#include <qle/instruments/cbo.hpp>

Inheritance diagram for CBO:

Collaboration diagram for CBO:

Classes
class	arguments

class	engine
	CBO base engine. More...

class	results

Public Member Functions
Constructors
	CBO (const QuantLib::ext::shared_ptr< BondBasket > &basket, const QuantLib::Schedule &schedule, Rate seniorFee, const DayCounter &feeDayCounter, const std::vector< Tranche > &tranches, Rate subordinatedFee, Rate equityKicker, const Currency &ccy, const std::string &investedTrancheName)

Inspectors
QuantLib::ext::shared_ptr< BondBasket >	basket () const

Instrument interface
bool	isExpired () const override

void	setupArguments (PricingEngine::arguments *) const override

void	fetchResults (const PricingEngine::results *) const override

Results
QuantLib::ext::shared_ptr< BondBasket >	basket_

Schedule	schedule_

Rate	seniorFee_

DayCounter	feeDayCounter_

std::vector< Tranche >	tranches_

Rate	subordinatedFee_

Rate	equityKicker_

Currency	ccy_

std::string	investedTrancheName_

Real	basketValue_

std::vector< Real >	trancheValue_

Real	feeValue_

Real	subfeeValue_

Real	basketValueStd_

std::vector< Real >	trancheValueStd_

Real	feeValueStd_

Real	subfeeValueStd_

std::vector< CashflowTable >	trancheCashflows_

Real	basketValue () const

std::vector< Real >	trancheValue () const

Rate	feeValue () const

Rate	subfeeValue () const

Real	basketValueStd () const

std::vector< Real >	trancheValueStd () const

Rate	feeValueStd () const

Rate	subfeeValueStd () const

const std::vector< CashflowTable > &	trancheCashflows () const

void	setupExpired () const override

Detailed Description

Definition at line 51 of file cbo.hpp.

Constructor & Destructor Documentation

◆ CBO()

CBO	(	const QuantLib::ext::shared_ptr< BondBasket > &	basket,
		const QuantLib::Schedule &	schedule,
		Rate	seniorFee,
		const DayCounter &	feeDayCounter,
		const std::vector< Tranche > &	tranches,
		Rate	subordinatedFee,
		Rate	equityKicker,
		const Currency &	ccy,
		const std::string &	investedTrancheName
	)

Parameters

basket	Underlying bond basket
schedule	CBO schedule
seniorFee	Senior fee rate to be paid before any cash flow goes to the tranches
feeDayCounter	Fee day counter
tranches	Tranche description
subordinatedFee	Subordinated fee rate to be paid late in the waterfal
equityKicker	Equity kicker
ccy	CBOs currency
investedTrancheName	invested trancheName

Definition at line 27 of file cbo.cpp.

    : basket_(basket), schedule_(schedule), seniorFee_(seniorFee), feeDayCounter_(feeDayCounter),
      tranches_(tranches), subordinatedFee_(subordinatedFee), equityKicker_(equityKicker), ccy_(ccy),
      investedTrancheName_(investedTrancheName) {
    QL_REQUIRE(basket->bonds().size() > 0, "basket is empty");
    QL_REQUIRE(tranches.size() > 0, "no tranches specified");
}

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Member Function Documentation

◆ basket()

QuantLib::ext::shared_ptr< BondBasket > basket ( ) const

Definition at line 79 of file cbo.hpp.

79{ return basket_; }

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◆ isExpired()

bool isExpired ( ) const

override

Definition at line 81 of file cbo.cpp.

                          {
    if (schedule_.dates().back() <= Settings::instance().evaluationDate())
        return true;
    else
        return false;
}

◆ setupArguments()

void setupArguments ( PricingEngine::arguments * args ) const

override

Definition at line 88 of file cbo.cpp.

                                                           {
    CBO::arguments* arguments = dynamic_cast<CBO::arguments*>(args);
    QL_REQUIRE(arguments != 0, "wrong argument type");
    arguments->basket = basket_;
    arguments->schedule = schedule_;
    arguments->seniorFee = seniorFee_;
    arguments->feeDayCounter = feeDayCounter_;
    arguments->tranches = tranches_;
    arguments->equityKicker = equityKicker_;
    arguments->subordinatedFee = subordinatedFee_;
    arguments->ccy = ccy_;
    arguments->investedTrancheName = investedTrancheName_;
 
}

◆ fetchResults()

void fetchResults ( const PricingEngine::results * r ) const

override

Definition at line 103 of file cbo.cpp.

                                                          {
    Instrument::fetchResults(r);
 
    const CBO::results* results = dynamic_cast<const CBO::results*>(r);
    QL_REQUIRE(results != 0, "wrong result type");
 
    basketValue_ = results->basketValue;
    trancheValue_ = results->trancheValue;
    feeValue_ = results->feeValue;
    basketValueStd_ = results->basketValueStd;
    trancheValueStd_ = results->trancheValueStd;
    feeValueStd_ = results->feeValueStd;
    trancheCashflows_ = results->trancheCashflows;
}

◆ basketValue()

Real basketValue ( ) const

Definition at line 46 of file cbo.cpp.

