BaseCorrelationTermStructure Class Reference

#include <qle/termstructures/credit/basecorrelationstructure.hpp>

Inheritance diagram for BaseCorrelationTermStructure:

Collaboration diagram for BaseCorrelationTermStructure:

Public Member Functions
	BaseCorrelationTermStructure ()
	BaseCorrelationTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const std::vector< Period > &tenors, const std::vector< double > &detachmentPoints, const DayCounter &dc=DayCounter(), const Date &startDate=Date(), boost::optional< DateGeneration::Rule > rule=boost::none)
	BaseCorrelationTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const std::vector< Period > &tenors, const std::vector< double > &detachmentPoints, const DayCounter &dc=DayCounter(), const Date &startDate=Date(), boost::optional< DateGeneration::Rule > rule=boost::none)
virtual	~BaseCorrelationTermStructure ()=default
virtual Date	maxDate () const override
virtual Time	maxTime () const override
virtual Time	minTime () const override
	The minimum time for which the curve can return values. More...
virtual double	minDetachmentPoint () const
virtual double	maxDetachmentPoint () const
std::vector< double >	times () const
std::vector< double >	detachmentPoints () const
std::vector< Date >	dates () const
BusinessDayConvention	businessDayConvention () const
Date	startDate () const
boost::optional< DateGeneration::Rule >	rule () const
Public Member Functions inherited from CorrelationTermStructure
	CorrelationTermStructure (const DayCounter &dc=DayCounter())
	CorrelationTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter())
	CorrelationTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter())
Real	correlation (Time t, Real strike=Null< Real >(), bool extrapolate=false) const
Real	correlation (const Date &d, Real strike=Null< Real >(), bool extrapolate=false) const

Protected Member Functions
virtual void	checkRange (Time t, Real strike, bool extrapolate) const override
	Extra time range check for minimum time, then calls TermStructure::checkRange. More...
Protected Member Functions inherited from CorrelationTermStructure
virtual Real	correlationImpl (Time t, Real strike) const =0
	Correlation calculation. More...

Protected Attributes
std::vector< Period >	tenors_
std::vector< double >	detachmentPoints_
std::vector< Date >	dates_
std::vector< double >	times_

Private Member Functions
void	validate () const
void	initializeDatesAndTimes () const

Private Attributes
BusinessDayConvention	bdc_
Date	startDate_
boost::optional< DateGeneration::Rule >	rule_

Detailed Description

Definition at line 37 of file basecorrelationstructure.hpp.

Constructor & Destructor Documentation

BaseCorrelationTermStructure() [1/3]

BaseCorrelationTermStructure

(

)

Definition at line 23 of file basecorrelationstructure.cpp.

    : CorrelationTermStructure(), bdc_(Unadjusted) {}

BaseCorrelationTermStructure() [2/3]

BaseCorrelationTermStructure	(	const Date &	referenceDate,
		const Calendar &	cal,
		BusinessDayConvention	bdc,
		const std::vector< Period > &	tenors,
		const std::vector< double > &	detachmentPoints,
		const DayCounter &	dc = DayCounter(),
		const Date &	startDate = Date(),
		boost::optional< DateGeneration::Rule >	rule = boost::none
	)

BaseCorrelationTermStructure() [3/3]

BaseCorrelationTermStructure	(	Natural	settlementDays,
		const Calendar &	cal,
		BusinessDayConvention	bdc,
		const std::vector< Period > &	tenors,
		const std::vector< double > &	detachmentPoints,
		const DayCounter &	dc = DayCounter(),
		const Date &	startDate = Date(),
		boost::optional< DateGeneration::Rule >	rule = boost::none
	)

Definition at line 37 of file basecorrelationstructure.cpp.

    : CorrelationTermStructure(settlementDays, cal, dc), bdc_(bdc), startDate_(startDate), rule_(rule), tenors_(tenors),
      detachmentPoints_(detachmentPoints) {
    validate();
    initializeDatesAndTimes();
}

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~BaseCorrelationTermStructure()

virtual ~BaseCorrelationTermStructure ( )

virtualdefault

Member Function Documentation

maxDate()

virtual Date maxDate ( ) const

overridevirtual

Reimplemented in SpreadedBaseCorrelationCurve.

Definition at line 54 of file basecorrelationstructure.hpp.

{ return dates_.back(); }

maxTime()

virtual Time maxTime ( ) const

overridevirtual

Reimplemented in SpreadedBaseCorrelationCurve.

Definition at line 56 of file basecorrelationstructure.hpp.

{ return times_.back(); }

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minTime()

virtual Time minTime ( ) const

overridevirtual

The minimum time for which the curve can return values.

Reimplemented from CorrelationTermStructure.

Reimplemented in SpreadedBaseCorrelationCurve.

Definition at line 57 of file basecorrelationstructure.hpp.

{ return times_.front(); }

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minDetachmentPoint()

virtual double minDetachmentPoint ( ) const

virtual

Reimplemented in SpreadedBaseCorrelationCurve.

