cdo.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Roland Lichters
 
 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_cdo_hpp
#define quantlib_cdo_hpp
 
#include <ql/instrument.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/defaulttermstructure.hpp>
#include <ql/experimental/credit/lossdistribution.hpp>
#include <ql/experimental/credit/onefactorcopula.hpp>
#include <ql/time/schedule.hpp>
 
namespace QuantLib {
 
 
    class CDO : public Instrument {
      public:
        CDO(Real attachment,
            Real detachment,
            std::vector<Real> nominals,
            const std::vector<Handle<DefaultProbabilityTermStructure> >& basket,
            Handle<OneFactorCopula> copula,
            bool protectionSeller,
            Schedule premiumSchedule,
            Rate premiumRate,
            DayCounter dayCounter,
            Rate recoveryRate,
            Rate upfrontPremiumRate,
            Handle<YieldTermStructure> yieldTS,
            Size nBuckets,
            const Period& integrationStep = Period(10, Years));
 
        Real nominal() const { return nominal_; }
        Real lgd() const { return lgd_; }
        Real attachment() const { return attachment_; }
        Real detachment() const { return detachment_; }
        std::vector<Real> nominals() { return nominals_; }
        Size size() { return basket_.size(); }
 
        bool isExpired() const override;
        Rate fairPremium() const;
        Rate premiumValue () const;
        Rate protectionValue () const;
        Size error () const;
 
      private:
        void setupExpired() const override;
        void performCalculations() const override;
        Real expectedTrancheLoss (Date d) const;
 
        Real attachment_;
        Real detachment_;
        std::vector<Real> nominals_;
        std::vector<Handle<DefaultProbabilityTermStructure> > basket_;
        Handle<OneFactorCopula> copula_;
        bool protectionSeller_;
 
        Schedule premiumSchedule_;
        Rate premiumRate_;
        DayCounter dayCounter_;
        Rate recoveryRate_;
        Rate upfrontPremiumRate_;
        Handle<YieldTermStructure> yieldTS_;
        Size nBuckets_; // number of buckets up to detachment point
        Period integrationStep_;
 
        std::vector<Real> lgds_;
 
        Real nominal_;  // total basket volume (sum of nominals_)
        Real lgd_;      // maximum loss given default (sum of lgds_)
        Real xMax_;     // tranche detachment point (tranche_ * nominal_)
        Real xMin_;     // tranche attachment point (tranche_ * nominal_)
 
        mutable Size error_;
 
        mutable Real premiumValue_;
        mutable Real protectionValue_;
        mutable Real upfrontPremiumValue_;
    };
 
}
 
#endif