creditmigrationcalculator.hpp

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/*
 Copyright (C) 2023 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file orea/aggregation/creditmigrationcalculator.hpp
    \brief Exposure calculator
    \ingroup analytics
*/
 
#pragma once
 
#include <orea/aggregation/creditsimulationparameters.hpp>
#include <orea/cube/cubeinterpretation.hpp>
#include <orea/cube/npvcube.hpp>
#include <ored/portfolio/portfolio.hpp>
 
#include <ql/shared_ptr.hpp>
 
namespace ore {
namespace analytics {
 
using namespace QuantLib;
using namespace QuantExt;
using namespace data;
using namespace std;
 
//! Credit Migration Calculator
class CreditMigrationCalculator {
public:
    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 { return upperBucketBounds_; }
    const std::vector<std::vector<Real>> cdf() const { return cdf_; }
    const std::vector<std::vector<Real>> pdf() const { return pdf_; }
 
private:
    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_;
};
 
} // namespace analytics
} // namespace ore