YieldPlusDefaultYieldTermStructure Class Reference

yield plus default yield term structure More...

#include <qle/termstructures/yieldplusdefaultyieldtermstructure.hpp>

Inheritance diagram for YieldPlusDefaultYieldTermStructure:

Collaboration diagram for YieldPlusDefaultYieldTermStructure:

Public Member Functions
	YieldPlusDefaultYieldTermStructure (const Handle< YieldTermStructure > &yts, const std::vector< Handle< DefaultProbabilityTermStructure > > &df, const std::vector< Handle< Quote > > &rr, const std::vector< Real > &weights)
Date	maxDate () const override
const Date &	referenceDate () const override

Protected Member Functions
Real	discountImpl (Time t) const override

Protected Attributes
const Handle< YieldTermStructure >	yts_
const std::vector< Handle< DefaultProbabilityTermStructure > >	df_
const std::vector< Handle< Quote > >	rr_
const std::vector< Real >	weights_

Detailed Description

yield plus default yield term structure

this yield term structure is defined by discount factors given by a weighted sum of survival probabilities of underlying default curves plus the discount factor of a reference yield curve

Definition at line 37 of file yieldplusdefaultyieldtermstructure.hpp.

Constructor & Destructor Documentation

YieldPlusDefaultYieldTermStructure()

YieldPlusDefaultYieldTermStructure	(	const Handle< YieldTermStructure > &	yts,
		const std::vector< Handle< DefaultProbabilityTermStructure > > &	df,
		const std::vector< Handle< Quote > > &	rr,
		const std::vector< Real > &	weights
	)

Definition at line 39 of file yieldplusdefaultyieldtermstructure.hpp.

        : YieldTermStructure(yts->dayCounter()), yts_(yts), df_(df), rr_(rr), weights_(weights) {
        QL_REQUIRE(df_.size() == weights_.size(), "YieldPlusDefaultYieldTermStructure: default curve size ("
                                                      << df_.size() << ") must match weights size (" << weights_.size()
                                                      << ")");
        QL_REQUIRE(df_.size() == rr_.size(), "YieldPlusDefaultYieldTermStructure: rec rate size ("
                                                 << rr_.size() << ") must match weights size (" << weights_.size()
                                                 << ")");
        // todo check consistent day counters?
        registerWith(yts);
        for (Size i = 0; i < df_.size(); ++i)
            registerWith(df_[i]);
        for (Size i = 0; i < rr_.size(); ++i)
            registerWith(rr_[i]);
    }

Member Function Documentation

maxDate()

Date maxDate ( ) const

override

Definition at line 69 of file yieldplusdefaultyieldtermstructure.hpp.

{ return yts_->maxDate(); }

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 71 of file yieldplusdefaultyieldtermstructure.hpp.

                                                                           {
    // todo check consistent reference dates?
    return yts_->referenceDate();
}

discountImpl()

Real discountImpl ( Time  t ) const

overrideprotected

Definition at line 76 of file yieldplusdefaultyieldtermstructure.hpp.

                                                                         {
    Real d = yts_->discount(t);
    for (Size i = 0; i < df_.size(); ++i) {
        // use implied surv prob adjusted by a factor corresponding to a market value recovery model:
        // adj_S = S^{1-R}
        d *= std::pow(df_[i]->survivalProbability(t), weights_[i] * (1.0 - rr_[i]->value()));
    }
    return d;
}

Member Data Documentation

yts_

const Handle<YieldTermStructure> yts_

protected

Definition at line 61 of file yieldplusdefaultyieldtermstructure.hpp.

df_

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

protected

Definition at line 62 of file yieldplusdefaultyieldtermstructure.hpp.

rr_

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

protected

Definition at line 63 of file yieldplusdefaultyieldtermstructure.hpp.

weights_

const std::vector<Real> weights_

protected

Definition at line 64 of file yieldplusdefaultyieldtermstructure.hpp.