MidPointIndexCdsEngine Class Reference

#include <qle/pricingengines/midpointindexcdsengine.hpp>

Inheritance diagram for MidPointIndexCdsEngine:

Collaboration diagram for MidPointIndexCdsEngine:

Public Member Functions
	MidPointIndexCdsEngine (const Handle< DefaultProbabilityTermStructure > &, Real recoveryRate, const Handle< YieldTermStructure > &discountCurve, boost::optional< bool > includeSettlementDateFlows=boost::none)
	MidPointIndexCdsEngine (const std::vector< Handle< DefaultProbabilityTermStructure > > &, const std::vector< Real > &underlyingRecoveryRate, const Handle< YieldTermStructure > &discountCurve, boost::optional< bool > includeSettlementDateFlows=boost::none)
void	calculate () const override

Private Member Functions
Real	survivalProbability (const Date &d) const override
Real	defaultProbability (const Date &d1, const Date &d2) const override
Real	expectedLoss (const Date &defaultDate, const Date &d1, const Date &d2, const Real notional) const override

Private Attributes
Handle< DefaultProbabilityTermStructure >	probability_
Real	recoveryRate_
const std::vector< Handle< DefaultProbabilityTermStructure > >	underlyingProbability_
const std::vector< Real >	underlyingRecoveryRate_
const bool	useUnderlyingCurves_

Detailed Description

Definition at line 33 of file midpointindexcdsengine.hpp.

Constructor & Destructor Documentation

MidPointIndexCdsEngine() [1/2]

MidPointIndexCdsEngine	(	const Handle< DefaultProbabilityTermStructure > &	probability,
		Real	recoveryRate,
		const Handle< YieldTermStructure > &	discountCurve,
		boost::optional< bool >	includeSettlementDateFlows = boost::none
	)

Definition at line 25 of file midpointindexcdsengine.cpp.

    : MidPointCdsEngineBase(discountCurve, includeSettlementDateFlows), probability_(probability),
      recoveryRate_(recoveryRate), useUnderlyingCurves_(false) {
    registerWith(discountCurve_);
    registerWith(probability_);
}

MidPointIndexCdsEngine() [2/2]

MidPointIndexCdsEngine	(	const std::vector< Handle< DefaultProbabilityTermStructure > > &	underlyingProbability,
		const std::vector< Real > &	underlyingRecoveryRate,
		const Handle< YieldTermStructure > &	discountCurve,
		boost::optional< bool >	includeSettlementDateFlows = boost::none
	)

Definition at line 34 of file midpointindexcdsengine.cpp.

    : MidPointCdsEngineBase(discountCurve, includeSettlementDateFlows), underlyingProbability_(underlyingProbability),
      underlyingRecoveryRate_(underlyingRecoveryRate), useUnderlyingCurves_(true) {
    registerWith(discountCurve_);
    for (Size i = 0; i < underlyingProbability_.size(); ++i)
        registerWith(underlyingProbability_[i]);
}

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 81 of file midpointindexcdsengine.cpp.

                                             {
    QL_REQUIRE(!discountCurve_.empty(), "no discount term structure set");
    Date refDate;
    if (useUnderlyingCurves_) {
        QL_REQUIRE(underlyingProbability_.size() == arguments_.underlyingNotionals.size(),
                   "number of underlyings (" << arguments_.underlyingNotionals.size()
                                             << ") does not match number of curves (" << underlyingProbability_.size()
                                             << ")");
        for (Size i = 0; i < underlyingProbability_.size(); ++i)
            QL_REQUIRE(!underlyingProbability_.empty(), "no probability term structure set for underlying " << i);
        refDate = underlyingProbability_.front()->referenceDate();
    } else {
        QL_REQUIRE(!probability_.empty(), "no probability term structure set");
        refDate = probability_->referenceDate();
    }
 
    MidPointCdsEngineBase::calculate(refDate, arguments_, results_);
}

survivalProbability()

Real survivalProbability ( const Date &  d ) const

overrideprivate

Definition at line 45 of file midpointindexcdsengine.cpp.

                                                                    {
    if (!useUnderlyingCurves_)
        return probability_->survivalProbability(d);
    Real sum = 0.0, sumNotional = 0.0;
    for (Size i = 0; i < underlyingProbability_.size(); ++i) {
        sum += underlyingProbability_[i]->survivalProbability(d) * arguments_.underlyingNotionals[i];
        sumNotional += arguments_.underlyingNotionals[i];
    }
    return sum / sumNotional;
}

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defaultProbability()

Real defaultProbability ( const Date &  d1, const Date &  d2  ) const

overrideprivate

Definition at line 56 of file midpointindexcdsengine.cpp.

                                                                                    {
    if (!useUnderlyingCurves_)
        return probability_->defaultProbability(d1, d2);
    Real sum = 0.0, sumNotional = 0.0;
    for (Size i = 0; i < underlyingProbability_.size(); ++i) {
        sum += underlyingProbability_[i]->defaultProbability(d1, d2) * arguments_.underlyingNotionals[i];
        sumNotional += arguments_.underlyingNotionals[i];
    }
    return sum / sumNotional;
}

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expectedLoss()

Real expectedLoss ( const Date &  defaultDate, const Date &  d1, const Date &  d2, const Real  notional  ) const

overrideprivate

Definition at line 67 of file midpointindexcdsengine.cpp.

                                                                     {
    if (!useUnderlyingCurves_)
        return arguments_.claim->amount(defaultDate, notional, recoveryRate_) *
               probability_->defaultProbability(d1, d2);
    Real sum = 0.0, sumNotional = 0.0;
    for (Size i = 0; i < underlyingProbability_.size(); ++i) {
        sum += arguments_.claim->amount(defaultDate, arguments_.underlyingNotionals[i], underlyingRecoveryRate_[i]) *
               underlyingProbability_[i]->defaultProbability(d1, d2);
        sumNotional += arguments_.underlyingNotionals[i];
    }
    return sum / sumNotional * notional;
}

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Member Data Documentation

probability_

Handle<DefaultProbabilityTermStructure> probability_

private

Definition at line 51 of file midpointindexcdsengine.hpp.

recoveryRate_

Real recoveryRate_

private

Definition at line 52 of file midpointindexcdsengine.hpp.

underlyingProbability_

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

private

Definition at line 54 of file midpointindexcdsengine.hpp.

underlyingRecoveryRate_

const std::vector<Real> underlyingRecoveryRate_

private

Definition at line 55 of file midpointindexcdsengine.hpp.

useUnderlyingCurves_

const bool useUnderlyingCurves_

private

Definition at line 57 of file midpointindexcdsengine.hpp.