IsdaCdsEngine Class Reference

#include <isdacdsengine.hpp>

Inheritance diagram for IsdaCdsEngine:

Collaboration diagram for IsdaCdsEngine:

Public Types
enum	NumericalFix { None , Taylor }
enum	AccrualBias { HalfDayBias , NoBias }
enum	ForwardsInCouponPeriod { Flat , Piecewise }
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	IsdaCdsEngine (Handle< DefaultProbabilityTermStructure > probability, Real recoveryRate, Handle< YieldTermStructure > discountCurve, const ext::optional< bool > &includeSettlementDateFlows=ext::nullopt, NumericalFix numericalFix=Taylor, AccrualBias accrualBias=HalfDayBias, ForwardsInCouponPeriod forwardsInCouponPeriod=Piecewise)
Handle< YieldTermStructure >	isdaRateCurve () const
Handle< DefaultProbabilityTermStructure >	isdaCreditCurve () const
void	calculate () const override
Public Member Functions inherited from GenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default
virtual arguments *	getArguments () const =0
virtual const results *	getResults () const =0
virtual void	reset ()=0
virtual void	calculate () const =0
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()

Private Attributes
Handle< DefaultProbabilityTermStructure >	probability_
const Real	recoveryRate_
Handle< YieldTermStructure >	discountCurve_
const ext::optional< bool >	includeSettlementDateFlows_
const NumericalFix	numericalFix_
const AccrualBias	accrualBias_
const ForwardsInCouponPeriod	forwardsInCouponPeriod_

Additional Inherited Members
Protected Attributes inherited from GenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results >
CreditDefaultSwap::arguments	arguments_
CreditDefaultSwap::results	results_

Detailed Description

References:

[1] The Pricing and Risk Management of Credit Default Swaps, with a Focus on the ISDA Model, OpenGamma Quantitative Research, Version as of 15-Oct-2013

[2] ISDA CDS Standard Model Proposed Numerical Fix \ Thursday, November 15, 2012, Markit

[3] Markit Interest Rate Curve XML Specifications, Version 1.16, Tuesday, 15 October 2013

Definition at line 49 of file isdacdsengine.hpp.

Member Enumeration Documentation

NumericalFix

enum NumericalFix

According to [1] the settings for the flags AccrualBias / ForwardsInCouponPeriod corresponding to the standard model implementation C code are

prior 1.8.2 HalfDayBias / Flat 1.8.2 NoBias / Flat

The theoretical correct setting would be NoBias / Piecewise

Todo: Clarify in which version of the standard model implementation C code the numerical problem of zero denominators is solved and how exactly.

Enumerator
None
Taylor

Definition at line 66 of file isdacdsengine.hpp.

AccrualBias

enum AccrualBias

Enumerator
HalfDayBias
NoBias

Definition at line 73 of file isdacdsengine.hpp.

ForwardsInCouponPeriod

enum ForwardsInCouponPeriod

Enumerator
Flat
Piecewise

Definition at line 79 of file isdacdsengine.hpp.

Constructor & Destructor Documentation

IsdaCdsEngine()

IsdaCdsEngine	(	Handle< DefaultProbabilityTermStructure >	probability,
		Real	recoveryRate,
		Handle< YieldTermStructure >	discountCurve,
		const ext::optional< bool > &	includeSettlementDateFlows = ext::nullopt,
		NumericalFix	numericalFix = Taylor,
		AccrualBias	accrualBias = HalfDayBias,
		ForwardsInCouponPeriod	forwardsInCouponPeriod = Piecewise
	)

Constructor where the client code is responsible for providing a default curve and an interest rate curve compliant with the ISDA specifications.

To be precisely consistent with the ISDA specification bool IborCoupon::Settings::usingAtParCoupons(); must be true. This is not checked in order not to kill the engine completely in this case.

Furthermore, the ibor index in the swap rate helpers should not provide the evaluation date's fixing.

Definition at line 36 of file isdacdsengine.cpp.

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Member Function Documentation

isdaRateCurve()

Handle< YieldTermStructure > isdaRateCurve

(

)

const

Definition at line 106 of file isdacdsengine.hpp.

isdaCreditCurve()

Handle< DefaultProbabilityTermStructure > isdaCreditCurve

(

)

const

Definition at line 107 of file isdacdsengine.hpp.

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 52 of file isdacdsengine.cpp.

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Member Data Documentation

probability_

Handle<DefaultProbabilityTermStructure> probability_

private

Definition at line 112 of file isdacdsengine.hpp.

recoveryRate_

const Real recoveryRate_

private

Definition at line 113 of file isdacdsengine.hpp.

discountCurve_

Handle<YieldTermStructure> discountCurve_

private

Definition at line 114 of file isdacdsengine.hpp.

includeSettlementDateFlows_

const ext::optional<bool> includeSettlementDateFlows_

private

Definition at line 115 of file isdacdsengine.hpp.

numericalFix_

const NumericalFix numericalFix_

private

Definition at line 116 of file isdacdsengine.hpp.

accrualBias_

const AccrualBias accrualBias_

private

Definition at line 117 of file isdacdsengine.hpp.

forwardsInCouponPeriod_

const ForwardsInCouponPeriod forwardsInCouponPeriod_

private

Definition at line 118 of file isdacdsengine.hpp.