IndexCdsOptionBaseEngine Class Reference

#include <qle/pricingengines/indexcdsoptionbaseengine.hpp>

Inheritance diagram for IndexCdsOptionBaseEngine:

Collaboration diagram for IndexCdsOptionBaseEngine:

Public Member Functions
	IndexCdsOptionBaseEngine (const QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > &probability, QuantLib::Real recovery, const Handle< YieldTermStructure > &discountSwapCurrency, const Handle< YieldTermStructure > &discountTradeCollateral, const QuantLib::Handle< QuantExt::CreditVolCurve > &volatility)
	Constructor taking a default probability term structure bootstrapped from the index spreads. More...
	IndexCdsOptionBaseEngine (const std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > > &probabilities, const std::vector< QuantLib::Real > &recoveries, const Handle< YieldTermStructure > &discountSwapCurrency, const Handle< YieldTermStructure > &discountTradeCollateral, const QuantLib::Handle< QuantExt::CreditVolCurve > &volatility, QuantLib::Real indexRecovery=QuantLib::Null< QuantLib::Real >())
Inspectors
const std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > > &	probabilities () const
const std::vector< QuantLib::Real > &	recoveries () const
const QuantLib::Handle< QuantLib::YieldTermStructure >	discountSwapCurrency () const
const QuantLib::Handle< QuantLib::YieldTermStructure >	discountTradeCollateral () const
const QuantLib::Handle< QuantExt::CreditVolCurve >	volatility () const

Instrument interface
std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > >	probabilities_
	Store inputs. More...
std::vector< QuantLib::Real >	recoveries_
QuantLib::Handle< QuantLib::YieldTermStructure >	discountSwapCurrency_
QuantLib::Handle< QuantLib::YieldTermStructure >	discountTradeCollateral_
QuantLib::Handle< QuantExt::CreditVolCurve >	volatility_
QuantLib::Real	indexRecovery_
	Assumed index recovery used in the flat strike spread curve calculation if provided. More...
std::vector< QuantLib::Real >	notionals_
	Store the underlying index CDS notional(s) during calculation. More...
void	calculate () const override
virtual void	doCalc () const =0
	Engine specific calculation. More...
void	registerWithMarket ()
	Register with market data. More...
QuantLib::Real	fep () const
	Calculate the discounted value of the front end protection. More...

Detailed Description

Definition at line 31 of file indexcdsoptionbaseengine.hpp.

Constructor & Destructor Documentation

IndexCdsOptionBaseEngine() [1/2]

IndexCdsOptionBaseEngine	(	const QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > &	probability,
		QuantLib::Real	recovery,
		const Handle< YieldTermStructure > &	discountSwapCurrency,
		const Handle< YieldTermStructure > &	discountTradeCollateral,
		const QuantLib::Handle< QuantExt::CreditVolCurve > &	volatility
	)

Constructor taking a default probability term structure bootstrapped from the index spreads.

IndexCdsOptionBaseEngine() [2/2]

IndexCdsOptionBaseEngine	(	const std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > > &	probabilities,
		const std::vector< QuantLib::Real > &	recoveries,
		const Handle< YieldTermStructure > &	discountSwapCurrency,
		const Handle< YieldTermStructure > &	discountTradeCollateral,
		const QuantLib::Handle< QuantExt::CreditVolCurve > &	volatility,
		QuantLib::Real	indexRecovery = QuantLib::Null< QuantLib::Real >()
	)

Constructor taking a vector of default probability term structures bootstrapped from the index constituent spread curves and a vector of associated recovery rates.

Member Function Documentation

probabilities()

const vector< Handle< DefaultProbabilityTermStructure > > & probabilities

(

)

const

Definition at line 69 of file indexcdsoptionbaseengine.cpp.

                                                                                                     {
    return probabilities_;
}

recoveries()

const vector< Real > & recoveries

(

)

const

Definition at line 73 of file indexcdsoptionbaseengine.cpp.

{ return recoveries_; }

discountSwapCurrency()

const Handle< YieldTermStructure > discountSwapCurrency

(

)

const

Definition at line 75 of file indexcdsoptionbaseengine.cpp.

