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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Roland Lichters
Copyright (C) 2009, 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/experimental/credit/integralcdoengine.hpp>
#ifndef QL_PATCH_SOLARIS
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
void IntegralCDOEngine::calculate() const {
Date today = Settings::instance().evaluationDate();
results_.protectionValue = 0.0;
results_.premiumValue = 0.0;
results_.upfrontPremiumValue = 0.0;
results_.error = 0;
results_.expectedTrancheLoss.clear();
// todo Should be remaining when considering realized loses
results_.xMin = arguments_.basket->attachmentAmount();
results_.xMax = arguments_.basket->detachmentAmount();
results_.remainingNotional = results_.xMax - results_.xMin;
const Real inceptionTrancheNotional =
arguments_.basket->trancheNotional();
// compute expected loss at the beginning of first relevant period
Real e1 = 0;
// todo add includeSettlement date flows variable to engine.
if (!arguments_.normalizedLeg[0]->hasOccurred(today))
// cast to fixed rate coupon?
e1 = arguments_.basket->expectedTrancheLoss(
ext::dynamic_pointer_cast<Coupon>(
arguments_.normalizedLeg[0])->accrualStartDate());
results_.expectedTrancheLoss.push_back(e1);// zero or realized losses?
for (auto& i : arguments_.normalizedLeg) {
if (i->hasOccurred(today)) {
// add includeSettlement date flows variable to engine.
results_.expectedTrancheLoss.push_back(0.);
continue;
}
const ext::shared_ptr<Coupon> coupon = ext::dynamic_pointer_cast<Coupon>(i);
Date d1 = coupon->accrualStartDate();
Date d2 = coupon->date();
Date d, d0 = d1;
Real e2;
do {
d = NullCalendar().advance(d0 > today ? d0 : today,
stepSize_);
if (d > d2) d = d2;
e2 = arguments_.basket->expectedTrancheLoss(d);
results_.premiumValue
// ..check for e2 including past/realized losses
+= (inceptionTrancheNotional - e2)
* arguments_.runningRate
* arguments_.dayCounter.yearFraction(d0, d)
* discountCurve_->discount(d);
// TO DO: Addd default coupon accrual value here-----
if (e2 < e1) results_.error ++;
results_.protectionValue
+= (e2 - e1) * discountCurve_->discount(d);
d0 = d;
e1 = e2;
}
while (d < d2);
results_.expectedTrancheLoss.push_back(e2);
}
// add includeSettlement date flows variable to engine.
if (!arguments_.normalizedLeg[0]->hasOccurred(today))
results_.upfrontPremiumValue
= inceptionTrancheNotional * arguments_.upfrontRate
* discountCurve_->discount(
ext::dynamic_pointer_cast<Coupon>(
arguments_.normalizedLeg[0])->accrualStartDate());
if (arguments_.side == Protection::Buyer) {
results_.protectionValue *= -1;
results_.premiumValue *= -1;
results_.upfrontPremiumValue *= -1;
}
results_.value = results_.premiumValue - results_.protectionValue
+ results_.upfrontPremiumValue;
results_.errorEstimate = Null<Real>();
// Fair spread GIVEN the upfront
Real fairSpread = 0.;
if (results_.premiumValue != 0.0) {
fairSpread =
-(results_.protectionValue + results_.upfrontPremiumValue)
*arguments_.runningRate/results_.premiumValue;
}
results_.additionalResults["fairPremium"] = fairSpread;
results_.additionalResults["premiumLegNPV"] =
Real(results_.premiumValue + results_.upfrontPremiumValue);
results_.additionalResults["protectionLegNPV"] =
results_.protectionValue;
}
}
#endif
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