SpreadedBaseCorrelationCurve Class Reference

Spreaded Base Correlation Curve. More...

#include <qle/termstructures/credit/spreadedbasecorrelationcurve.hpp>

Inheritance diagram for SpreadedBaseCorrelationCurve:

Collaboration diagram for SpreadedBaseCorrelationCurve:

Public Member Functions
	SpreadedBaseCorrelationCurve (const Handle< BaseCorrelationTermStructure > &baseCurve, const std::vector< Period > &tenors, const std::vector< double > &detachmentPoints, const std::vector< std::vector< Handle< Quote > > > &corrSpreads, const Date &startDate=Date(), boost::optional< DateGeneration::Rule > rule=boost::none)
void	update () override
virtual Date	maxDate () const override
virtual Time	maxTime () const override
virtual Time	minTime () const override
	The minimum time for which the curve can return values. More...
virtual double	minDetachmentPoint () const override
virtual double	maxDetachmentPoint () const override
Public Member Functions inherited from BaseCorrelationTermStructure
	BaseCorrelationTermStructure ()
	BaseCorrelationTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const std::vector< Period > &tenors, const std::vector< double > &detachmentPoints, const DayCounter &dc=DayCounter(), const Date &startDate=Date(), boost::optional< DateGeneration::Rule > rule=boost::none)
	BaseCorrelationTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const std::vector< Period > &tenors, const std::vector< double > &detachmentPoints, const DayCounter &dc=DayCounter(), const Date &startDate=Date(), boost::optional< DateGeneration::Rule > rule=boost::none)
virtual	~BaseCorrelationTermStructure ()=default
virtual Date	maxDate () const override
virtual Time	maxTime () const override
virtual Time	minTime () const override
	The minimum time for which the curve can return values. More...
virtual double	minDetachmentPoint () const
virtual double	maxDetachmentPoint () const
std::vector< double >	times () const
std::vector< double >	detachmentPoints () const
std::vector< Date >	dates () const
BusinessDayConvention	businessDayConvention () const
Date	startDate () const
boost::optional< DateGeneration::Rule >	rule () const
Public Member Functions inherited from CorrelationTermStructure
	CorrelationTermStructure (const DayCounter &dc=DayCounter())
	CorrelationTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter())
	CorrelationTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter())
Real	correlation (Time t, Real strike=Null< Real >(), bool extrapolate=false) const
Real	correlation (const Date &d, Real strike=Null< Real >(), bool extrapolate=false) const

Private Member Functions
Real	correlationImpl (Time t, Real strike) const override
	Correlation calculation. More...
void	performCalculations () const override

Private Attributes
Handle< BaseCorrelationTermStructure >	baseCurve_
std::vector< std::vector< Handle< Quote > > >	corrSpreads_
Matrix	data_
Interpolation2D	interpolation_

Additional Inherited Members
Protected Member Functions inherited from BaseCorrelationTermStructure
virtual void	checkRange (Time t, Real strike, bool extrapolate) const override
	Extra time range check for minimum time, then calls TermStructure::checkRange. More...
Calculations
This method must be implemented in derived classes to perform the actual calculations.
Protected Attributes inherited from BaseCorrelationTermStructure
std::vector< Period >	tenors_
std::vector< double >	detachmentPoints_
std::vector< Date >	dates_
std::vector< double >	times_

Detailed Description

Spreaded Base Correlation Curve.

Definition at line 33 of file spreadedbasecorrelationcurve.hpp.

Constructor & Destructor Documentation

SpreadedBaseCorrelationCurve()

SpreadedBaseCorrelationCurve	(	const Handle< BaseCorrelationTermStructure > &	baseCurve,
		const std::vector< Period > &	tenors,
		const std::vector< double > &	detachmentPoints,
		const std::vector< std::vector< Handle< Quote > > > &	corrSpreads,
		const Date &	startDate = Date(),
		boost::optional< DateGeneration::Rule >	rule = boost::none
	)

Definition at line 26 of file spreadedbasecorrelationcurve.cpp.

