creditdefaultswap.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008, 2009 Jose Aparicio
 Copyright (C) 2008 Roland Lichters
 Copyright (C) 2008 StatPro Italia srl
 
 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_credit_default_swap_hpp
#define quantlib_credit_default_swap_hpp
 
#include <ql/instrument.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/default.hpp>
#include <ql/termstructures/defaulttermstructure.hpp>
#include <ql/time/schedule.hpp>
#include <ql/optional.hpp>
 
namespace QuantLib {
 
    class YieldTermStructure;
    class Claim;
 
 
    class CreditDefaultSwap : public Instrument {
      public:
        class arguments;
        class results;
        class engine;
        enum PricingModel {
            Midpoint,
            ISDA
        };
 
 
        CreditDefaultSwap(Protection::Side side,
                          Real notional,
                          Rate spread,
                          const Schedule& schedule,
                          BusinessDayConvention paymentConvention,
                          const DayCounter& dayCounter,
                          bool settlesAccrual = true,
                          bool paysAtDefaultTime = true,
                          const Date& protectionStart = Date(),
                          ext::shared_ptr<Claim> = ext::shared_ptr<Claim>(),
                          const DayCounter& lastPeriodDayCounter = DayCounter(),
                          bool rebatesAccrual = true,
                          const Date& tradeDate = Date(),
                          Natural cashSettlementDays = 3);
 
        CreditDefaultSwap(Protection::Side side,
                          Real notional,
                          Rate upfront,
                          Rate spread,
                          const Schedule& schedule,
                          BusinessDayConvention paymentConvention,
                          const DayCounter& dayCounter,
                          bool settlesAccrual = true,
                          bool paysAtDefaultTime = true,
                          const Date& protectionStart = Date(),
                          const Date& upfrontDate = Date(),
                          ext::shared_ptr<Claim> = ext::shared_ptr<Claim>(),
                          const DayCounter& lastPeriodDayCounter = DayCounter(),
                          bool rebatesAccrual = true,
                          const Date& tradeDate = Date(),
                          Natural cashSettlementDays = 3);
 
        bool isExpired() const override;
        void setupArguments(PricingEngine::arguments*) const override;
        void fetchResults(const PricingEngine::results*) const override;
 
        Protection::Side side() const;
        Real notional() const;
        Rate runningSpread() const;
        ext::optional<Rate> upfront() const;
        bool settlesAccrual() const;
        bool paysAtDefaultTime() const;
        const Leg& coupons() const;
        const Date& protectionStartDate() const;
        const Date& protectionEndDate() const;
        bool rebatesAccrual() const { return accrualRebate_ != nullptr; }
        const ext::shared_ptr<SimpleCashFlow>& upfrontPayment() const;
        const ext::shared_ptr<SimpleCashFlow>& accrualRebate() const;
        const Date& tradeDate() const;
        Natural cashSettlementDays() const;
 
 
        Rate fairUpfront() const;
        Rate fairSpread() const;
        Real couponLegBPS() const;
        Real upfrontBPS() const;
        Real couponLegNPV() const;
        Real defaultLegNPV() const;
        Real upfrontNPV() const;
        Real accrualRebateNPV() const;
 
 
        Rate impliedHazardRate(Real targetNPV,
                               const Handle<YieldTermStructure>& discountCurve,
                               const DayCounter& dayCounter,
                               Real recoveryRate = 0.4,
                               Real accuracy = 1.0e-8,
                               PricingModel model = Midpoint) const;
 
 
        Rate conventionalSpread(Real conventionalRecovery,
                                const Handle<YieldTermStructure>& discountCurve,
                                const DayCounter& dayCounter,
                                PricingModel model = Midpoint) const;
      protected:
 
        void setupExpired() const override;
        // data members
        Protection::Side side_;
        Real notional_;
        ext::optional<Rate> upfront_;
        Rate runningSpread_;
        bool settlesAccrual_, paysAtDefaultTime_;
        ext::shared_ptr<Claim> claim_;
        Leg leg_;
        ext::shared_ptr<SimpleCashFlow> upfrontPayment_;
        ext::shared_ptr<SimpleCashFlow> accrualRebate_;
        Date protectionStart_;
        Date tradeDate_;
        Natural cashSettlementDays_;
        Date maturity_;
        // results
        mutable Rate fairUpfront_;
        mutable Rate fairSpread_;
        mutable Real couponLegBPS_, couponLegNPV_;
        mutable Real upfrontBPS_, upfrontNPV_;
        mutable Real defaultLegNPV_;
        mutable Real accrualRebateNPV_;
 
      private:
        void init(const Schedule& schedule, BusinessDayConvention paymentConvention, const DayCounter& dayCounter,
            const DayCounter& lastPeriodDayCounter, bool rebatesAccrual, const Date& upfrontDate = Date());
    };
 
 
    class CreditDefaultSwap::arguments
        : public virtual PricingEngine::arguments {
      public:
        arguments();
        Protection::Side side;
        Real notional;
        ext::optional<Rate> upfront;
        Rate spread;
        Leg leg;
        // if not initialized by constructors means theres no flows.
        ext::shared_ptr<SimpleCashFlow> upfrontPayment;
        ext::shared_ptr<SimpleCashFlow> accrualRebate;
        bool settlesAccrual;
        bool paysAtDefaultTime;
        ext::shared_ptr<Claim> claim;
        Date protectionStart;
        Date maturity;
        void validate() const override;
    };
 
    class CreditDefaultSwap::results : public Instrument::results {
      public:
        Rate fairSpread;
        Rate fairUpfront;
        Real couponLegBPS;
        Real couponLegNPV;
        Real defaultLegNPV;
        Real upfrontBPS;
        Real upfrontNPV;
        Real accrualRebateNPV;
        void reset() override;
    };
 
    class CreditDefaultSwap::engine
        : public GenericEngine<CreditDefaultSwap::arguments,
                               CreditDefaultSwap::results> {};
 
    Date cdsMaturity(const Date& tradeDate, const Period& tenor, DateGeneration::Rule rule);
 
}
 
 
#endif