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 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/randomdefaultmodel.hpp>
22#include <ql/math/solvers1d/bisection.hpp>
23#include <ql/math/solvers1d/brent.hpp>
24#include <utility>
25
26using namespace std;
27
28namespace QuantLib {
29
30 namespace {
31
32 // Utility for the numerical solver
33 class Root {
34 public:
35 Root(Handle<DefaultProbabilityTermStructure> dts, Real pd)
36 : dts_(std::move(dts)), pd_(pd) {}
37 Real operator()(Real t) const {
38 QL_REQUIRE(t >= 0.0, "GaussianRandomDefaultModel: internal error, t < 0 ("
39 << t << ") during root searching.");
40 return dts_->defaultProbability(t, extrapolate: true) - pd_;
41 }
42 private:
43 const Handle<DefaultProbabilityTermStructure> dts_;
44 Real pd_;
45 };
46
47 }
48
49 GaussianRandomDefaultModel::GaussianRandomDefaultModel(
50 const ext::shared_ptr<Pool>& pool,
51 const std::vector<DefaultProbKey>& defaultKeys,
52 const Handle<OneFactorCopula>& copula,
53 Real accuracy,
54 long seed)
55 : RandomDefaultModel(pool, defaultKeys), copula_(copula), accuracy_(accuracy), seed_(seed),
56 rsg_(PseudoRandom::make_sequence_generator(dimension: pool->size() + 1, seed)) {
57 registerWith(h: copula);
58 }
59
60 void GaussianRandomDefaultModel::reset() {
61 Size dim = pool_->size() + 1;
62 rsg_ = PseudoRandom::make_sequence_generator(dimension: dim, seed: seed_);
63 }
64
65 void GaussianRandomDefaultModel::nextSequence(Real tmax) {
66 const std::vector<Real>& values = rsg_.nextSequence().value;
67 Real a = sqrt(x: copula_->correlation());
68 for (Size j = 0; j < pool_->size(); j++) {
69 const string name = pool_->names()[j];
70 const Handle<DefaultProbabilityTermStructure>&
71 dts = pool_->get(name).defaultProbability(key: defaultKeys_[j]);
72
73 Real y = a * values[0] + sqrt(x: 1-a*a) * values[j+1];
74 Real p = CumulativeNormalDistribution()(y);
75
76 if (dts->defaultProbability(t: tmax) < p)
77 pool_->setTime(name, time: tmax + 1);
78 else {
79 // we know there is a zero of f(t) = dts->defaultProbability(t) - p in [0, tmax]
80 try {
81 // try bracketing the root and find it with Brent
82 Brent brent;
83 brent.setLowerBound(0.0);
84 brent.setUpperBound(tmax);
85 pool_->setTime(name, time: brent.solve(f: Root(dts, p), accuracy: accuracy_, guess: tmax / 2.0, step: 1.0));
86 } catch (...) {
87 // if Brent fails, use Bisection, this is guaranteed to find the root
88 pool_->setTime(
89 name, time: Bisection().solve(f: Root(dts, p), accuracy: accuracy_, guess: tmax / 2.0, xMin: 0.0, xMax: tmax));
90 }
91 }
92 }
93 }
94
95}
96
97

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