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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 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.
*/
/*! \file randomdefaultmodel.hpp
\brief Random default-time scenarios for a pool of credit names
*/
#ifndef quantlib_random_default_model_hpp
#define quantlib_random_default_model_hpp
#include <ql/math/randomnumbers/rngtraits.hpp>
#include <ql/experimental/credit/pool.hpp>
#include <ql/experimental/credit/onefactorcopula.hpp>
#include <ql/experimental/credit/defaultprobabilitykey.hpp>
namespace QuantLib {
//! Base class for random default models
/*! Provides sequences of random default times for each name in the pool. */
class RandomDefaultModel : public Observer, public Observable {
public:
RandomDefaultModel(const ext::shared_ptr<Pool>& pool,
const std::vector<DefaultProbKey>& defaultKeys)
: pool_(pool), defaultKeys_(defaultKeys) {
// assuming none defaulted this is true.
QL_REQUIRE(defaultKeys.size() == pool->size(), "Incompatible pool and keys sizes.");
}
~RandomDefaultModel() override = default;
void update() override { notifyObservers(); }
/*!
Generate a sequence of random default times, one for each name in the
pool, and store the result in the Pool using method setTime(name).
tmax denotes the maximum relevant time- default times > tmax are not
computed but set to tmax + 1 instead to save coputation time.
*/
virtual void nextSequence(Real tmax = QL_MAX_REAL) = 0;
virtual void reset() = 0;
protected:
ext::shared_ptr<Pool> pool_;
std::vector<DefaultProbKey> defaultKeys_;
};
/*!
Random default times using a one-factor Gaussian copula.
*/
class GaussianRandomDefaultModel : public RandomDefaultModel {
public:
GaussianRandomDefaultModel(const ext::shared_ptr<Pool>& pool,
const std::vector<DefaultProbKey>& defaultKeys,
const Handle<OneFactorCopula>& copula,
Real accuracy,
long seed);
void nextSequence(Real tmax = QL_MAX_REAL) override;
void reset() override;
private:
Handle<OneFactorCopula> copula_;
Real accuracy_;
long seed_;
PseudoRandom::rsg_type rsg_;
};
}
#endif
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