issuer.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008, 2009 StatPro Italia srl
 Copyright (C) 2009 Jose Aparicio
 
 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.
*/
 
#ifndef quantlib_issuer_hpp
#define quantlib_issuer_hpp
 
#include <ql/experimental/credit/defaultevent.hpp>
#include <ql/experimental/credit/defaultprobabilitykey.hpp>
#include <ql/termstructures/defaulttermstructure.hpp>
#include <set>
#include <vector>
 
namespace QuantLib {
 
    typedef std::set<ext::shared_ptr<DefaultEvent>,
                earlier_than<ext::shared_ptr<DefaultEvent> > >
            DefaultEventSet;
 
    class Issuer {
      public:
        typedef std::pair<DefaultProbKey,
                          Handle<DefaultProbabilityTermStructure> >
                                                               key_curve_pair;
        Issuer(std::vector<key_curve_pair> probabilities = std::vector<key_curve_pair>(),
               DefaultEventSet events = DefaultEventSet());
 
        Issuer(const std::vector<std::vector<ext::shared_ptr<DefaultType> > >& eventTypes,
               const std::vector<Currency>& currencies,
               const std::vector<Seniority>& seniorities,
               const std::vector<Handle<DefaultProbabilityTermStructure> >& curves,
               DefaultEventSet events = DefaultEventSet());
 
 
        const Handle<DefaultProbabilityTermStructure>&
            defaultProbability(const DefaultProbKey& key) const;
 
 
 
 
        //    restructuring type is found, it is returned for
        //    inspection; otherwise, the method returns an empty pointer.
        ext::shared_ptr<DefaultEvent>
        defaultedBetween(const Date& start,
                         const Date& end,
                         const DefaultProbKey& key,
                         bool includeRefDate = false
                         ) const;
 
        std::vector<ext::shared_ptr<DefaultEvent> >
        defaultsBetween(const Date& start,
                        const Date& end,
                        const DefaultProbKey& contractKey,
                        bool includeRefDate
                        ) const ;
      private:
        // vector of pairs preferred over maps for performance
        std::vector<std::pair<DefaultProbKey,
            Handle<DefaultProbabilityTermStructure> > > probabilities_;
        //    for the same event to occur on the same bond several times along
        //    time.
        DefaultEventSet events_;
    };
 
}
 
#endif