1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2014 Jose Aparicio
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
20#ifndef quantlib_base_correl_structure_hpp
21#define quantlib_base_correl_structure_hpp
22
23#include <ql/quote.hpp>
24#include <ql/utilities/dataformatters.hpp>
25#include <ql/math/interpolations/bilinearinterpolation.hpp>
26#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
27
28#include <ql/experimental/credit/correlationstructure.hpp>
29
30namespace QuantLib {
31
32
33 /*! Matrix based Base Correlation Term Structure\par
34 Loss level versus time interpolated scalar copula type parametric
35 correlation term structure. Represents the correlation for the credit loss
36 level of a given portfolio at a given loss level and time.
37
38 \todo The relation to a given basket is to be made explicit for bespoke
39 models to be implemented.
40 \todo Consider moving to a matrix data structure. A matrix might make some
41 computations heavy, template specialization on the dimension might be an
42 alternative to having two classes, one for scalars and another for matrices.
43 \todo Rethink all the data structure with a basket where current losses are
44 not zero.
45 \todo In principle the 2D interpolator is left optional since there are
46 arbitrage issues on the interpolator type to be used. However one has to be
47 careful when using non local interpolators like CubicSplines which have an
48 effect on the past (calibrated) coupons of previous tenors.
49 */
50 template<class Interpolator2D_T>
51 class BaseCorrelationTermStructure : public CorrelationTermStructure {
52 public:
53 /*
54 @param correls Corresponds to: correls[iYear][iLoss]
55
56 The Settlement date should in an ideal world coincide with the
57 (implicit) basket inception date and its default term structures
58 settlement dates.
59 */
60 BaseCorrelationTermStructure(
61 Natural settlementDays,
62 const Calendar& cal,
63 BusinessDayConvention bdc,
64 const std::vector<Period>& tenors,// sorted
65 const std::vector<Real>& lossLevel,//sorted
66 const std::vector<std::vector<Handle<Quote> > >& correls,
67 const DayCounter& dc = DayCounter()
68 )
69 : CorrelationTermStructure(settlementDays, cal, bdc, dc),
70 correlHandles_(correls),
71 correlations_(correls.size(), correls.front().size()),
72 nTrancheTenors_(tenors.size()),
73 nLosses_(lossLevel.size()),
74 tenors_(tenors),
75 lossLevel_(lossLevel),
76 trancheTimes_(tenors.size(), 0.) {
77 checkTrancheTenors();
78
79 for (auto& tenor : tenors_)
80 trancheDates_.push_back(
81 calendar().advance(referenceDate(), tenor, businessDayConvention()));
82
83 initializeTrancheTimes();
84 checkInputs(volRows: correlations_.rows(), volsColumns: correlations_.columns());
85 updateMatrix();
86 registerWithMarketData();
87 // call factory
88 setupInterpolation();
89 }
90 private:
91 virtual void setupInterpolation() ;
92 public:
93 Size correlationSize() const override { return 1; }
94 //! Implicit correlation for the given loss interval.
95 Real ImplicitCorrelation(Real, Real);
96
97 void checkTrancheTenors() const;
98 void checkLosses() const;
99 void initializeTrancheTimes() const;
100 void checkInputs(Size volRows, Size volsColumns) const;
101 void registerWithMarketData();
102
103 void update() override;
104 void updateMatrix() const;
105
106 // TermStructure interface
107 Date maxDate() const override { return trancheDates_.back(); }
108 Real correlation(const Date& d, Real lossLevel, bool extrapolate = false) const {
109 return correlation(timeFromReference(d), lossLevel, extrapolate);
110 }
111 Real correlation(Time t, Real lossLevel,
112 bool extrapolate = false) const
113 {
114 return interpolation_(t, lossLevel, true);
115 }
116 private:
117 std::vector<std::vector<Handle<Quote> > > correlHandles_;
118 mutable Matrix correlations_;
119 Interpolation2D interpolation_;
120 Size nTrancheTenors_,
121 nLosses_;
122 std::vector<Period> tenors_;
123 mutable std::vector<Real> lossLevel_;
124 mutable std::vector<Date> trancheDates_;
125 mutable std::vector<Time> trancheTimes_;
126 };
127
128 // ----------------------------------------------------------------------
129
130 template <class I2D_T>
131 void BaseCorrelationTermStructure<I2D_T>::checkTrancheTenors() const {
132 QL_REQUIRE(tenors_[0]>0*Days,
133 "first tranche tenor is negative (" <<
134 tenors_[0] << ")");
135 for (Size i=1; i<nTrancheTenors_; ++i)
136 QL_REQUIRE(tenors_[i]>tenors_[i-1],
137 "non increasing tranche tenor: " << io::ordinal(i) <<
138 " is " << tenors_[i-1] << ", " << io::ordinal(i+1) <<
139 " is " << tenors_[i]);
140 }
141
142 template <class I2D_T>
143 void BaseCorrelationTermStructure<I2D_T>::checkLosses() const {
144 QL_REQUIRE(lossLevel_[0]>0.,
145 "first loss level is negative (" <<
146 lossLevel_[0] << ")");
147 QL_REQUIRE(lossLevel_[0] <= 1.,
148 "First loss level larger than 100% (" << lossLevel_[0] <<")");
149 for (Size i=1; i<nLosses_; ++i) {
150 QL_REQUIRE(lossLevel_[i]>lossLevel_[i-1],
151 "non increasing losses: " << io::ordinal(i) <<
152 " is " << lossLevel_[i-1] << ", " << io::ordinal(i+1) <<
153 " is " << lossLevel_[i]);
154 QL_REQUIRE(lossLevel_[i] <= 1.,
155 "Loss level " << i << " larger than 100% (" << lossLevel_[i] <<")");
156 }
157 }
158
159 template <class I2D_T>
160 void BaseCorrelationTermStructure<I2D_T>::initializeTrancheTimes() const {
161 for (Size i=0; i<nTrancheTenors_; ++i)
162 trancheTimes_[i] = timeFromReference(d: trancheDates_[i]);
163 }
164
165 template <class I2D_T>
166 void BaseCorrelationTermStructure<I2D_T>::checkInputs(Size volRows,
167 Size volsColumns) const {
168 QL_REQUIRE(nLosses_==volRows,
169 "mismatch between number of loss levels (" <<
170 nLosses_ << ") and number of rows (" << volRows <<
171 ") in the correl matrix");
172 QL_REQUIRE(nTrancheTenors_==volsColumns,
173 "mismatch between number of tranche tenors (" <<
174 nTrancheTenors_ << ") and number of columns (" <<
175 volsColumns << ") in the correl matrix");
176 }
177
178 template <class I2D_T>
179 void BaseCorrelationTermStructure<I2D_T>::registerWithMarketData()
180 {
181 for (Size i=0; i<correlHandles_.size(); ++i)
182 for (Size j=0; j<correlHandles_.front().size(); ++j)
183 registerWith(h: correlHandles_[i][j]);
184 }
185
186 template <class I2D_T>
187 void BaseCorrelationTermStructure<I2D_T>::update() {
188 updateMatrix();
189 TermStructure::update();
190 }
191
192 template <class I2D_T>
193 void BaseCorrelationTermStructure<I2D_T>::updateMatrix() const {
194 for (Size i=0; i<correlHandles_.size(); ++i)
195 for (Size j=0; j<correlHandles_.front().size(); ++j)
196 correlations_[i][j] = correlHandles_[i][j]->value();
197
198 }
199
200}
201
202#endif
203

source code of quantlib/ql/experimental/credit/basecorrelationstructure.hpp