midpointcdoengine.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Roland Lichters
 Copyright (C) 2009, 2014 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_midpoint_cdo_engine_hpp
#define quantlib_midpoint_cdo_engine_hpp
 
#include <ql/qldefines.hpp>
 
#ifndef QL_PATCH_SOLARIS
 
#include <ql/experimental/credit/syntheticcdo.hpp>
#    include <utility>
 
namespace QuantLib {
 
    class YieldTermStructure;
 
 
    /* The engine obtains the cdo reference basket from its arguments and it 
    is expecting it to have a default model assigned. 
    */
    /* FIX ME: ASSUMES basket->expectedTrancheLoss(endDate) includes past 
    realized losses (between cdo inception and calculation time) .... what if 
    basket inception is not the same as CDO's ?????
 
    \todo non tested under realized defaults. JTD metrics might be invalid
    */
    class MidPointCDOEngine : public SyntheticCDO::engine {
    public:
      explicit MidPointCDOEngine(Handle<YieldTermStructure> discountCurve)
      : discountCurve_(std::move(discountCurve)) {}
      void calculate() const override;
 
    protected:
      Handle<YieldTermStructure> discountCurve_;
    };
 
}
 
#endif
 
#endif