QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Protected Member Functions | Private Attributes | List of all members
MonteCarloCatBondEngine Class Reference

#include <ql/experimental/catbonds/montecarlocatbondengine.hpp>

+ Inheritance diagram for MonteCarloCatBondEngine:
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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< YieldTermStructurediscountCurve () const
 
- Public Member Functions inherited from GenericEngine< CatBond::arguments, CatBond::results >
PricingEngine::argumentsgetArguments () const override
 
const PricingEngine::resultsgetResults () const override
 
void reset () override
 
void update () override
 
- Public Member Functions inherited from PricingEngine
 ~PricingEngine () override=default
 
virtual argumentsgetArguments () const =0
 
virtual const resultsgetResults () const =0
 
virtual void reset ()=0
 
virtual void calculate () const =0
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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< CatRiskcatRisk_
 
Handle< YieldTermStructurediscountCurve_
 
ext::optional< boolincludeSettlementDateFlows_
 

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.