defaultlossmodel.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Roland Lichters
 Copyright (C) 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_defaultlossmodel_hpp
#define quantlib_defaultlossmodel_hpp
 
#include <ql/instruments/claim.hpp>
#include <ql/experimental/credit/defaultprobabilitykey.hpp>
#include <ql/experimental/credit/basket.hpp>
 
#include <ql/utilities/null_deleter.hpp>
 
/* Intended to replace LossDistribution in 
    ql/experimental/credit/lossdistribution, not sure its covering all the 
    functionality (see mthod below)
*/
 
namespace QuantLib {
 
    class DefaultLossModel : public Observable {// joint-? basket?-defaultLoss
     /* Protection together with frienship to avoid the need of checking the 
     basket-argument pointer integrity. It is the responsibility of the basket 
     now; our only caller.
     */
        friend class Basket;
    protected:
        // argument basket:
        mutable RelinkableHandle<Basket> basket_;
 
        DefaultLossModel() = default;
 
        /* Non mandatory implementations, fails if client is not providing what 
        requested. */
 
        /* Default implementation using the expectedLoss(Date) method. 
          Typically this method is called repeatedly with the same 
          date parameter which makes it innefficient. */
        virtual Real expectedTrancheLoss(const Date& d) const {
            QL_FAIL("expectedTrancheLoss Not implemented for this model.");
        }
        virtual Probability probOverLoss(
            const Date& d, Real lossFraction) const {
            QL_FAIL("probOverLoss Not implemented for this model.");   
        }
        virtual Real percentile(const Date& d, Real percentile) const {
            QL_FAIL("percentile Not implemented for this model.");   
        }
        virtual Real expectedShortfall(const Date& d, Real percentile) const {
            QL_FAIL("eSF Not implemented for this model.");   
        }
        virtual std::vector<Real> splitVaRLevel(const Date& d, Real loss) const {
            QL_FAIL("splitVaRLevel Not implemented for this model.");   
        }
        virtual std::vector<Real> splitESFLevel(const Date& d, Real loss) const {
            QL_FAIL("splitESFLevel Not implemented for this model.");   
        }
 
        // \todo Add splits by instrument position.
 
        virtual std::map<Real, Probability> lossDistribution(const Date&) const {
            QL_FAIL("lossDistribution Not implemented for this model.");   
        }
        virtual Real densityTrancheLoss(
            const Date& d, Real lossFraction) const {
            QL_FAIL("densityTrancheLoss Not implemented for this model.");
        }
        virtual std::vector<Probability> probsBeingNthEvent(Size n, const Date& d) const {
            QL_FAIL("probsBeingNthEvent Not implemented for this model.");
        }
        virtual Real defaultCorrelation(const Date& d, Size iName, 
            Size jName) const {
            QL_FAIL("defaultCorrelation Not implemented for this model.");
        }
        virtual Probability probAtLeastNEvents(Size n, const Date& d) const {
            QL_FAIL("probAtLeastNEvents Not implemented for this model.");
        }
        virtual Real expectedRecovery(const Date&, Size iName, 
            const DefaultProbKey&) const {
            QL_FAIL("expected recovery Not implemented for this model.");
        }
 
    private: //can only be called from Basket
        void setBasket(Basket* bskt) {
            /* After this; if the model modifies its internal status/caches (if 
            any) it should notify the  prior basket to recognise that basket is 
            not in a calculated=true state. Since we dont know at this level if 
            the model keeps caches it is the children responsibility. Typically 
            this is done at the first call to calculate to the loss model, there
            it notifies the basket. The old basket is still registered with us 
            until the basket takes in a new model....
            ..alternatively both old basket and model could be forced reset here
            */
            basket_.linkTo(ext::shared_ptr<Basket>(bskt, null_deleter()),
                           false);
            resetModel();// or rename to setBasketImpl(...)
        }
        // the call order matters, which is the reason for the parent to be the 
        //   sole caller.
        virtual void resetModel() = 0;
    };
 
}
 
#endif