montecarlocatbondengine.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2012, 2013 Grzegorz Andruszkiewicz
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file montecarlocatbondengine.hpp
    \brief Monte Carlo pricing engine for cat bonds
*/
 
#ifndef quantlib_montecarlo_catbond_engine_hpp
#define quantlib_montecarlo_catbond_engine_hpp
 
#include <ql/optional.hpp>
#include <ql/experimental/catbonds/catbond.hpp>
 
namespace QuantLib {
 
    class MonteCarloCatBondEngine :
        public CatBond::engine
    {
    public:
      explicit MonteCarloCatBondEngine(
          ext::shared_ptr<CatRisk> catRisk,
          Handle<YieldTermStructure> discountCurve = Handle<YieldTermStructure>(),
          const ext::optional<bool>& includeSettlementDateFlows = ext::nullopt);
      void calculate() const override;
      Handle<YieldTermStructure> discountCurve() const { return discountCurve_; }
    protected:
      Real cashFlowRiskyValue(const ext::shared_ptr<CashFlow>& cf,
                              const NotionalPath& notionalPath) const;
 
      Real npv(bool includeSettlementDateFlows,
               Date settlementDate,
               Date npvDate,
               Real& lossProbability,
               Real& exhaustionProbability,
               Real& expectedLoss) const;
 
      Real pathNpv(bool includeSettlementDateFlows,
                   Date settlementDate,
                   const NotionalPath& notionalPath) const;
 
    private:
      ext::shared_ptr<CatRisk> catRisk_;
      Handle<YieldTermStructure> discountCurve_;
      ext::optional<bool> includeSettlementDateFlows_;
    };
 
}
 
#endif