QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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riskynotional.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2012, 2013 Grzegorz Andruszkiewicz
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
21
22namespace QuantLib
23{
25 {
26 Rate previous = 1.0;//full notional at the beginning
27 notionalRate_.emplace_back(Date(), previous);
28 }
29
31 {
32 Size i = 0;
33 for (; i<notionalRate_.size() && notionalRate_[i].first<=date; ++i) //TODO do we take notional after reductions or before?
34 {}
35 return notionalRate_[i-1].second;
36 }
37
39 notionalRate_.resize(1);
40 }
41
42 void NotionalPath::addReduction(const Date &date, Rate newRate) {
43 notionalRate_.emplace_back(date, newRate);
44 }
45
47 return 1.0-notionalRate_.rbegin()->second;
48 }
49
50 void DigitalNotionalRisk::updatePath(const std::vector<std::pair<Date, Real> > &events,
51 NotionalPath &path) const {
52 path.reset();
53 for (const auto& event : events) {
54 if (event.second >= threshold_) {
55 path.addReduction(paymentOffset_->paymentDate(event.first), Rate(0.0));
56 }
57 }
58 }
59}
Concrete date class.
Definition: date.hpp:125
void updatePath(const std::vector< std::pair< Date, Real > > &events, NotionalPath &path) const override
void addReduction(const Date &date, Rate newRate)
Rate notionalRate(const Date &date) const
std::vector< std::pair< Date, Real > > notionalRate_
ext::shared_ptr< EventPaymentOffset > paymentOffset_
QL_REAL Real
real number
Definition: types.hpp:50
Real Rate
interest rates
Definition: types.hpp:70
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
classes to track the notional of a cat bond