1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
|
/* -*- 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/midpointcdoengine.hpp>
#ifndef QL_PATCH_SOLARIS
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
void MidPointCDOEngine::calculate() const {
Date today = Settings::instance().evaluationDate();
results_.premiumValue = 0.0;
results_.protectionValue = 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))
// Notice that since there might be a gap between the end of
// acrrual and payment dates and today be in between
// the tranche loss on that date might not be contingent but
// realized:
e1 = arguments_.basket->expectedTrancheLoss(
ext::dynamic_pointer_cast<Coupon>(
arguments_.normalizedLeg[0])->accrualStartDate());
results_.expectedTrancheLoss.push_back(e1);
//'e1' should contain the existing loses.....? use remaining amounts?
for (auto& i : arguments_.normalizedLeg) {
if (i->hasOccurred(today)) {
results_.expectedTrancheLoss.push_back(0.);
continue;
}
ext::shared_ptr<Coupon> coupon = ext::dynamic_pointer_cast<Coupon>(i);
Date paymentDate = coupon->date();
Date startDate = std::max(coupon->accrualStartDate(),
discountCurve_->referenceDate());
Date endDate = coupon->accrualEndDate();
// we assume the loss within the period took place on this date:
Date defaultDate = startDate + (endDate-startDate)/2;
Real e2 = arguments_.basket->expectedTrancheLoss(endDate);
results_.expectedTrancheLoss.push_back(e2);
results_.premiumValue +=
((inceptionTrancheNotional - e2) / inceptionTrancheNotional)
* coupon->amount()
* discountCurve_->discount(paymentDate);
// default flows:
const Real discount = discountCurve_->discount(defaultDate);
/* Accrual removed till the argument flag is implemented
// pays accrued on defaults' date
results_.premiumValue += coupon->accruedAmount(defaultDate)
* discount * (e2 - e1) / inceptionTrancheNotional;
*/
results_.protectionValue += discount * (e2 - e1);
/* use it in a future version for coherence with the integral engine
* arguments_.leverageFactor;
*/
e1 = e2;
}
//\todo treat upfron tnow as in the new CDS (see March 2014)
// 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());
/* use it in a future version for coherence with the integral engine
arguments_.leverageFactor * ;
*/
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
|
