| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2012, 2013 Grzegorz Andruszkiewicz |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | #include <ql/experimental/catbonds/riskynotional.hpp> |
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| 21 | |
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| 22 | namespace QuantLib |
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| 23 | { |
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| 24 | NotionalPath::NotionalPath() |
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| 25 | { |
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| 26 | Rate previous = 1.0;//full notional at the beginning |
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| 27 | notionalRate_.emplace_back(args: Date(), args&: previous); |
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| 28 | } |
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| 29 | |
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| 30 | Rate NotionalPath::notionalRate(const Date& date) const |
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| 31 | { |
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| 32 | Size i = 0; |
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| 33 | for (; i<notionalRate_.size() && notionalRate_[i].first<=date; ++i) //TODO do we take notional after reductions or before? |
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| 34 | {} |
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| 35 | return notionalRate_[i-1].second; |
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| 36 | } |
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| 37 | |
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| 38 | void NotionalPath::reset() { |
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| 39 | notionalRate_.resize(new_size: 1); |
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| 40 | } |
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| 41 | |
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| 42 | void NotionalPath::addReduction(const Date &date, Rate newRate) { |
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| 43 | notionalRate_.emplace_back(args: date, args&: newRate); |
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| 44 | } |
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| 45 | |
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| 46 | Real NotionalPath::loss() { |
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| 47 | return 1.0-notionalRate_.rbegin()->second; |
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| 48 | } |
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| 49 | |
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| 50 | void DigitalNotionalRisk::updatePath(const std::vector<std::pair<Date, Real> > &events, |
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| 51 | NotionalPath &path) const { |
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| 52 | path.reset(); |
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| 53 | for (const auto& event : events) { |
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| 54 | if (event.second >= threshold_) { |
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| 55 | path.addReduction(date: paymentOffset_->paymentDate(eventDate: event.first), newRate: Rate(0.0)); |
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| 56 | } |
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| 57 | } |
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| 58 | } |
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| 59 | } |
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| 60 | |
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