    : BaseCorrelationTermStructure(baseCurve->settlementDays(), baseCurve->calendar(),
                                   baseCurve->businessDayConvention(), tenors, detachmentPoints,
                                   baseCurve->dayCounter(), startDate, rule),
      baseCurve_(baseCurve), corrSpreads_(corrSpreads), data_(detachmentPoints_.size(), tenors.size(), 0.0) {
    // Check times and detachment points
 
    QL_REQUIRE(!times_.empty(), "SpreadedCorrelationCurve: time points are empty");
    QL_REQUIRE(!detachmentPoints_.empty(), "SpreadedBaseCorrelationCurve: detachmentPoints are empty");
 
    QL_REQUIRE(corrSpreads_.size() == detachmentPoints_.size(), "Mismatch between tenors and correlation quotes");
    for (const auto& row : this->corrSpreads_) {
        QL_REQUIRE(row.size() == tenors_.size(), "Mismatch between number of detachment points and quotes");
    }
 
    for (auto const& row : corrSpreads_)
        for (auto const& q : row)
            registerWith(q);
 
    interpolation_ = BilinearFlat().interpolate(times_.begin(), times_.end(), detachmentPoints_.begin(),
                                                detachmentPoints_.end(), data_);
    interpolation_.enableExtrapolation();
    registerWith(baseCurve_);
}

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Member Function Documentation

update()

void update ( )

override

Definition at line 56 of file spreadedbasecorrelationcurve.cpp.

                                          {
    LazyObject::update();
    BaseCorrelationTermStructure::update();
}

maxDate()

virtual Date maxDate ( ) const

overridevirtual

Reimplemented from BaseCorrelationTermStructure.

Definition at line 44 of file spreadedbasecorrelationcurve.hpp.

{ return baseCurve_->maxDate(); }

maxTime()

virtual Time maxTime ( ) const

overridevirtual

Reimplemented from BaseCorrelationTermStructure.

Definition at line 46 of file spreadedbasecorrelationcurve.hpp.

{ return baseCurve_->maxTime(); }

minTime()

virtual Time minTime ( ) const

overridevirtual

The minimum time for which the curve can return values.

Reimplemented from BaseCorrelationTermStructure.

Definition at line 47 of file spreadedbasecorrelationcurve.hpp.

{ return baseCurve_->minTime(); }

minDetachmentPoint()

virtual double minDetachmentPoint ( ) const

overridevirtual

Reimplemented from BaseCorrelationTermStructure.

Definition at line 49 of file spreadedbasecorrelationcurve.hpp.

{ return baseCurve_->minDetachmentPoint(); }

maxDetachmentPoint()

virtual double maxDetachmentPoint ( ) const

overridevirtual

Reimplemented from BaseCorrelationTermStructure.

Definition at line 50 of file spreadedbasecorrelationcurve.hpp.

{ return baseCurve_->maxDetachmentPoint(); }

correlationImpl()

Real correlationImpl ( Time  t, Real  strike  ) const

overrideprivatevirtual

Correlation calculation.

Implements CorrelationTermStructure.

Definition at line 61 of file spreadedbasecorrelationcurve.cpp.

                                                                                     {
    calculate();
    return std::min(
        1.0 - QL_EPSILON,
        std::max(baseCurve_->correlation(t, detachmentPoint) + interpolation_(t, detachmentPoint), QL_EPSILON));
}

performCalculations()

void performCalculations ( ) const

overrideprivate

Definition at line 68 of file spreadedbasecorrelationcurve.cpp.

                                                             {
    for (Size i = 0; i < this->detachmentPoints_.size(); ++i)
        for (Size j = 0; j < this->times_.size(); ++j)
            this->data_[i][j] = corrSpreads_[i][j]->value();
    interpolation_.update();
}

Member Data Documentation

baseCurve_

Handle<BaseCorrelationTermStructure> baseCurve_

private

Definition at line 55 of file spreadedbasecorrelationcurve.hpp.

corrSpreads_

std::vector<std::vector<Handle<Quote> > > corrSpreads_

private

Definition at line 56 of file spreadedbasecorrelationcurve.hpp.

data_

Matrix data_

mutableprivate

Definition at line 57 of file spreadedbasecorrelationcurve.hpp.

interpolation_

Interpolation2D interpolation_

mutableprivate

Definition at line 58 of file spreadedbasecorrelationcurve.hpp.