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tangent360tangent360
authoredDec 19, 2016
Revert "Revert "Cds clean""
1 parent 19fee8d commit 3e5efb6

25 files changed

+2047
-388
lines changed
 

‎Examples/CDS/CDS.cpp

+606-195
Large diffs are not rendered by default.

‎ql/cashflows/fixedratecoupon.cpp

+11-2
Original file line numberDiff line numberDiff line change
@@ -134,6 +134,12 @@ namespace QuantLib {
134134
return *this;
135135
}
136136

137+
FixedRateLeg& FixedRateLeg::withLastPeriodDayCounter(
138+
const DayCounter& dayCounter) {
139+
lastPeriodDC_ = dayCounter;
140+
return *this;
141+
}
142+
137143
FixedRateLeg& FixedRateLeg::withPaymentCalendar(const Calendar& cal) {
138144
calendar_ = cal;
139145
return *this;
@@ -239,15 +245,18 @@ namespace QuantLib {
239245
nominal = notionals_[N-2];
240246
else
241247
nominal = notionals_.back();
248+
InterestRate r( rate.rate(), lastPeriodDC_.empty() ?
249+
rate.dayCounter() :
250+
lastPeriodDC_ , rate.compounding(), rate.frequency() );
242251
if (schedule_.isRegular(N-1)) {
243252
leg.push_back(shared_ptr<CashFlow>(new
244-
FixedRateCoupon(paymentDate, nominal, rate,
253+
FixedRateCoupon(paymentDate, nominal, r,
245254
start, end, start, end, exCouponDate)));
246255
} else {
247256
Date ref = start + schedule_.tenor();
248257
ref = schCalendar.adjust(ref, schedule_.businessDayConvention());
249258
leg.push_back(shared_ptr<CashFlow>(new
250-
FixedRateCoupon(paymentDate, nominal, rate,
259+
FixedRateCoupon(paymentDate, nominal, r,
251260
start, end, start, ref, exCouponDate)));
252261
}
253262
}

‎ql/cashflows/fixedratecoupon.hpp

+2-1
Original file line numberDiff line numberDiff line change
@@ -97,6 +97,7 @@ namespace QuantLib {
9797
FixedRateLeg& withCouponRates(const std::vector<InterestRate>&);
9898
FixedRateLeg& withPaymentAdjustment(BusinessDayConvention);
9999
FixedRateLeg& withFirstPeriodDayCounter(const DayCounter&);
100+
FixedRateLeg& withLastPeriodDayCounter(const DayCounter&);
100101
FixedRateLeg& withPaymentCalendar(const Calendar&);
101102
FixedRateLeg& withExCouponPeriod(const Period&,
102103
const Calendar&,
@@ -108,7 +109,7 @@ namespace QuantLib {
108109
Calendar calendar_;
109110
std::vector<Real> notionals_;
110111
std::vector<InterestRate> couponRates_;
111-
DayCounter firstPeriodDC_;
112+
DayCounter firstPeriodDC_ , lastPeriodDC_;
112113
BusinessDayConvention paymentAdjustment_;
113114
Period exCouponPeriod_;
114115
Calendar exCouponCalendar_;

‎ql/experimental/credit/riskybond.cpp

+21-10
Original file line numberDiff line numberDiff line change
@@ -41,12 +41,14 @@ namespace QuantLib {
4141
void RiskyBond::performCalculations() const {
4242
NPV_ = 0;
4343
Date today = Settings::instance().evaluationDate();
44+
// only forward pricing
45+
QL_REQUIRE(npvDate_ >= today, "Incorrect npv date");
4446
std::vector<boost::shared_ptr<CashFlow> > cf = cashflows();
4547
Date d1 = effectiveDate();
4648
for (Size i = 0; i < cf.size(); i++) {
4749
Date d2 = cf[i]->date();
48-
if (d2 > today) {
49-
d1 = max(today , d1);
50+
if (d2 > npvDate_) {
51+
d1 = max(npvDate_ , d1);
5052
Date defaultDate = d1 + (d2-d1)/2;
5153

5254
Real coupon = cf[i]->amount()
@@ -59,26 +61,31 @@ namespace QuantLib {
5961
}
6062
d1 = d2;
6163
}
64+
valuationDate_ = npvDate_;
6265
}
6366

