multi section default ts More...

#include <qle/termstructures/multisectiondefaultcurve.hpp>

Inheritance diagram for MultiSectionDefaultCurve:

Collaboration diagram for MultiSectionDefaultCurve:

Public Member Functions
	MultiSectionDefaultCurve (const std::vector< Handle< DefaultProbabilityTermStructure > > &sourceCurves, const std::vector< Handle< Quote > > recoveryRates, const std::vector< Date > &switchDates, const Handle< Quote > recoveryRate, const DayCounter &dayCounter, const bool extrapolate)

Date	maxDate () const override

const Date &	referenceDate () const override

Protected Member Functions
Real	survivalProbabilityImpl (Time t) const override

void	update () override

Protected Attributes
const std::vector< Handle< DefaultProbabilityTermStructure > >	sourceCurves_

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

const std::vector< Date >	switchDates_

const Handle< Quote >	recoveryRate_

std::vector< Time >	switchTimes_

Detailed Description

multi section default ts

the instantaneous hazard rate is defined by the ith source curve for dates before the ith switch date and after the (i-1)th switch date; all source curves must be consistently floating or fixed and have the same reference date always; the day counter of all source curves should coincide with the dc of this curve

Definition at line 37 of file multisectiondefaultcurve.hpp.

Constructor & Destructor Documentation

◆ MultiSectionDefaultCurve()

MultiSectionDefaultCurve	(	const std::vector< Handle< DefaultProbabilityTermStructure > > &	sourceCurves,
		const std::vector< Handle< Quote > >	recoveryRates,
		const std::vector< Date > &	switchDates,
		const Handle< Quote >	recoveryRate,
		const DayCounter &	dayCounter,
		const bool	extrapolate
	)

Definition at line 39 of file multisectiondefaultcurve.hpp.

        : SurvivalProbabilityStructure(dayCounter), sourceCurves_(sourceCurves), recoveryRates_(recoveryRates),
          switchDates_(switchDates), recoveryRate_(recoveryRate) {
        QL_REQUIRE(!sourceCurves_.empty(), "no source curves given");
        QL_REQUIRE(sourceCurves_.size() - 1 == switchDates_.size(),
                   "source curve size (" << sourceCurves_.size() << ") minus 1 and switch dates size ("
                                         << switchDates_.size() << ") do not match");
        QL_REQUIRE(sourceCurves_.size() == recoveryRates_.size(),
                   "source curve size (" << sourceCurves_.size() << ") must match recovery rates size ("
                                         << recoveryRates_.size() << ")");
        switchTimes_.resize(switchDates_.size());
        for (Size i = 1; i < switchDates_.size(); ++i) {
            QL_REQUIRE(switchDates_[i] > switchDates_[i - 1], "switch dates must be strictly ascending, got "
                                                                  << switchDates_[i - 1] << ", " << switchDates_[i]
                                                                  << " at indices " << i - 1 << ", " << i);
        }
        for (auto const& s : sourceCurves_)
            registerWith(s);
        for (auto const& r : recoveryRates_)
            registerWith(r);
        enableExtrapolation(extrapolate);
        update();
    }

Here is the call graph for this function:

Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

override

Definition at line 65 of file multisectiondefaultcurve.hpp.

65{ return sourceCurves_.back()->maxDate(); }

◆ referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 66 of file multisectiondefaultcurve.hpp.

66{ return sourceCurves_.front()->referenceDate(); }

◆ survivalProbabilityImpl()

Real survivalProbabilityImpl ( Time t ) const

overrideprotected

Definition at line 69 of file multisectiondefaultcurve.hpp.

                                                        {
        Size idx = std::lower_bound(switchTimes_.begin(), switchTimes_.end(), t,
                                    [](const Real s, const Real t) { return s < t && !QuantLib::close_enough(s, t); }) -
                   switchTimes_.begin();
        QL_REQUIRE(idx < sourceCurves_.size(), "internal error: source curve index is "
                                                   << idx << ", number of source curves is " << sourceCurves_.size());
        Real prob = 1.0;
        for (Size i = 0; i < idx; ++i) {
            Real t0 = i == 0 ? 0.0 : std::max(switchTimes_[i - 1], 0.0);
            Real t1 = switchTimes_[i];
            if (t1 > 0.0)
                prob *= std::pow(sourceCurves_[i]->survivalProbability(t1) / sourceCurves_[i]->survivalProbability(t0),
                                 1.0 - recoveryRates_[i]->value());
        }
        // we know that t > 0
        Real t0 = idx == 0 ? 0.0 : std::max(switchTimes_[idx - 1], 0.0);
        prob *= std::pow(sourceCurves_[idx]->survivalProbability(t) / sourceCurves_[idx]->survivalProbability(t0),
                         1.0 - recoveryRates_[idx]->value());
        prob = std::pow(prob, 1.0 / (1.0 - recoveryRate_->value()));
        return prob;
    }

◆ update()

void update ( )

overrideprotected

Definition at line 90 of file multisectiondefaultcurve.hpp.

                           {
        SurvivalProbabilityStructure::update();
        for (Size i = 0; i < switchDates_.size(); ++i)
            switchTimes_[i] = timeFromReference(switchDates_[i]);
    }