1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008 Roland Lichters
5 Copyright (C) 2009, 2014 Jose Aparicio
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21#include <ql/experimental/credit/integralcdoengine.hpp>
22
23#ifndef QL_PATCH_SOLARIS
24
25#include <ql/cashflows/fixedratecoupon.hpp>
26#include <ql/termstructures/yieldtermstructure.hpp>
27
28namespace QuantLib {
29
30 void IntegralCDOEngine::calculate() const {
31 Date today = Settings::instance().evaluationDate();
32
33 results_.protectionValue = 0.0;
34 results_.premiumValue = 0.0;
35 results_.upfrontPremiumValue = 0.0;
36 results_.error = 0;
37 results_.expectedTrancheLoss.clear();
38 // todo Should be remaining when considering realized loses
39 results_.xMin = arguments_.basket->attachmentAmount();
40 results_.xMax = arguments_.basket->detachmentAmount();
41 results_.remainingNotional = results_.xMax - results_.xMin;
42 const Real inceptionTrancheNotional =
43 arguments_.basket->trancheNotional();
44
45 // compute expected loss at the beginning of first relevant period
46 Real e1 = 0;
47 // todo add includeSettlement date flows variable to engine.
48 if (!arguments_.normalizedLeg[0]->hasOccurred(refDate: today))
49 // cast to fixed rate coupon?
50 e1 = arguments_.basket->expectedTrancheLoss(
51 d: ext::dynamic_pointer_cast<Coupon>(
52 r: arguments_.normalizedLeg[0])->accrualStartDate());
53 results_.expectedTrancheLoss.push_back(x: e1);// zero or realized losses?
54
55 for (auto& i : arguments_.normalizedLeg) {
56 if (i->hasOccurred(refDate: today)) {
57 // add includeSettlement date flows variable to engine.
58 results_.expectedTrancheLoss.push_back(x: 0.);
59 continue;
60 }
61
62 const ext::shared_ptr<Coupon> coupon = ext::dynamic_pointer_cast<Coupon>(r: i);
63
64 Date d1 = coupon->accrualStartDate();
65 Date d2 = coupon->date();
66
67 Date d, d0 = d1;
68 Real e2;
69 do {
70 d = NullCalendar().advance(date: d0 > today ? d0 : today,
71 period: stepSize_);
72 if (d > d2) d = d2;
73
74 e2 = arguments_.basket->expectedTrancheLoss(d);
75
76 results_.premiumValue
77 // ..check for e2 including past/realized losses
78 += (inceptionTrancheNotional - e2)
79 * arguments_.runningRate
80 * arguments_.dayCounter.yearFraction(d1: d0, d2: d)
81 * discountCurve_->discount(d);
82
83 // TO DO: Addd default coupon accrual value here-----
84
85 if (e2 < e1) results_.error ++;
86
87 results_.protectionValue
88 += (e2 - e1) * discountCurve_->discount(d);
89
90 d0 = d;
91 e1 = e2;
92 }
93 while (d < d2);
94 results_.expectedTrancheLoss.push_back(x: e2);
95 }
96
97 // add includeSettlement date flows variable to engine.
98 if (!arguments_.normalizedLeg[0]->hasOccurred(refDate: today))
99 results_.upfrontPremiumValue
100 = inceptionTrancheNotional * arguments_.upfrontRate
101 * discountCurve_->discount(
102 d: ext::dynamic_pointer_cast<Coupon>(
103 r: arguments_.normalizedLeg[0])->accrualStartDate());
104
105 if (arguments_.side == Protection::Buyer) {
106 results_.protectionValue *= -1;
107 results_.premiumValue *= -1;
108 results_.upfrontPremiumValue *= -1;
109 }
110
111 results_.value = results_.premiumValue - results_.protectionValue
112 + results_.upfrontPremiumValue;
113 results_.errorEstimate = Null<Real>();
114 // Fair spread GIVEN the upfront
115 Real fairSpread = 0.;
116 if (results_.premiumValue != 0.0) {
117 fairSpread =
118 -(results_.protectionValue + results_.upfrontPremiumValue)
119 *arguments_.runningRate/results_.premiumValue;
120 }
121
122 results_.additionalResults["fairPremium"] = fairSpread;
123 results_.additionalResults["premiumLegNPV"] =
124 Real(results_.premiumValue + results_.upfrontPremiumValue);
125 results_.additionalResults["protectionLegNPV"] =
126 results_.protectionValue;
127 }
128
129}
130
131#endif
132

source code of quantlib/ql/experimental/credit/integralcdoengine.cpp