/src/quantlib/ql/experimental/catbonds/riskynotional.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2012, 2013 Grzegorz Andruszkiewicz |
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 | | <https://www.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 | | #include <ql/experimental/catbonds/riskynotional.hpp> |
21 | | |
22 | | namespace QuantLib |
23 | | { |
24 | | NotionalPath::NotionalPath() |
25 | 0 | { |
26 | 0 | Rate previous = 1.0;//full notional at the beginning |
27 | 0 | notionalRate_.emplace_back(Date(), previous); |
28 | 0 | } |
29 | | |
30 | | Rate NotionalPath::notionalRate(const Date& date) const |
31 | 0 | { |
32 | 0 | Size i = 0; |
33 | 0 | for (; i<notionalRate_.size() && notionalRate_[i].first<=date; ++i) //TODO do we take notional after reductions or before? |
34 | 0 | {} |
35 | 0 | return notionalRate_[i-1].second; |
36 | 0 | } |
37 | | |
38 | 0 | void NotionalPath::reset() { |
39 | 0 | notionalRate_.resize(1); |
40 | 0 | } |
41 | | |
42 | 0 | void NotionalPath::addReduction(const Date &date, Rate newRate) { |
43 | 0 | notionalRate_.emplace_back(date, newRate); |
44 | 0 | } |
45 | | |
46 | 0 | Real NotionalPath::loss() { |
47 | 0 | return 1.0-notionalRate_.rbegin()->second; |
48 | 0 | } |
49 | | |
50 | | void DigitalNotionalRisk::updatePath(const std::vector<std::pair<Date, Real> > &events, |
51 | 0 | NotionalPath &path) const { |
52 | 0 | path.reset(); |
53 | 0 | for (const auto& event : events) { |
54 | 0 | if (event.second >= threshold_) { |
55 | 0 | path.addReduction(paymentOffset_->paymentDate(event.first), Rate(0.0)); |
56 | 0 | } |
57 | 0 | } |
58 | 0 | } |
59 | | } |