riskparticipationagreementbaseengine.hpp

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/*
 Copyright (C) 2019 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 ored/scripting/engines/riskparticipationagreementbaseengine.hpp
    \brief
*/
 
#pragma once
 
#include <qle/instruments/riskparticipationagreement.hpp>
 
#include <ql/termstructures/defaulttermstructure.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
 
namespace ore {
namespace data {
 
using namespace QuantLib;
 
    class RiskParticipationAgreementBaseEngine : public QuantExt::RiskParticipationAgreement::engine {
public:
    RiskParticipationAgreementBaseEngine(const std::string& baseCcy,
                                         const std::map<std::string, Handle<YieldTermStructure>>& discountCurves,
                                         const std::map<std::string, Handle<Quote>>& fxSpots,
                                         const Handle<DefaultProbabilityTermStructure>& defaultCurve,
                                         const Handle<Quote>& recoveryRate, const Size maxGapDays = Null<Size>(),
                                         const Size maxDiscretizsationPoints = Null<Size>());
 
    static std::vector<Date> buildDiscretisationGrid(const Date& referenceDate, const Date& protectionStart,
                                                     const Date& protectionEnd, const std::vector<Leg>& underlying,
                                                     const Size maxGapDays = Null<Size>(),
                                                     const Size maxDiscretisationPoints = Null<Size>());
 
protected:
    virtual Real protectionLegNpv() const = 0;
 
    void calculate() const override;
 
    std::string baseCcy_;
    mutable std::map<std::string, Handle<YieldTermStructure>> discountCurves_;
    mutable std::map<std::string, Handle<Quote>> fxSpots_;
    Handle<DefaultProbabilityTermStructure> defaultCurve_;
    Handle<Quote> recoveryRate_;
    Size maxGapDays_, maxDiscretisationPoints_;
 
    // set by base engine, may be used by derived engines
    mutable std::vector<Date> gridDates_;
    mutable Date referenceDate_;
    mutable Real effectiveRecoveryRate_;
};
 
} // namespace data
} // namespace ore