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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008, 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/issuer.hpp>
#include <utility>
namespace QuantLib {
namespace {
bool between(const ext::shared_ptr<DefaultEvent>& e,
const Date& start,
const Date& end,
bool includeRefDate = false) {
return !e->hasOccurred(start, includeRefDate) &&
e->hasOccurred(end, includeRefDate);
}
}
Issuer::Issuer(std::vector<std::pair<DefaultProbKey, Handle<DefaultProbabilityTermStructure> > >
probabilities,
DefaultEventSet events)
: probabilities_(std::move(probabilities)), events_(std::move(events)) {}
Issuer::Issuer(const std::vector<std::vector<ext::shared_ptr<DefaultType> > >& eventTypes,
const std::vector<Currency>& currencies,
const std::vector<Seniority>& seniorities,
const std::vector<Handle<DefaultProbabilityTermStructure> >& curves,
DefaultEventSet events)
: events_(std::move(events)) {
QL_REQUIRE((eventTypes.size() == curves.size()) &&
(curves.size()== currencies.size()) &&
(currencies.size() == seniorities.size()),
"Incompatible size of Issuer parameters.");
for(Size i=0; i <eventTypes.size(); i++) {
DefaultProbKey keytmp(eventTypes[i], currencies[i],
seniorities[i]);
probabilities_.emplace_back(keytmp, curves[i]);
}
}
const Handle<DefaultProbabilityTermStructure>&
Issuer::defaultProbability(const DefaultProbKey& key) const {
for (const auto& probabilitie : probabilities_)
if (key == probabilitie.first)
return probabilitie.second;
QL_FAIL("Probability curve not available.");
}
ext::shared_ptr<DefaultEvent>
Issuer::defaultedBetween(const Date& start,
const Date& end,
const DefaultProbKey& contractKey,
bool includeRefDate
) const
{
// to do: the set is ordered, see how to use it to speed this up
for (const auto& event : events_) {
if (event->matchesDefaultKey(contractKey) && between(event, start, end, includeRefDate))
return event;
}
return ext::shared_ptr<DefaultEvent>();
}
std::vector<ext::shared_ptr<DefaultEvent> >
Issuer::defaultsBetween(const Date& start,
const Date& end,
const DefaultProbKey& contractKey,
bool includeRefDate
) const
{
std::vector<ext::shared_ptr<DefaultEvent> > defaults;
// to do: the set is ordered, see how to use it to speed this up
for (const auto& event : events_) {
if (event->matchesDefaultKey(contractKey) && between(event, start, end, includeRefDate))
defaults.push_back(event);
}
return defaults;
}
}
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