DiscountingRiskyBondEngineMultiState Class Reference

#include <qle/pricingengines/discountingriskybondenginemultistate.hpp>

Inheritance diagram for DiscountingRiskyBondEngineMultiState:

Collaboration diagram for DiscountingRiskyBondEngineMultiState:

Public Member Functions
	DiscountingRiskyBondEngineMultiState (const Handle< YieldTermStructure > &discountCurve, const std::vector< Handle< DefaultProbabilityTermStructure > > &defaultCurves, const std::vector< Handle< Quote > > &recoveryRates, const Size mainResultState, const Handle< Quote > &securitySpread, Period timestepPeriod, const boost::optional< bool > includeSettlementDateFlows=boost::none)
void	calculate () const
Real	calculateNpv (const Size state) const
Real	calculateDefaultValue () const
Handle< YieldTermStructure >	discountCurve () const
const std::vector< Handle< DefaultProbabilityTermStructure > > &	defaultCurves () const
const std::vector< Handle< Quote > > &	recoveryRates () const
Handle< Quote >	securitySpread () const
Public Member Functions inherited from DiscountingRiskyBondEngine
	DiscountingRiskyBondEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< DefaultProbabilityTermStructure > &defaultCurve, const Handle< Quote > &recoveryRate, const Handle< Quote > &securitySpread, Period timestepPeriod, boost::optional< bool > includeSettlementDateFlows=boost::none)
	DiscountingRiskyBondEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &securitySpread, Period timestepPeriod, boost::optional< bool > includeSettlementDateFlows=boost::none)
	alternative constructor (does not require default curve or recovery rate) More...
void	calculate () const override
BondNPVCalculationResults	calculateNpv (const Date &npvDate, const Date &settlementDate, const Leg &cashflows, boost::optional< bool > includeSettlementDateFlows=boost::none, const Handle< YieldTermStructure > &incomeCurve=Handle< YieldTermStructure >(), const bool conditionalOnSurvival=true, const bool additionalResults=true) const
Handle< YieldTermStructure >	discountCurve () const
Handle< DefaultProbabilityTermStructure >	defaultCurve () const
Handle< Quote >	recoveryRate () const
Handle< Quote >	securitySpread () const

Private Member Functions
void	linkCurves (Size i) const

Private Attributes
const std::vector< Handle< DefaultProbabilityTermStructure > >	defaultCurves_
const std::vector< Handle< Quote > >	recoveryRates_
const Size	mainResultState_

Additional Inherited Members
Protected Attributes inherited from DiscountingRiskyBondEngine
Handle< YieldTermStructure >	discountCurve_
Handle< DefaultProbabilityTermStructure >	defaultCurve_
Handle< Quote >	recoveryRate_
Handle< Quote >	securitySpread_
Period	timestepPeriod_
boost::optional< bool >	includeSettlementDateFlows_

Detailed Description

The engine takes a vector of default curves and recovery rates. For the given main result state it will produce the same results as the MidPointCdsEngine. In addition a result with label "stateNPV" is produced containing the NPV for each given default curve / recovery rate and an additional entry with a default value w.r.t. the last given recovery rate in the vector.

Definition at line 36 of file discountingriskybondenginemultistate.hpp.

Constructor & Destructor Documentation

DiscountingRiskyBondEngineMultiState()

DiscountingRiskyBondEngineMultiState	(	const Handle< YieldTermStructure > &	discountCurve,
		const std::vector< Handle< DefaultProbabilityTermStructure > > &	defaultCurves,
		const std::vector< Handle< Quote > > &	recoveryRates,
		const Size	mainResultState,
		const Handle< Quote > &	securitySpread,
		Period	timestepPeriod,
		const boost::optional< bool >	includeSettlementDateFlows = boost::none
	)

Definition at line 30 of file discountingriskybondenginemultistate.cpp.

