/usr/include/ql/experimental/catbonds/riskynotional.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2012, 2013 Grzegorz Andruszkiewicz
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file riskynotional.hpp
\brief classes to track the notional of a cat bond
*/
#ifndef quantlib_risky_notional_hpp
#define quantlib_risky_notional_hpp
#include <ql/time/date.hpp>
#include <ql/errors.hpp>
#include <boost/shared_ptr.hpp>
#include <vector>
#include <algorithm>
namespace QuantLib {
class EventPaymentOffset {
public:
virtual ~EventPaymentOffset() {}
virtual Date paymentDate(const Date& eventDate) = 0;
};
class NoOffset : public EventPaymentOffset {
public:
virtual Date paymentDate(const Date& eventDate) { return eventDate; }
};
class NotionalPath {
public:
NotionalPath();
Rate notionalRate(const Date& date) const; //The fraction of the original notional left on a given date
void reset();
void addReduction(const Date &date, Rate newRate);
Real loss();
private:
std::vector<std::pair<Date, Real> > notionalRate_;
};
class NotionalRisk {
public:
NotionalRisk(boost::shared_ptr<EventPaymentOffset> paymentOffset)
: paymentOffset_(paymentOffset) {}
virtual ~NotionalRisk() {}
virtual void updatePath(const std::vector<std::pair<Date, Real> > &events, NotionalPath &path) const = 0;
protected:
boost::shared_ptr<EventPaymentOffset> paymentOffset_;
};
class DigitalNotionalRisk : public NotionalRisk {
public:
DigitalNotionalRisk(boost::shared_ptr<EventPaymentOffset> paymentOffset,
Real threshold)
: NotionalRisk(paymentOffset) , threshold_(threshold)
{}
virtual void updatePath(const std::vector<std::pair<Date, Real> > &events,
NotionalPath &path) const;
protected:
Real threshold_;
};
class ProportionalNotionalRisk : public NotionalRisk
{
public:
ProportionalNotionalRisk(boost::shared_ptr<EventPaymentOffset> paymentOffset,
Real attachement, Real exhaustion)
: NotionalRisk(paymentOffset) , attachement_(attachement), exhaustion_(exhaustion)
{
QL_REQUIRE(attachement<exhaustion, "exhaustion level needs to be greater than attachement");
}
virtual void updatePath(const std::vector<std::pair<Date, Real> > &events, NotionalPath &path) const
{
path.reset();
Real losses = 0;
Real previousNotional = 1;
for(size_t i=0; i<events.size(); ++i)
{
losses+=events[i].second;
if(losses>attachement_ && previousNotional>0)
{
previousNotional = std::max(0.0, (exhaustion_-losses)/(exhaustion_-attachement_));
path.addReduction(paymentOffset_->paymentDate(events[i].first), previousNotional);
}
}
}
protected:
Real attachement_;
Real exhaustion_;
};
}
#endif
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