SurvivalProbabilityCalculator Class Reference

SurvivalProbabilityCalculator. More...

#include <orea/engine/cptycalculator.hpp>

Inheritance diagram for SurvivalProbabilityCalculator:

Collaboration diagram for SurvivalProbabilityCalculator:

Public Member Functions
	~SurvivalProbabilityCalculator ()
	SurvivalProbabilityCalculator (const std::string &configuration, Size index=0)
	base ccy and index to write to More...
virtual void	calculate (const std::string &name, Size nameIndex, const QuantLib::ext::shared_ptr< SimMarket > &simMarket, QuantLib::ext::shared_ptr< NPVCube > &outputCube, const Date &date, Size dateIndex, Size sample, bool isCloseOut=false) override
virtual void	calculateT0 (const std::string &name, Size nameIndex, const QuantLib::ext::shared_ptr< SimMarket > &simMarket, QuantLib::ext::shared_ptr< NPVCube > &outputCube) override
Public Member Functions inherited from CounterpartyCalculator
virtual	~CounterpartyCalculator ()
virtual void	calculate (const std::string &name, Size nameIndex, const QuantLib::ext::shared_ptr< SimMarket > &simMarket, QuantLib::ext::shared_ptr< NPVCube > &outputCube, const Date &date, Size dateIndex, Size sample, bool isCloseOut=false)=0
virtual void	calculateT0 (const std::string &name, Size nameIndex, const QuantLib::ext::shared_ptr< SimMarket > &simMarket, QuantLib::ext::shared_ptr< NPVCube > &outputCube)=0

Private Member Functions
Real	survProb (const std::string &name, const QuantLib::ext::shared_ptr< SimMarket > &simMarket, const Date &date=Date())

Private Attributes
std::string	configuration_
Size	index_

Detailed Description

SurvivalProbabilityCalculator.

Calculate the survival probability of a counterparty If the SurvivalProbabilityCalculator() call throws, we log an exception and write 1 to the cube

Definition at line 75 of file cptycalculator.hpp.

Constructor & Destructor Documentation

~SurvivalProbabilityCalculator()

~SurvivalProbabilityCalculator

(

)

Definition at line 77 of file cptycalculator.hpp.

{}

SurvivalProbabilityCalculator()

SurvivalProbabilityCalculator	(	const std::string &	configuration,
		Size	index = 0
	)

base ccy and index to write to

Definition at line 79 of file cptycalculator.hpp.

        : configuration_(configuration), index_(index) {}

Member Function Documentation

calculate()

void calculate ( const std::string &  name, Size  nameIndex, const QuantLib::ext::shared_ptr< SimMarket > &  simMarket, QuantLib::ext::shared_ptr< NPVCube > &  outputCube, const Date &  date, Size  dateIndex, Size  sample, bool  isCloseOut = false  )

overridevirtual

Implements CounterpartyCalculator.

Definition at line 31 of file cptycalculator.cpp.

                                                                                                              {
    if (!isCloseOut)
        outputCube->set(survProb(name, simMarket, date), nameIndex, dateIndex, sample, index_);
}

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calculateT0()

void calculateT0 ( const std::string &  name, Size  nameIndex, const QuantLib::ext::shared_ptr< SimMarket > &  simMarket, QuantLib::ext::shared_ptr< NPVCube > &  outputCube  )

overridevirtual

Implements CounterpartyCalculator.

Definition at line 38 of file cptycalculator.cpp.

                                                                                            {
    outputCube->setT0(survProb(name, simMarket), nameIndex, index_);
}

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survProb()

Real survProb ( const std::string &  name, const QuantLib::ext::shared_ptr< SimMarket > &  simMarket, const Date &  date = Date()  )

private

Definition at line 44 of file cptycalculator.cpp.

                                                               {
    Real survivalProb = 1.0;
 
    try {
        Handle<DefaultProbabilityTermStructure> dts = simMarket->defaultCurve(name, configuration_)->curve();
        QL_REQUIRE(!dts.empty(), "Default curve missing for counterparty " << name);
        survivalProb = dts->survivalProbability(date == Date() ? dts->referenceDate() : date);
    } catch (std::exception& e) {
        ALOG("Failed to calculate surv prob of counterparty " << name << " : " << e.what());
        survivalProb = 1.0;
    } catch (...) {
        ALOG("Failed to calculate surv prob of counterparty " << name << " : Unhandled Exception");
        survivalProb = 1.0;
    }
    return survivalProb;
}

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Member Data Documentation

configuration_

std::string configuration_

private

Definition at line 94 of file cptycalculator.hpp.

index_

Size index_

private

Definition at line 95 of file cptycalculator.hpp.