| 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) 2021 Lew Wei Hao |
| 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/pricingengines/bond/riskybondengine.hpp> |
| 22 | #include <ql/cashflows/cashflows.hpp> |
| 23 | #include <ql/cashflows/coupon.hpp> |
| 24 | #include <utility> |
| 25 | |
| 26 | |
| 27 | namespace QuantLib { |
| 28 | |
| 29 | RiskyBondEngine::RiskyBondEngine(Handle<DefaultProbabilityTermStructure> defaultTS, |
| 30 | Real recoveryRate, |
| 31 | Handle<YieldTermStructure> yieldTS) |
| 32 | : defaultTS_(std::move(defaultTS)), |
| 33 | recoveryRate_(recoveryRate), |
| 34 | yieldTS_(std::move(yieldTS)) { |
| 35 | registerWith(h: defaultTS_); |
| 36 | registerWith(h: yieldTS_); |
| 37 | } |
| 38 | |
| 39 | void RiskyBondEngine::calculate() const { |
| 40 | Date npvDate = yieldTS()->referenceDate(); |
| 41 | Date settlementDate = arguments_.settlementDate; |
| 42 | Date startDate = CashFlows::startDate(leg: arguments_.cashflows); |
| 43 | Date d1 = std::max(a: npvDate, b: startDate); |
| 44 | |
| 45 | Real NPV = 0.0; |
| 46 | Real settlementValue = 0.0; |
| 47 | for (auto& cf : arguments_.cashflows) { |
| 48 | Date d2 = cf->date(); |
| 49 | if (d2 > npvDate) { |
| 50 | |
| 51 | Real weightedCouponAmount = cf->amount() * defaultTS()->survivalProbability(d: d2); |
| 52 | NPV += weightedCouponAmount * yieldTS()->discount(d: d2); |
| 53 | if (d2 > settlementDate) |
| 54 | settlementValue += weightedCouponAmount * yieldTS()->discount(d: d2); |
| 55 | |
| 56 | auto coupon = ext::dynamic_pointer_cast<Coupon>(r: cf); |
| 57 | if (coupon != nullptr) { |
| 58 | Date defaultDate = d1 + (d2 - d1) / 2; |
| 59 | Real weightedRecovery = coupon->nominal() * recoveryRate() * |
| 60 | (defaultTS()->survivalProbability(d: d1) - |
| 61 | defaultTS()->survivalProbability(d: d2)); |
| 62 | NPV += weightedRecovery * yieldTS()->discount(d: defaultDate); |
| 63 | if (d2 > settlementDate) |
| 64 | settlementValue += weightedRecovery * yieldTS()->discount(d: defaultDate); |
| 65 | |
| 66 | d1 = d2; |
| 67 | } |
| 68 | } |
| 69 | } |
| 70 | |
| 71 | results_.value = NPV; |
| 72 | results_.settlementValue = settlementValue / yieldTS()->discount(d: settlementDate); |
| 73 | results_.valuationDate = npvDate; |
| 74 | } |
| 75 | |
| 76 | } |
| 77 |