                                                                                      {
    return discountSwapCurrency_;
}

discountTradeCollateral()

const Handle< YieldTermStructure > discountTradeCollateral

(

)

const

Definition at line 79 of file indexcdsoptionbaseengine.cpp.

                                                                                         {
    return discountTradeCollateral_;
}

volatility()

const Handle< QuantExt::CreditVolCurve > volatility

(

)

const

Definition at line 83 of file indexcdsoptionbaseengine.cpp.

{ return volatility_; }

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calculate()

void calculate ( ) const

override

Definition at line 85 of file indexcdsoptionbaseengine.cpp.

                                               {
 
    // Underlying index CDS
    const auto& cds = *arguments_.swap;
 
    // If given constituent curves, store constituent notionals. Otherwise, store top level notional.
    if (probabilities_.size() > 1) {
        notionals_ = cds.underlyingNotionals();
        QL_REQUIRE(probabilities_.size() == notionals_.size(), "IndexCdsOptionBaseEngine: mismatch between size"
                                                                   << " of probabilities (" << probabilities_.size()
                                                                   << ") and notionals (" << notionals_.size() << ").");
    } else {
        notionals_ = {cds.notional()};
    }
 
    // Get additional results of underlying index CDS.
    cds.NPV();
    results_.additionalResults = cds.additionalResults();
 
    // call engine-specific calculation
    doCalc();
}

doCalc()

virtual void doCalc ( ) const

protectedpure virtual

Engine specific calculation.

Implemented in BlackIndexCdsOptionEngine, and NumericalIntegrationIndexCdsOptionEngine.

registerWithMarket()

void registerWithMarket ( )

protected

Register with market data.

Definition at line 134 of file indexcdsoptionbaseengine.cpp.

                                                  {
    for (const auto& p : probabilities_)
        registerWith(p);
    registerWith(discountTradeCollateral_);
    registerWith(discountSwapCurrency_);
    registerWith(volatility_);
}

fep()

Real fep ( ) const

protected

Calculate the discounted value of the front end protection.

Definition at line 108 of file indexcdsoptionbaseengine.cpp.

                                         {
 
    // Exercise date
    const Date& exerciseDate = arguments_.exercise->dates().front();
 
    // Realised FEP
    results_.additionalResults["realisedFEP"] = arguments_.realisedFep;
 
    // Unrealised FEP
    Real fep = 0.0;
    for (Size i = 0; i < probabilities_.size(); ++i) {
        fep += (1 - recoveries_[i]) * probabilities_[i]->defaultProbability(exerciseDate) * notionals_[i];
    }
    results_.additionalResults["UnrealisedFEP"] = fep;
 
    // Total FEP
    fep += arguments_.realisedFep;
    results_.additionalResults["FEP"] = fep;
 
    // Discounted FEP
    fep *= discountTradeCollateral_->discount(exerciseDate);
    results_.additionalResults["discountedFEP"] = fep;
 
    return fep;
}

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Member Data Documentation

probabilities_

std::vector<QuantLib::Handle<QuantLib::DefaultProbabilityTermStructure> > probabilities_

protected

Store inputs.

Definition at line 74 of file indexcdsoptionbaseengine.hpp.

recoveries_

std::vector<QuantLib::Real> recoveries_

protected

Definition at line 75 of file indexcdsoptionbaseengine.hpp.

discountSwapCurrency_

QuantLib::Handle<QuantLib::YieldTermStructure> discountSwapCurrency_

protected

Definition at line 76 of file indexcdsoptionbaseengine.hpp.

discountTradeCollateral_

QuantLib::Handle<QuantLib::YieldTermStructure> discountTradeCollateral_

protected

Definition at line 77 of file indexcdsoptionbaseengine.hpp.

volatility_

QuantLib::Handle<QuantExt::CreditVolCurve> volatility_

protected

Definition at line 78 of file indexcdsoptionbaseengine.hpp.

indexRecovery_

QuantLib::Real indexRecovery_

protected

Assumed index recovery used in the flat strike spread curve calculation if provided.

Definition at line 81 of file indexcdsoptionbaseengine.hpp.

notionals_

std::vector<QuantLib::Real> notionals_

mutableprotected

Store the underlying index CDS notional(s) during calculation.

Definition at line 84 of file indexcdsoptionbaseengine.hpp.