MonteCarloCatBondEngine Class Reference

#include <montecarlocatbondengine.hpp>

Inheritance diagram for MonteCarloCatBondEngine:

Collaboration diagram for MonteCarloCatBondEngine:

Public Member Functions
	MonteCarloCatBondEngine (ext::shared_ptr< CatRisk > catRisk, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >(), const ext::optional< bool > &includeSettlementDateFlows=ext::nullopt)
void	calculate () const override
Handle< YieldTermStructure >	discountCurve () const
Public Member Functions inherited from GenericEngine< CatBond::arguments, CatBond::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 ()

Protected Member Functions
Real	cashFlowRiskyValue (const ext::shared_ptr< CashFlow > &cf, const NotionalPath &notionalPath) const
Real	npv (bool includeSettlementDateFlows, Date settlementDate, Date npvDate, Real &lossProbability, Real &exhaustionProbability, Real &expectedLoss) const
Real	pathNpv (bool includeSettlementDateFlows, Date settlementDate, const NotionalPath &notionalPath) const

Private Attributes
ext::shared_ptr< CatRisk >	catRisk_
Handle< YieldTermStructure >	discountCurve_
ext::optional< bool >	includeSettlementDateFlows_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from GenericEngine< CatBond::arguments, CatBond::results >
CatBond::arguments	arguments_
CatBond::results	results_

Detailed Description

Definition at line 32 of file montecarlocatbondengine.hpp.

Constructor & Destructor Documentation

MonteCarloCatBondEngine()

MonteCarloCatBondEngine ( ext::shared_ptr< CatRisk >  catRisk, Handle< YieldTermStructure >  discountCurve = Handle<YieldTermStructure>(), const ext::optional< bool > &  includeSettlementDateFlows = ext::nullopt  )

explicit

Definition at line 28 of file montecarlocatbondengine.cpp.

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Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 37 of file montecarlocatbondengine.cpp.

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discountCurve()

Handle< YieldTermStructure > discountCurve

(

)

const

Definition at line 41 of file montecarlocatbondengine.hpp.

cashFlowRiskyValue()

Real cashFlowRiskyValue ( const ext::shared_ptr< CashFlow > &  cf, const NotionalPath &  notionalPath  ) const

protected

Definition at line 131 of file montecarlocatbondengine.cpp.

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npv()

Real npv ( bool  includeSettlementDateFlows, Date  settlementDate, Date  npvDate, Real &  lossProbability, Real &  exhaustionProbability, Real &  expectedLoss  ) const

protected

Definition at line 75 of file montecarlocatbondengine.cpp.

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pathNpv()

Real pathNpv ( bool  includeSettlementDateFlows, Date  settlementDate, const NotionalPath &  notionalPath  ) const

protected

Definition at line 118 of file montecarlocatbondengine.cpp.

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Member Data Documentation

catRisk_

ext::shared_ptr<CatRisk> catRisk_

private

Definition at line 58 of file montecarlocatbondengine.hpp.

discountCurve_

Handle<YieldTermStructure> discountCurve_

private

Definition at line 59 of file montecarlocatbondengine.hpp.

includeSettlementDateFlows_

ext::optional<bool> includeSettlementDateFlows_

private

Definition at line 60 of file montecarlocatbondengine.hpp.