shared<IHGaussPoolLossModel>(gLM, numBuckets);
theBskt->setLossModel(inhomogeneousLM);
std::cout << "G Inhomogeneous Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
// --- G Random model ---------------------
// Gaussian random joint default model:
// Size numCoresUsed = 4;
// Sobol, many cores
auto rdlmG = ext::make_shared<RandomDefaultLM<GaussianCopulaPolicy,
RandomSequenceGenerator<
BoxMullerGaussianRng<MersenneTwisterUniformRng>>>>(gLM,
recoveries, numSimulations, 1.e-6, 2863311530UL);
//auto rdlmG = ext::make_shared<RandomDefaultLM<GaussianCopulaPolicy>>(gLM,
// recoveries, numSimulations, 1.e-6, 2863311530);
theBskt->setLossModel(rdlmG);
std::cout << "Random G Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
#endif
// --- StudentT Random model ---------------------
// Sobol, many cores
auto rdlmT = ext::make_shared<RandomDefaultLM<TCopulaPolicy,
RandomSequenceGenerator<
PolarStudentTRng<MersenneTwisterUniformRng>>>>(ktTLossLM,
recoveries, numSimulations, 1.e-6, 2863311530UL);
//auto rdlmT = ext::make_shared<RandomDefaultLM<TCopulaPolicy>>(ktTLossLM,
// recoveries, numSimulations, 1.e-6, 2863311530);
theBskt->setLossModel(rdlmT);
std::cout << "Random T Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
// Spot Loss latent model:
#ifndef QL_PATCH_SOLARIS
std::vector<std::vector<Real>> fctrsWeightsRR(2 * hazardRates.size(),
std::vector<Real>(1, std::sqrt(factorValue)));
Real modelA = 2.2;
auto sptLG = ext::make_shared<GaussianSpotLossLM>(
fctrsWeightsRR, recoveries, modelA,
LatentModelIntegrationType::GaussianQuadrature,
GaussianCopulaPolicy::initTraits());
auto sptLT = ext::make_shared<TSpotLossLM>(fctrsWeightsRR,
recoveries, modelA,
LatentModelIntegrationType::GaussianQuadrature, initT);
// --- G Random Loss model ---------------------
// Gaussian random joint default model:
// Sobol, many cores
auto rdLlmG = ext::make_shared<RandomLossLM<GaussianCopulaPolicy>>(sptLG,
numSimulations, 1.e-6, 2863311530UL);
theBskt->setLossModel(rdLlmG);
std::cout << "Random Loss G Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
// --- T Random Loss model ---------------------
// Gaussian random joint default model:
// Sobol, many cores
auto rdLlmT = ext::make_shared<RandomLossLM<TCopulaPolicy>>(sptLT,
numSimulations, 1.e-6, 2863311530UL);
theBskt->setLossModel(rdLlmT);
std::cout << "Random Loss T Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
// Base Correlation model set up to test coherence with base LHP model
std::vector<Period> bcTenors = {{1, Years}, {5, Years}};
std::vector<Real> bcLossPercentages = {0.03, 0.12};
std::vector<std::vector<Handle<Quote>>> correls;
//
std::vector<Handle<Quote>> corr1Y;
// 3%
corr1Y.emplace_back(
ext::make_shared<SimpleQuote>(fctrsWeights[0][0] * fctrsWeights[0][0]));
// 12%
corr1Y.emplace_back(
ext::make_shared<SimpleQuote>(fctrsWeights[0][0] * fctrsWeights[0][0]));
correls.push_back(corr1Y);
std::vector<Handle<Quote>> corr2Y;
// 3%
corr2Y.emplace_back(
ext::make_shared<SimpleQuote>(fctrsWeights[0][0] * fctrsWeights[0][0]));
// 12%
corr2Y.emplace_back(
ext::make_shared<SimpleQuote>(fctrsWeights[0][0] * fctrsWeights[0][0]));
correls.push_back(corr2Y);
auto correlSurface = ext::make_shared<BaseCorrelationTermStructure<BilinearInterpolation>>(
// first one would do, all should be the same.
defTS[0]->settlementDays(),
defTS[0]->calendar(),
Unadjusted,
bcTenors,
bcLossPercentages,
correls,
Actual365Fixed());
Handle<BaseCorrelationTermStructure<BilinearInterpolation>> correlHandle(correlSurface);
auto bcLMG_LHP_Bilin = ext::make_shared<GaussianLHPFlatBCLM>(correlHandle, recoveries,
GaussianCopulaPolicy::initTraits());
theBskt->setLossModel(bcLMG_LHP_Bilin);
std::cout << "Base Correlation GLHP Expected 10-Yr Losses: "
<< std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
#endif
return 0;
} catch (exception& e) {
cerr << e.what() << endl;
return 1;
} catch (...) {
cerr << "unknown error" << endl;
return 1;
}
}
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