    : DiscountingRiskyBondEngine(discountCurve, Handle<DefaultProbabilityTermStructure>(), Handle<Quote>(),
                                 securitySpread, timestepPeriod, includeSettlementDateFlows),
      defaultCurves_(defaultCurves), recoveryRates_(recoveryRates), mainResultState_(mainResultState) {
    QL_REQUIRE(!defaultCurves.empty(), "DiscountingRiskBondEngineMultiState: no default curves / recovery rates given");
    for (auto const& h : defaultCurves_) {
        registerWith(h);
    }
    for (auto const& r : recoveryRates_) {
        registerWith(r);
    }
    QL_REQUIRE(mainResultState < defaultCurves.size(), "DiscountingRiskBondEngineMultiState: mainResultState ("
                                                           << mainResultState << ") out of range 0..."
                                                           << defaultCurves.size() - 1);
}

Here is the call graph for this function:

Member Function Documentation

calculate()

void calculate

(

)

const

Definition at line 55 of file discountingriskybondenginemultistate.cpp.

                                                           {
 
    // calculate all states except the main states
 
    std::vector<Real> values(defaultCurves_.size() + 1);
    for (Size i = 0; i < defaultCurves_.size(); ++i) {
        if (i == mainResultState_)
            continue;
        linkCurves(i);
        DiscountingRiskyBondEngine::calculate();
        values[i] = results_.value;
    }
 
    // calculate the main state last to keep the results from this calculation
 
    linkCurves(mainResultState_);
    DiscountingRiskyBondEngine::calculate();
    values[mainResultState_] = results_.value;
 
    // calculate the default state
 
    values.back() = calculateDefaultValue();
 
    // set additional result
 
    results_.additionalResults["stateNpv"] = values;
}

Here is the call graph for this function:

calculateNpv()

Real calculateNpv

(

const Size

state

)

const

calculateDefaultValue()

Real calculateDefaultValue

(

)

const

Definition at line 83 of file discountingriskybondenginemultistate.cpp.

                                                                       {
    Date npvDate = discountCurve_->referenceDate();
    for (auto& cf : arguments_.cashflows) {
        if (cf->hasOccurred(npvDate, includeSettlementDateFlows_))
            continue;
        QuantLib::ext::shared_ptr<Coupon> coupon = QuantLib::ext::dynamic_pointer_cast<Coupon>(cf);
        if (coupon) {
            return coupon->nominal() * recoveryRates_.back()->value();
        }
    }
    // FIXME handle bonds without coupons
    QL_FAIL("could not calculated default value, no alive coupons found");
}

Here is the caller graph for this function:

discountCurve()

Handle< YieldTermStructure > discountCurve

(

)

const

Definition at line 47 of file discountingriskybondenginemultistate.hpp.

{ return discountCurve_; };

defaultCurves()

const std::vector< Handle< DefaultProbabilityTermStructure > > & defaultCurves

(

)

const

Definition at line 48 of file discountingriskybondenginemultistate.hpp.

{ return defaultCurves_; };

Here is the caller graph for this function:

recoveryRates()

const std::vector< Handle< Quote > > & recoveryRates

(

)

const

Definition at line 49 of file discountingriskybondenginemultistate.hpp.

{ return recoveryRates_; };

securitySpread()

Handle< Quote > securitySpread

(

)

const

Definition at line 50 of file discountingriskybondenginemultistate.hpp.

{ return securitySpread_; };

linkCurves()

void linkCurves ( Size  i ) const

private

Definition at line 50 of file discountingriskybondenginemultistate.cpp.

                                                                  {
    defaultCurve_ = defaultCurves_[i];
    recoveryRate_ = recoveryRates_[i];
}

Here is the caller graph for this function:

Member Data Documentation

defaultCurves_

const std::vector<Handle<DefaultProbabilityTermStructure> > defaultCurves_

private

Definition at line 54 of file discountingriskybondenginemultistate.hpp.

recoveryRates_

const std::vector<Handle<Quote> > recoveryRates_

private

Definition at line 55 of file discountingriskybondenginemultistate.hpp.

mainResultState_

const Size mainResultState_

private

Definition at line 56 of file discountingriskybondenginemultistate.hpp.