MidPointCdsEngineMultiState Class Reference

#include <qle/pricingengines/midpointcdsenginemultistate.hpp>

Inheritance diagram for MidPointCdsEngineMultiState:

Collaboration diagram for MidPointCdsEngineMultiState:

Public Member Functions
	MidPointCdsEngineMultiState (const std::vector< Handle< DefaultProbabilityTermStructure > > &defaultCurves, const std::vector< Handle< Quote > > recoveryRates, const Handle< YieldTermStructure > &discountCurve, const Size mainResultState, const boost::optional< bool > includeSettlementDateFlows=boost::none)
void	calculate () const
Handle< YieldTermStructure >	discountCurve () const
const std::vector< Handle< DefaultProbabilityTermStructure > > &	defaultCurves () const
const std::vector< Handle< Quote > > &	recoveryRates () const

Private Member Functions
void	linkCurves (Size i) const
Real	calculateDefaultValue () const

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

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 midpointcdsenginemultistate.hpp.

Constructor & Destructor Documentation

MidPointCdsEngineMultiState()

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

Definition at line 29 of file midpointcdsenginemultistate.cpp.

    : MidPointCdsEngine(Handle<DefaultProbabilityTermStructure>(), 0.0, discountCurve, includeSettlementDateFlows),
      defaultCurves_(defaultCurves), recoveryRates_(recoveryRates), mainResultState_(mainResultState) {
    QL_REQUIRE(defaultCurves.size() == recoveryRates.size(), "MidPointCdsEngineMultiState: number of default curves ("
                                                                 << defaultCurves_.size()
                                                                 << ") must match number of recovery rates ("
                                                                 << recoveryRates_.size() << ")");
    QL_REQUIRE(!defaultCurves.empty(), "MidPointCdsEngineMultiState: 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(), "MidPointCdsEngineMultiState: mainResultState ("
                                                           << mainResultState << ") out of range 0..."
                                                           << defaultCurves.size() - 1);
}

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Member Function Documentation

calculate()

void calculate

(

)

const

Definition at line 56 of file midpointcdsenginemultistate.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);
        MidPointCdsEngine::calculate();
        values[i] = results_.value;
    }
 
    // calculate the main state last to keep the results from this calculation
 
    linkCurves(mainResultState_);
    MidPointCdsEngine::calculate();
    values[mainResultState_] = results_.value;
 
    // calculate the default state
 
    values.back() = calculateDefaultValue();
 
    // set additional result
 
    results_.additionalResults["stateNpv"] = values;
}

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discountCurve()

Handle< YieldTermStructure > discountCurve

(

)

const

Definition at line 44 of file midpointcdsenginemultistate.hpp.

{ return discountCurve_; };

defaultCurves()

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

(

)

const

Definition at line 45 of file midpointcdsenginemultistate.hpp.

{ return defaultCurves_; };

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recoveryRates()

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

(

)

const

Definition at line 46 of file midpointcdsenginemultistate.hpp.

{ return recoveryRates_; };

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linkCurves()

void linkCurves ( Size  i ) const

private

Definition at line 51 of file midpointcdsenginemultistate.cpp.

                                                         {
    probability_ = defaultCurves_[i];
    recoveryRate_ = recoveryRates_[i]->value();
}

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calculateDefaultValue()

Real calculateDefaultValue ( ) const

private

Definition at line 84 of file midpointcdsenginemultistate.cpp.

                                                              {
    Date defaultDate = discountCurve_->referenceDate();
    Real phi = arguments_.side == Protection::Seller ? -1.0 : 1.0;
    return phi * arguments_.claim->amount(defaultDate, arguments_.notional, recoveryRates_.back()->value());
}

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Member Data Documentation

defaultCurves_

std::vector<Handle<DefaultProbabilityTermStructure> > defaultCurves_

private

Definition at line 52 of file midpointcdsenginemultistate.hpp.

recoveryRates_

std::vector<Handle<Quote> > recoveryRates_

private

Definition at line 53 of file midpointcdsenginemultistate.hpp.

mainResultState_

Size mainResultState_

private

Definition at line 54 of file midpointcdsenginemultistate.hpp.