fittedbondcurvehelpermarket.cpp

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/*
 Copyright (C) 2020 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.
*/
 
#include <ored/marketdata/fittedbondcurvehelpermarket.hpp>
 
#include <ored/utilities/indexparser.hpp>
 
#include <qle/termstructures/creditcurve.hpp>
 
#include <ql/termstructures/credit/flathazardrate.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
 
namespace ore {
namespace data {
 
FittedBondCurveHelperMarket::FittedBondCurveHelperMarket(
    const std::map<std::string, Handle<YieldTermStructure>>& iborIndexCurves, const bool handlePseudoCurrencies)
    : MarketImpl(handlePseudoCurrencies) {
 
    QuantLib::ext::shared_ptr<Conventions> conventions = InstrumentConventions::instance().conventions();
 
    // populate the ibor index curves
    for (auto const& c : iborIndexCurves)
        iborIndices_[std::make_pair(Market::defaultConfiguration, c.first)] =
            Handle<IborIndex>(parseIborIndex(c.first, c.second));
}
 
Handle<YieldTermStructure> FittedBondCurveHelperMarket::yieldCurve(const string& name,
                                                                   const string& configuration) const {
    return Handle<YieldTermStructure>(QuantLib::ext::make_shared<FlatForward>(0, NullCalendar(), 0.0, Actual365Fixed()));
}
 
Handle<Quote> FittedBondCurveHelperMarket::securitySpread(const string& securityID, const string& configuration) const {
    return Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.0));
}
 
Handle<QuantExt::CreditCurve> FittedBondCurveHelperMarket::defaultCurve(const string&,
                                                                        const string& configuration) const {
    return Handle<QuantExt::CreditCurve>(
        QuantLib::ext::make_shared<QuantExt::CreditCurve>(Handle<DefaultProbabilityTermStructure>(
            QuantLib::ext::make_shared<FlatHazardRate>(0, NullCalendar(), 0.0, Actual365Fixed()))));
}
 
Handle<Quote> FittedBondCurveHelperMarket::recoveryRate(const string&, const string& configuration) const {
    return Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.0));
}
 
} // namespace data
} // namespace ore