Definition at line 59 of file basecorrelationstructure.hpp.

{ return detachmentPoints_.front(); }

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maxDetachmentPoint()

virtual double maxDetachmentPoint ( ) const

virtual

Reimplemented in SpreadedBaseCorrelationCurve.

Definition at line 60 of file basecorrelationstructure.hpp.

{ return detachmentPoints_.back(); }

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times()

std::vector< double > times

(

)

const

Definition at line 62 of file basecorrelationstructure.hpp.

{ return times_; }

detachmentPoints()

std::vector< double > detachmentPoints

(

)

const

Definition at line 64 of file basecorrelationstructure.hpp.

{ return detachmentPoints_; }

dates()

std::vector< Date > dates

(

)

const

Definition at line 66 of file basecorrelationstructure.hpp.

{ return dates_; }

businessDayConvention()

BusinessDayConvention businessDayConvention

(

)

const

Definition at line 68 of file basecorrelationstructure.hpp.

{ return bdc_; }

startDate()

Date startDate

(

)

const

Definition at line 70 of file basecorrelationstructure.hpp.

{ return startDate_; }

rule()

boost::optional< DateGeneration::Rule > rule

(

)

const

Definition at line 72 of file basecorrelationstructure.hpp.

{ return rule_; }

validate()

void validate ( ) const

private

Definition at line 48 of file basecorrelationstructure.cpp.

                                                  {
    Period prevTenor(0, Days);
    for (size_t i = 0; i < tenors_.size(); ++i) {
        QL_REQUIRE(tenors_[i] > prevTenor, "Tenors need to be sorted and larger than 0 * Days");
    }
 
    // Ensure detachmentpoints are sorted and between 0.0 and 1.0
    double prevDetachmentPoint = 0.0;
    for (size_t i = 0; i < detachmentPoints_.size(); ++i) {
        QL_REQUIRE(detachmentPoints_[i] > prevDetachmentPoint,
                   "Detachmentpoints need to be sorted and between (0, 1].");
        QL_REQUIRE(detachmentPoints_[i] < 1.0 || QuantLib::close_enough(detachmentPoints_[i], 1.0),
                   "Detachmentpoints need to be sorted and between (0, 1].");
    }
}

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initializeDatesAndTimes()

void initializeDatesAndTimes ( ) const

private

Definition at line 64 of file basecorrelationstructure.cpp.

                                                                 {
    const Date& refDate = referenceDate();
    Date start = startDate_ == Date() ? refDate : startDate_;
    Calendar cldr = calendar();
 
    for (Size i = 0; i < tenors_.size(); i++) {
        Date d;
        if (rule_) {
            d = start + tenors_[i];
            if (*rule_ == DateGeneration::CDS2015 || *rule_ == DateGeneration::CDS ||
                *rule_ == DateGeneration::OldCDS) {
                d = cdsMaturity(start, tenors_[i], *rule_);
            }
        } else {
            d = cldr.advance(start, tenors_[i], bdc_);
        }
 
        dates_.push_back(d);
        times_.push_back(timeFromReference(d));
 
        QL_REQUIRE(!dates_.empty(), "no dates left after removing expired dates");
    }
}

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checkRange()

void checkRange ( Time  t, Real  strike, bool  extrapolate  ) const

overrideprotectedvirtual

Extra time range check for minimum time, then calls TermStructure::checkRange.

Reimplemented from CorrelationTermStructure.

Definition at line 88 of file basecorrelationstructure.cpp.

                                                                                         {
    bool extrapolationNeeded =
        t < minTime() || t > maxTime() || strike < minDetachmentPoint() || strike > maxDetachmentPoint();
    QL_REQUIRE(extrapolate || allowsExtrapolation() || !extrapolationNeeded,
               "No extrapolation allowed,  require t = "
                   << t << " to be between (" << minTime() << ", " << maxTime() << ") and detachmentPoint = " << strike
                   << " to be between (" << minDetachmentPoint() << ", " << maxDetachmentPoint() << ").");
}

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Member Data Documentation

bdc_

BusinessDayConvention bdc_

private

Definition at line 75 of file basecorrelationstructure.hpp.

startDate_

Date startDate_

private

Definition at line 76 of file basecorrelationstructure.hpp.

rule_

boost::optional<DateGeneration::Rule> rule_

private

Definition at line 77 of file basecorrelationstructure.hpp.

tenors_

std::vector<Period> tenors_

protected

Definition at line 86 of file basecorrelationstructure.hpp.

detachmentPoints_

std::vector<double> detachmentPoints_

protected

Definition at line 87 of file basecorrelationstructure.hpp.

dates_

std::vector<Date> dates_

mutableprotected

Definition at line 88 of file basecorrelationstructure.hpp.

times_

std::vector<double> times_

mutableprotected

Definition at line 89 of file basecorrelationstructure.hpp.