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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008, 2009 Jose Aparicio
Copyright (C) 2008 Chris Kenyon
Copyright (C) 2008 Roland Lichters
Copyright (C) 2008 StatPro Italia srl
Copyright (C) 2023 Andrea Pellegatta
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 defaultprobabilityhelpers.hpp
\brief bootstrap helpers for default-probability term structures
*/
#ifndef quantlib_default_probability_helpers_hpp
#define quantlib_default_probability_helpers_hpp
#include <ql/termstructures/defaulttermstructure.hpp>
#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/time/schedule.hpp>
#include <ql/instruments/creditdefaultswap.hpp>
namespace QuantLib {
class YieldTermStructure;
class CreditDefaultSwap;
//! alias for default-probability bootstrap helpers
typedef BootstrapHelper<DefaultProbabilityTermStructure>
DefaultProbabilityHelper;
typedef RelativeDateBootstrapHelper<DefaultProbabilityTermStructure>
RelativeDateDefaultProbabilityHelper;
//! Base class for CDS helpers
class CdsHelper : public RelativeDateDefaultProbabilityHelper {
public:
/*! Constructor taking CDS market quote
@param quote The helper's market quote.
@param tenor CDS tenor.
@param settlementDays The number of days from evaluation date to the start of the protection period.
Prior to the CDS Big Bang in 2009, this was typically 1 calendar day. After the
CDS Big Bang, this is typically 0 calendar days i.e. protection starts
immediately.
@param calendar CDS calendar. Typically weekends only for standard non-JPY CDS and TYO for JPY.
@param frequency Coupon frequency. Typically 3 months for standard CDS.
@param paymentConvention The convention applied to coupons schedules and settlement dates.
@param rule The date generation rule for generating the CDS schedule. Typically, for CDS prior to the
Big Bang, \c OldCDS should be used. After the Big Bang, \c CDS was typical and since 2015
\c CDS2015 is standard.
@param dayCounter The day counter for CDS fee leg coupons. Typically it is Actual/360, excluding
accrual end, for all but the final coupon period with Actual/360, including accrual
end, for the final coupon. The \p lastPeriodDayCounter below allows for this
distinction.
@param recoveryRate The recovery rate of the underlying reference entity.
@param discountCurve A handle to the relevant discount curve.
@param settlesAccrual Set to \c true if accrued fee is paid on the occurrence of a credit event and set
to \c false if it is not. Typically this is \c true.
@param paysAtDefaultTime Set to \c true if default payment is made at time of credit event or postponed
to the end of the coupon period. Typically this is \c true.
@param startDate Used to specify an explicit start date for the CDS schedule and the date from which the
CDS maturity is calculated via the \p tenor. Useful for off-the-run index schedules.
@param lastPeriodDayCounter The day counter for the last fee leg coupon. See comment on \p dayCounter.
@param rebatesAccrual Set to \c true if the fee leg accrual is rebated on the cash settlement date. For
CDS after the Big Bang, this is typically \c true.
@param model The pricing model to use for the helper.
*/
CdsHelper(const std::variant<Rate, Handle<Quote>>& quote,
const Period& tenor,
Integer settlementDays,
Calendar calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
DayCounter dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
const Date& startDate = Date(),
DayCounter lastPeriodDayCounter = DayCounter(),
bool rebatesAccrual = true,
CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint);
void setTermStructure(DefaultProbabilityTermStructure*) override;
// NOLINTNEXTLINE(cppcoreguidelines-noexcept-swap,performance-noexcept-swap)
ext::shared_ptr<CreditDefaultSwap> swap() const {
return swap_;
}
void update() override;
protected:
void initializeDates() override;
virtual void resetEngine() = 0;
Period tenor_;
Integer settlementDays_;
Calendar calendar_;
Frequency frequency_;
BusinessDayConvention paymentConvention_;
DateGeneration::Rule rule_;
DayCounter dayCounter_;
Real recoveryRate_;
Handle<YieldTermStructure> discountCurve_;
bool settlesAccrual_;
bool paysAtDefaultTime_;
DayCounter lastPeriodDC_;
bool rebatesAccrual_;
CreditDefaultSwap::PricingModel model_;
Schedule schedule_;
ext::shared_ptr<CreditDefaultSwap> swap_;
RelinkableHandle<DefaultProbabilityTermStructure> probability_;
//! protection effective date.
Date protectionStart_;
Date startDate_;
};
//! Spread-quoted CDS hazard rate bootstrap helper.
class SpreadCdsHelper : public CdsHelper {
public:
SpreadCdsHelper(const std::variant<Rate, Handle<Quote>>& runningSpread,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
const Date& startDate = Date(),
const DayCounter& lastPeriodDayCounter = DayCounter(),
bool rebatesAccrual = true,
CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint);
Real impliedQuote() const override;
private:
void resetEngine() override;
};
//! Upfront-quoted CDS hazard rate bootstrap helper.
class UpfrontCdsHelper : public CdsHelper {
public:
/*! \note the upfront must be quoted in fractional units. */
UpfrontCdsHelper(const std::variant<Rate, Handle<Quote>>& upfront,
Rate runningSpread,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
Natural upfrontSettlementDays = 3,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
const Date& startDate = Date(),
const DayCounter& lastPeriodDayCounter = DayCounter(),
bool rebatesAccrual = true,
CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint);
Real impliedQuote() const override;
private:
Date upfrontDate();
void initializeDates() override;
void resetEngine() override;
Natural upfrontSettlementDays_;
Date upfrontDate_;
Rate runningSpread_;
};
}
#endif
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