cboengine.cpp

Go to the documentation of this file.

/*
 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.
*/
 
/*! \file cbo.cpp
    \brief collateralized bond obligation pricing engine
*/
 
#include <fstream>
#include <iostream>
#include <stdio.h>
 
#include <qle/pricingengines/cboengine.hpp>
 
namespace QuantExt {
 
Stats::Stats(std::vector<Real> data) : data_(data), mean_(0.0), std_(0.0), max_(0.0), min_(0.0) {
    for (Size i = 0; i < data_.size(); i++) {
        mean_ += data_[i];
        std_ += data_[i] * data_[i];
    }
    mean_ /= data_.size();
    std_ /= data_.size();
    std_ = sqrt(std_ - mean_ * mean_);
    max_ = *(std::max_element(data_.begin(), data_.end()));
    min_ = *(std::min_element(data_.begin(), data_.end()));
}
 
Distribution Stats::histogram(Size bins, Real xmin, Real xmax) {
    Distribution dist(bins, std::max(min_, xmin), std::min(max_, xmax));
    for (Size i = 0; i < data_.size(); i++) {
        if (data_[i] > xmax)
            data_[i] = xmax;
        if (data_[i] < xmin)
            data_[i] = xmin;
        dist.add(data_[i]);
    }
    dist.normalize();
    return dist;
}
 
void print(Distribution& dist, std::string fileName) {
    std::ofstream file;
    file.open(fileName.c_str());
    if (!file.is_open())
        QL_FAIL("error opening file " << fileName);
    file.setf(std::ios::scientific, std::ios::floatfield);
    file.setf(std::ios::showpoint);
    file.precision(4);
    for (Size i = 0; i < dist.size(); i++)
        file << i << " " << dist.x(i) << " " << dist.density(i) << std::endl;
    file.close();
}
 
} // namespace QuantExt