catbond.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 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 catbond.hpp
    \brief cat bond class
*/

#ifndef quantlib_catbond_hpp
#define quantlib_catbond_hpp

#include <ql/instruments/bond.hpp>
#include <ql/time/dategenerationrule.hpp>
#include <ql/time/schedule.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/experimental/catbonds/catrisk.hpp>
#include <ql/experimental/catbonds/riskynotional.hpp>

namespace QuantLib {

    class CatBond : public Bond
    {
    public:
        class arguments;
        class results;
        class engine;

        CatBond(Natural settlementDays,
                const Calendar& calendar,
                const Date& issueDate,
                const ext::shared_ptr<NotionalRisk>& notionalRisk)
        : Bond(settlementDays, calendar, issueDate), notionalRisk_(notionalRisk) {}
        ~CatBond() override = default;

        void setupArguments(PricingEngine::arguments*) const override;
        void fetchResults(const PricingEngine::results*) const override;

        Real lossProbability() const { return lossProbability_; }
        Real expectedLoss() const { return expectedLoss_; }
        Real exhaustionProbability() const { return exhaustionProbability_; }

      protected:
        ext::shared_ptr<NotionalRisk> notionalRisk_;

        mutable Real lossProbability_;
        mutable Real exhaustionProbability_;
        mutable Real expectedLoss_;
    };

    class CatBond::arguments : public Bond::arguments {
      public:
        Date startDate;
        ext::shared_ptr<NotionalRisk> notionalRisk;
        void validate() const override;
    };

    //! results for a cat bond calculation
    class CatBond::results : public Bond::results {
      public:
        Real lossProbability;
        Real exhaustionProbability;
        Real expectedLoss;
    };

    //! base class for cat bond engine
    class CatBond::engine
        : public GenericEngine<CatBond::arguments,
                               CatBond::results> {};


    //! floating-rate cat bond (possibly capped and/or floored)
    /*! \ingroup instruments

        \test calculations are tested by checking results against
              cached values.
    */
    class FloatingCatBond : public CatBond {
      public:
        FloatingCatBond(Natural settlementDays,
                        Real faceAmount,
                        const Schedule& schedule,
                        const ext::shared_ptr<IborIndex>& iborIndex,
                        const DayCounter& accrualDayCounter,
                        const ext::shared_ptr<NotionalRisk>& notionalRisk,
                        BusinessDayConvention paymentConvention = Following,
                        Natural fixingDays = Null<Natural>(),
                        const std::vector<Real>& gearings = std::vector<Real>(1, 1.0),
                        const std::vector<Spread>& spreads = std::vector<Spread>(1, 0.0),
                        const std::vector<Rate>& caps = std::vector<Rate>(),
                        const std::vector<Rate>& floors = std::vector<Rate>(),
                        bool inArrears = false,
                        Real redemption = 100.0,
                        const Date& issueDate = Date());

        FloatingCatBond(Natural settlementDays,
                        Real faceAmount,
                        const Date& startDate,
                        const Date& maturityDate,
                        Frequency couponFrequency,
                        const Calendar& calendar,
                        const ext::shared_ptr<IborIndex>& iborIndex,
                        const DayCounter& accrualDayCounter,
                        const ext::shared_ptr<NotionalRisk>& notionalRisk,
                        BusinessDayConvention accrualConvention = Following,
                        BusinessDayConvention paymentConvention = Following,
                        Natural fixingDays = Null<Natural>(),
                        const std::vector<Real>& gearings = std::vector<Real>(1, 1.0),
                        const std::vector<Spread>& spreads = std::vector<Spread>(1, 0.0),
                        const std::vector<Rate>& caps = std::vector<Rate>(),
                        const std::vector<Rate>& floors = std::vector<Rate>(),
                        bool inArrears = false,
                        Real redemption = 100.0,
                        const Date& issueDate = Date(),
                        const Date& stubDate = Date(),
                        DateGeneration::Rule rule = DateGeneration::Backward,
                        bool endOfMonth = false);
    };

}

#endif