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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 StatPro Italia srl
Copyright (C) 2009 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/experimental/credit/defaultprobabilitykey.hpp>
#if defined(QL_PATCH_MSVC)
#pragma warning(push)
#pragma warning(disable:4181)
#endif
#include <algorithm>
#include <set>
#include <utility>
namespace QuantLib {
namespace {
struct points_to {
explicit points_to(const DefaultType& t) : t(t) {}
bool operator()(const ext::shared_ptr<DefaultType>& p) const {
return *p == t;
}
const DefaultType& t;
};
}
bool operator==(const DefaultProbKey& lhs, const DefaultProbKey& rhs) {
if(lhs.seniority() != rhs.seniority()) return false;
if(lhs.currency() != rhs.currency()) return false;
Size mySize = rhs.eventTypes().size();
if(mySize != lhs.eventTypes().size()) return false;
// the all types must be equal in the weak sense.
for(Size i=0; i<mySize; i++) {
if(std::find_if(lhs.eventTypes().begin(), lhs.eventTypes().end(),
points_to(*rhs.eventTypes()[i])) == lhs.eventTypes().end())
return false;
}// naah, I bet this can be done with a double lambda
return true;
}
DefaultProbKey::DefaultProbKey() = default;
DefaultProbKey::DefaultProbKey(std::vector<ext::shared_ptr<DefaultType> > eventTypes,
Currency cur,
Seniority sen)
: eventTypes_(std::move(eventTypes)), obligationCurrency_(std::move(cur)), seniority_(sen) {
std::set<AtomicDefault::Type> buffer;
Size numEvents = eventTypes_.size();
for(Size i=0; i< numEvents; i++)
buffer.insert(eventTypes_[i]->defaultType());
QL_REQUIRE(buffer.size() == numEvents,
"Duplicated event type in contract definition");
}
NorthAmericaCorpDefaultKey::NorthAmericaCorpDefaultKey(
const Currency& currency,
Seniority sen,
Period graceFailureToPay,
Real amountFailure,
Restructuring::Type resType)
: DefaultProbKey(std::vector<ext::shared_ptr<DefaultType> >(),
currency, sen) {
eventTypes_.push_back( ext::shared_ptr<DefaultType>(
new FailureToPay(graceFailureToPay,
amountFailure)));
// no specifics for Bankruptcy
eventTypes_.push_back( ext::make_shared<DefaultType>(
AtomicDefault::Bankruptcy,
Restructuring::XR));
if(resType != Restructuring::NoRestructuring)
eventTypes_.push_back( ext::make_shared<DefaultType>(
AtomicDefault::Restructuring, resType));
}
}
#if defined(QL_PATCH_MSVC)
#pragma warning(pop)
#endif
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