6467
Real RiskyBond::riskfreeNPV() const {
6568
Date today = Settings::instance().evaluationDate();
69+
// only forward pricing
70+
QL_REQUIRE(npvDate_ >= today, "Incorrect npv date");
6671
Real npv = 0;
6772
std::vector<boost::shared_ptr<CashFlow> > cf = cashflows();
6873
for (Size i = 0; i < cf.size(); i++) {
6974
Date d2 = cf[i]->date();
70-
if (d2 > today)
75+
if (d2 > npvDate_)
7176
npv += cf[i]->amount() * yieldTS()->discount(d2);
7277
}
7378
return npv;
7479
}
7580

7681
Real RiskyBond::totalFutureFlows() const {
7782
Date today = Settings::instance().evaluationDate();
83+
// only forward pricing
84+
QL_REQUIRE(npvDate_ >= today, "Incorrect npv date");
7885
Real flow = 0;
7986
std::vector<boost::shared_ptr<CashFlow> > cf = cashflows();
8087
for (Size i = 0; i < cf.size(); i++) {
81-
if (cf[i]->date() > today)
88+
if (cf[i]->date() > npvDate_)
8289
flow += cf[i]->amount();
8390
}
8491
return flow;
@@ -88,11 +95,13 @@ namespace QuantLib {
8895
std::vector<boost::shared_ptr<CashFlow> > expected;
8996
std::vector<boost::shared_ptr<CashFlow> > cf = cashflows();
9097
Date today = Settings::instance().evaluationDate();
98+
// only forward pricing
99+
QL_REQUIRE(npvDate_ >= today, "Incorrect npv date");
91100
Date d1 = effectiveDate();
92101
for (Size i = 0; i < cf.size(); i++) {
93102
Date d2 = cf[i]->date();
94-
if (d2 > today) {
95-
d1 = max(today , d1);
103+
if (d2 > npvDate_) {
104+
d1 = max(npvDate_ , d1);
96105
Date defaultDate = d1 + (d2-d1)/2;
97106

98107
Real coupon = cf[i]->amount()
@@ -124,8 +133,9 @@ namespace QuantLib {
124133
DayCounter dayCounter,
125134
BusinessDayConvention paymentConvention,
126135
std::vector<Real> notionals,
127-
Handle<YieldTermStructure> yieldTS)
128-
: RiskyBond(name, ccy, recoveryRate, defaultTS, yieldTS),
136+
Handle<YieldTermStructure> yieldTS,
137+
Date npvDate)
138+
: RiskyBond(name, ccy, recoveryRate, defaultTS, yieldTS, npvDate),
129139
schedule_(schedule),
130140
rate_(rate),
131141
dayCounter_(dayCounter),
@@ -201,8 +211,9 @@ namespace QuantLib {
201211
Integer fixingDays,
202212
Real spread,
203213
std::vector<Real> notionals,
204-
Handle<YieldTermStructure> yieldTS)
205-
: RiskyBond(name, ccy, recoveryRate, defaultTS, yieldTS),
214+
Handle<YieldTermStructure> yieldTS,
215+
Date npvDate)
216+
: RiskyBond(name, ccy, recoveryRate, defaultTS, yieldTS, npvDate),
206217
schedule_(schedule),
207218
index_(index),
208219
fixingDays_(fixingDays),

‎ql/experimental/credit/riskybond.hpp

+26-4
Original file line numberDiff line numberDiff line change
@@ -35,22 +35,34 @@
3535
#include <ql/termstructures/yieldtermstructure.hpp>
3636
#include <ql/experimental/credit/pool.hpp>
3737
#include <ql/termstructures/defaulttermstructure.hpp>
38+
#include <ql/currency.hpp>
3839