                            {
    calculate();
    return basketValue_;
}

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◆ trancheValue()

std::vector< Real > trancheValue ( ) const

Definition at line 51 of file cbo.cpp.

                                        {
    calculate();
    return trancheValue_;
}

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◆ feeValue()

Real feeValue ( ) const

Definition at line 56 of file cbo.cpp.

                         {
    calculate();
    return feeValue_;
}

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◆ subfeeValue()

Rate subfeeValue ( ) const

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◆ basketValueStd()

Real basketValueStd ( ) const

Definition at line 61 of file cbo.cpp.

                               {
    calculate();
    return basketValueStd_;
}

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◆ trancheValueStd()

std::vector< Real > trancheValueStd ( ) const

Definition at line 66 of file cbo.cpp.

                                           {
    calculate();
    return trancheValueStd_;
}

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◆ feeValueStd()

Real feeValueStd ( ) const

Definition at line 71 of file cbo.cpp.

                            {
    calculate();
    return feeValueStd_;
}

◆ subfeeValueStd()

Rate subfeeValueStd ( ) const

◆ trancheCashflows()

const std::vector< CashflowTable > & trancheCashflows ( ) const

Definition at line 76 of file cbo.cpp.

                                                            {
    calculate();
    return trancheCashflows_;
}

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◆ setupExpired()

void setupExpired ( ) const

overrideprivate

Definition at line 118 of file cbo.cpp.

                             {
    Instrument::setupExpired();
    basketValue_ = 0.0;
    trancheValue_.clear();
    feeValue_ = 0.0;
 
    basketValueStd_ = 0.0;
    trancheValueStd_.clear();
    feeValueStd_ = 0.0;
    trancheCashflows_.clear();
}

Member Data Documentation

◆ basket_

QuantLib::ext::shared_ptr<BondBasket> basket_

private

Definition at line 105 of file cbo.hpp.

◆ schedule_

Schedule schedule_

private

Definition at line 106 of file cbo.hpp.

◆ seniorFee_

Rate seniorFee_

private

Definition at line 107 of file cbo.hpp.

◆ feeDayCounter_

DayCounter feeDayCounter_

private

Definition at line 108 of file cbo.hpp.

◆ tranches_

std::vector<Tranche> tranches_

private

Definition at line 109 of file cbo.hpp.

◆ subordinatedFee_

Rate subordinatedFee_

private

Definition at line 110 of file cbo.hpp.

◆ equityKicker_

Rate equityKicker_

private

Definition at line 111 of file cbo.hpp.

◆ ccy_

Currency ccy_

private

Definition at line 112 of file cbo.hpp.

◆ investedTrancheName_

std::string investedTrancheName_

private

Definition at line 113 of file cbo.hpp.

◆ basketValue_

Real basketValue_

mutableprivate

Definition at line 115 of file cbo.hpp.

◆ trancheValue_

std::vector<Real> trancheValue_

mutableprivate

Definition at line 116 of file cbo.hpp.

◆ feeValue_

Real feeValue_

mutableprivate

Definition at line 117 of file cbo.hpp.

◆ subfeeValue_

Real subfeeValue_

mutableprivate

Definition at line 118 of file cbo.hpp.

◆ basketValueStd_

Real basketValueStd_

mutableprivate

Definition at line 119 of file cbo.hpp.

◆ trancheValueStd_

std::vector<Real> trancheValueStd_

mutableprivate

Definition at line 120 of file cbo.hpp.

◆ feeValueStd_

Real feeValueStd_

mutableprivate

Definition at line 121 of file cbo.hpp.

◆ subfeeValueStd_

Real subfeeValueStd_

mutableprivate

Definition at line 122 of file cbo.hpp.

◆ trancheCashflows_

std::vector<CashflowTable> trancheCashflows_

mutableprivate

Definition at line 123 of file cbo.hpp.

Classes

Public Member Functions

Results

Detailed Description

Constructor & Destructor Documentation

◆ CBO()

Member Function Documentation

◆ basket()

◆ isExpired()

◆ setupArguments()

◆ fetchResults()

◆ basketValue()

◆ trancheValue()

◆ feeValue()

◆ subfeeValue()

◆ basketValueStd()

◆ trancheValueStd()

◆ feeValueStd()

◆ subfeeValueStd()

◆ trancheCashflows()

◆ setupExpired()

Member Data Documentation

◆ basket_

◆ schedule_

◆ seniorFee_

◆ feeDayCounter_

◆ tranches_

◆ subordinatedFee_

◆ equityKicker_

◆ ccy_

◆ investedTrancheName_

◆ basketValue_

◆ trancheValue_

◆ feeValue_

◆ subfeeValue_

◆ basketValueStd_

◆ trancheValueStd_

◆ feeValueStd_

◆ subfeeValueStd_

◆ trancheCashflows_