Credit Migration Calculator. More...

#include <orea/aggregation/creditmigrationcalculator.hpp>

Collaboration diagram for CreditMigrationCalculator:

Public Member Functions
	CreditMigrationCalculator (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< CreditSimulationParameters > &creditSimulationParameters, const QuantLib::ext::shared_ptr< NPVCube > &cube, const QuantLib::ext::shared_ptr< CubeInterpretation > cubeInterpretation, const QuantLib::ext::shared_ptr< NPVCube > &nettedcube, const QuantLib::ext::shared_ptr< AggregationScenarioData > &aggregationScenarioData, const std::vector< Real > &creditMigrationDistributionGrid, const std::vector< Size > &creditMigrationTimeSteps, const Matrix &creditStateCorrelationMatrix, const std::string baseCurrency)

void	build ()

const std::vector< Real >	upperBucketBounds () const

const std::vector< std::vector< Real > >	cdf () const

const std::vector< std::vector< Real > >	pdf () const

Private Attributes
QuantLib::ext::shared_ptr< Portfolio >	portfolio_

QuantLib::ext::shared_ptr< CreditSimulationParameters >	creditSimulationParameters_

QuantLib::ext::shared_ptr< NPVCube >	cube_

QuantLib::ext::shared_ptr< CubeInterpretation >	cubeInterpretation_

QuantLib::ext::shared_ptr< NPVCube >	nettedCube_

QuantLib::ext::shared_ptr< AggregationScenarioData >	aggregationScenarioData_

std::vector< Real >	creditMigrationDistributionGrid_

std::vector< Size >	creditMigrationTimeSteps_

Matrix	creditStateCorrelationMatrix_

std::string	baseCurrency_

std::vector< Real >	upperBucketBounds_

std::vector< std::vector< Real > >	cdf_

std::vector< std::vector< Real > >	pdf_

Detailed Description

Credit Migration Calculator.

Definition at line 42 of file creditmigrationcalculator.hpp.

Constructor & Destructor Documentation

◆ CreditMigrationCalculator()

CreditMigrationCalculator	(	const QuantLib::ext::shared_ptr< Portfolio > &	portfolio,
		const QuantLib::ext::shared_ptr< CreditSimulationParameters > &	creditSimulationParameters,
		const QuantLib::ext::shared_ptr< NPVCube > &	cube,
		const QuantLib::ext::shared_ptr< CubeInterpretation >	cubeInterpretation,
		const QuantLib::ext::shared_ptr< NPVCube > &	nettedcube,
		const QuantLib::ext::shared_ptr< AggregationScenarioData > &	aggregationScenarioData,
		const std::vector< Real > &	creditMigrationDistributionGrid,
		const std::vector< Size > &	creditMigrationTimeSteps,
		const Matrix &	creditStateCorrelationMatrix,
		const std::string	baseCurrency
	)

Definition at line 25 of file creditmigrationcalculator.cpp.

    : portfolio_(portfolio), creditSimulationParameters_(creditSimulationParameters), cube_(cube),
      cubeInterpretation_(cubeInterpretation), nettedCube_(nettedCube),
      aggregationScenarioData_(aggregationScenarioData),
      creditMigrationDistributionGrid_(creditMigrationDistributionGrid),
      creditMigrationTimeSteps_(creditMigrationTimeSteps), creditStateCorrelationMatrix_(creditStateCorrelationMatrix),
      baseCurrency_(baseCurrency) {}

Member Function Documentation

◆ build()

void build ( )

Definition at line 40 of file creditmigrationcalculator.cpp.

                                      {
 
    LOG("Credit migration computation started.");
 
    // checks
 
    QL_REQUIRE(portfolio_ != nullptr, "CreditMigrationCalculator::build(): portfolio is null");
    QL_REQUIRE(creditSimulationParameters_ != nullptr,
               "CreditMigrationCalculator::build(): creditSimulationParameters is null");
    QL_REQUIRE(cube_ != nullptr, "CreditMigrationCalculator::build(): cube is null");
    QL_REQUIRE(cubeInterpretation_ != nullptr, "CreditMigrationCalculator::build(): cube interpretation is null");
    QL_REQUIRE(nettedCube_ != nullptr, "CreditMigrationCalculator::build(): netted cube is null");
    QL_REQUIRE(aggregationScenarioData_ != nullptr,
               "CreditMigrationCalculator::build(): aggregation scenario data is null");
    QL_REQUIRE(!baseCurrency_.empty(), "CreditMigrationCalculator::build(): base currency is empty");
    QL_REQUIRE(creditStateCorrelationMatrix_.rows() == creditStateCorrelationMatrix_.columns(),
               "CreditMigrationCalculator::build(): credit state correlation matrix is not square ("
                   << creditStateCorrelationMatrix_.rows() << " x " << creditStateCorrelationMatrix_.columns() << ")");
    QL_REQUIRE(
        creditMigrationDistributionGrid_.size() == 3,
        "CreditMigrationCalculator::build(): credit migration distribution grid spec must consist of 3 numbers (got "
            << creditMigrationDistributionGrid_.size() << ")");
 
    // create helper
 
    CreditMigrationHelper hlp(creditSimulationParameters_, cube_, nettedCube_, aggregationScenarioData_,
                              cubeInterpretation_->mporFlowsIndex(), cubeInterpretation_->creditStateNPVsIndex(),
                              creditMigrationDistributionGrid_[0], creditMigrationDistributionGrid_[1],
                              static_cast<Size>(creditMigrationDistributionGrid_[2]), creditStateCorrelationMatrix_,
                              baseCurrency_);
 
    hlp.build(portfolio_->trades());
 
    // compute output
 
    upperBucketBounds_ = hlp.upperBucketBound();
    if (!upperBucketBounds_.empty())
        upperBucketBounds_.pop_back();
    cdf_.clear();
    pdf_.clear();
 
    for (Size i = 0; i < creditMigrationTimeSteps_.size(); ++i) {
        DLOG("Generating pnl distribution for timestep " << creditMigrationTimeSteps_[i]);
        cdf_.push_back({});
        pdf_.push_back({});
        Array dist = hlp.pnlDistribution(creditMigrationTimeSteps_[i]);
        Real mean = 0.0, stdev = 0.0;
        Real sum = 0.0;
        for (Size j = 1; j < hlp.upperBucketBound().size() - 1; ++j) {
            Real pnl = 0.5 * (hlp.upperBucketBound()[j] + hlp.upperBucketBound()[j - 1]);
            mean += pnl * dist[j];
            stdev += pnl * pnl * dist[j];
            sum += dist[j];
        }
        stdev = sqrt(stdev - mean * mean);
        TLOG("Total PnL at time step " << creditMigrationTimeSteps_[i] << ": Mean " << std::fixed << mean << " StdDev "
                                       << stdev << " Prob " << std::scientific << sum << " Left " << dist[0]
                                       << " Right " << dist[hlp.upperBucketBound().size() - 1]);
        Real p = 0.0;
        for (Size j = 0; j < hlp.upperBucketBound().size() - 1; ++j) {
            p += dist[j];
            cdf_.back().push_back(p);
            pdf_.back().push_back(dist[j]);
        }
    }
 
    LOG("Credit migration computation finished.");
}