3940
namespace QuantLib {
4041
/*! Base class for default risky bonds
4142
\ingroup credit
4243
*/
4344
class RiskyBond : public Instrument {
4445
public:
46+
/*!
47+
@param npvDate The future date cashflows value contingent to
48+
survival. i.e. the knockout probability is considered.
49+
To compute the npv given that the issuer has
50+
survived, divide the npv by \f[(1-P_{def}(T_{npv}))\f]
51+
*/
4552
RiskyBond(std::string name,
4653
Currency ccy,
4754
Real recoveryRate,
4855
Handle<DefaultProbabilityTermStructure> defaultTS,
49-
Handle<YieldTermStructure> yieldTS)
56+
Handle<YieldTermStructure> yieldTS,
57+
Date npvDate = Date())
5058
: name_(name), ccy_(ccy), recoveryRate_(recoveryRate),
51-
defaultTS_(defaultTS), yieldTS_(yieldTS) {
59+
defaultTS_(defaultTS), yieldTS_(yieldTS),
60+
npvDate_(npvDate == Date() ?
61+
Settings::instance().evaluationDate() : npvDate){
5262
registerWith (yieldTS_);
5363
registerWith (defaultTS_);
64+
//the two above might not be registered with evalDate
65+
registerWith(Settings::instance().evaluationDate());
5466
}
5567
virtual ~RiskyBond() {}
5668
virtual std::vector<boost::shared_ptr<CashFlow> > cashflows() const = 0;
@@ -71,6 +83,11 @@ namespace QuantLib {
7183
//@{
7284
bool isExpired() const;
7385
//@}
86+
//! resets engine's npv date.
87+
void setNpvDate(const Date d) {
88+
QL_REQUIRE(d != Date(), "Null npv date in risky bond.");
89+
npvDate_ = d;
90+
}
7491
protected:
7592
void setupExpired() const;
7693
void performCalculations() const;
@@ -80,6 +97,9 @@ namespace QuantLib {
8097
Real recoveryRate_;
8198
Handle<DefaultProbabilityTermStructure> defaultTS_;
8299
Handle<YieldTermStructure> yieldTS_;
100+
protected:
101+
// engines data
102+
Date npvDate_;
83103
};
84104

85105
inline std::string RiskyBond::name() const {
@@ -117,7 +137,8 @@ namespace QuantLib {
117137
DayCounter dayCounter,
118138
BusinessDayConvention paymentConvention,
119139
std::vector<Real> notionals,
120-
Handle<YieldTermStructure> yieldTS);
140+
Handle<YieldTermStructure> yieldTS,
141+
Date npvDate = Date());
121142
std::vector<boost::shared_ptr<CashFlow> > cashflows() const;
122143
Real notional(Date date = Date::minDate()) const;
123144
Date effectiveDate() const;
@@ -150,7 +171,8 @@ namespace QuantLib {
150171
Integer fixingDays,
151172
Real spread,
152173
std::vector<Real> notionals,
153-
Handle<YieldTermStructure> yieldTS);
174+
Handle<YieldTermStructure> yieldTS,
175+
Date npvDate = Date());
154176
std::vector<boost::shared_ptr<CashFlow> > cashflows() const;
155177
Real notional(Date date = Date::minDate()) const;
156178
Date effectiveDate() const;

‎ql/instruments/Makefile.am

+2
Original file line numberDiff line numberDiff line change
@@ -37,6 +37,7 @@ this_include_HEADERS = \
3737
inflationcapfloor.hpp \
3838
lookbackoption.hpp \
3939
makecapfloor.hpp \
40+
makecds.hpp \
4041
makecms.hpp \
4142
makeois.hpp \
4243
makeswaption.hpp \
@@ -93,6 +94,7 @@ libInstruments_la_SOURCES = \
9394
inflationcapfloor.cpp \
9495
lookbackoption.cpp \
9596
makecapfloor.cpp \
97+
makecds.cpp \
9698
makecms.cpp \
9799
makeois.cpp \
98100
makeswaption.cpp \

‎ql/instruments/all.hpp

+1
Original file line numberDiff line numberDiff line change
@@ -32,6 +32,7 @@
3232
#include <ql/instruments/inflationcapfloor.hpp>
3333
#include <ql/instruments/lookbackoption.hpp>
3434
#include <ql/instruments/makecapfloor.hpp>
35+
#include <ql/instruments/makecds.hpp>
3536
#include <ql/instruments/makecms.hpp>
3637
#include <ql/instruments/makeois.hpp>
3738
#include <ql/instruments/makeswaption.hpp>

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