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Modernize Examples (#1760)
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@lballabio
lballabio committed Aug 7, 2023
2 parents aff1e87 + 6f64993 commit d1b43b8
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Showing 19 changed files with 570 additions and 833 deletions.
123 changes: 50 additions & 73 deletions Examples/BasketLosses/BasketLosses.cpp
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Expand Up @@ -63,7 +63,7 @@ int main(int, char* []) {
std::vector<std::string> names;
for(Size i=0; i<hazardRates.size(); i++)
names.push_back(std::string("Acme") + std::to_string(i));
std::vector<Handle<DefaultProbabilityTermStructure> > defTS;
std::vector<Handle<DefaultProbabilityTermStructure>> defTS;
for (Real& hazardRate : hazardRates) {
defTS.emplace_back(
ext::make_shared<FlatHazardRate>(0, TARGET(), hazardRate, Actual365Fixed()));
Expand All @@ -79,14 +79,14 @@ int main(int, char* []) {
issuers.emplace_back(curves);
}

ext::shared_ptr<Pool> thePool = ext::make_shared<Pool>();
auto thePool = ext::make_shared<Pool>();
for(Size i=0; i<hazardRates.size(); i++)
thePool->add(names[i], issuers[i], NorthAmericaCorpDefaultKey(
EURCurrency(), QuantLib::SeniorSec, Period(), 1.));

std::vector<DefaultProbKey> defaultKeys(hazardRates.size(),
NorthAmericaCorpDefaultKey(EURCurrency(), SeniorSec, Period(), 1.));
ext::shared_ptr<Basket> theBskt = ext::make_shared<Basket>(
auto theBskt = ext::make_shared<Basket>(
todaysDate,
names, std::vector<Real>(hazardRates.size(), 100.), thePool,
// 0.0, 0.78);
Expand All @@ -98,29 +98,26 @@ int main(int, char* []) {

std::vector<Real> recoveries(hazardRates.size(), 0.4);

Date calcDate(TARGET().advance(Settings::instance().evaluationDate(),
Date calcDate(TARGET().advance(Settings::instance().evaluationDate(),
Period(60, Months)));
Real factorValue = 0.05;
std::vector<std::vector<Real> > fctrsWeights(hazardRates.size(),
std::vector<std::vector<Real>> fctrsWeights(hazardRates.size(),
std::vector<Real>(1, std::sqrt(factorValue)));

// --- LHP model --------------------------
#ifndef QL_PATCH_SOLARIS
ext::shared_ptr<DefaultLossModel> lmGLHP(
ext::make_shared<GaussianLHPLossModel>(
fctrsWeights[0][0] * fctrsWeights[0][0], recoveries));
auto lmGLHP = ext::make_shared<GaussianLHPLossModel>(
fctrsWeights[0][0] * fctrsWeights[0][0], recoveries);
theBskt->setLossModel(lmGLHP);

std::cout << "GLHP Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;

// --- G Binomial model --------------------
ext::shared_ptr<GaussianConstantLossLM> ktLossLM(
ext::make_shared<GaussianConstantLossLM>(fctrsWeights,
recoveries, LatentModelIntegrationType::GaussianQuadrature,
GaussianCopulaPolicy::initTraits()));
ext::shared_ptr<DefaultLossModel> lmBinomial(
ext::make_shared<GaussianBinomialLossModel>(ktLossLM));
auto ktLossLM = ext::make_shared<GaussianConstantLossLM>(fctrsWeights,
recoveries, LatentModelIntegrationType::GaussianQuadrature,
GaussianCopulaPolicy::initTraits());
auto lmBinomial = ext::make_shared<GaussianBinomialLossModel>(ktLossLM);
theBskt->setLossModel(lmBinomial);

std::cout << "Gaussian Binomial Expected 10-Yr Losses: " << std::endl;
Expand All @@ -131,14 +128,12 @@ int main(int, char* []) {
// --- T Binomial model --------------------
TCopulaPolicy::initTraits initT;
initT.tOrders = std::vector<Integer>(2, 3);
ext::shared_ptr<TConstantLossLM> ktTLossLM(
ext::make_shared<TConstantLossLM>(fctrsWeights,
auto ktTLossLM = ext::make_shared<TConstantLossLM>(fctrsWeights,
recoveries,
//LatentModelIntegrationType::GaussianQuadrature,
LatentModelIntegrationType::Trapezoid,
initT));
ext::shared_ptr<DefaultLossModel> lmTBinomial(
ext::make_shared<TBinomialLossModel>(ktTLossLM));
initT);
auto lmTBinomial = ext::make_shared<TBinomialLossModel>(ktTLossLM);
theBskt->setLossModel(lmTBinomial);

std::cout << "T Binomial Expected 10-Yr Losses: " << std::endl;
Expand All @@ -147,16 +142,14 @@ int main(int, char* []) {
// --- G Inhomogeneous model ---------------
Size numSimulations = 100000;
#ifndef QL_PATCH_SOLARIS
ext::shared_ptr<GaussianConstantLossLM> gLM(
ext::make_shared<GaussianConstantLossLM>(fctrsWeights,
auto gLM = ext::make_shared<GaussianConstantLossLM>(fctrsWeights,
recoveries,
LatentModelIntegrationType::GaussianQuadrature,
// g++ requires this when using make_shared
GaussianCopulaPolicy::initTraits()));
GaussianCopulaPolicy::initTraits());

Size numBuckets = 100;
ext::shared_ptr<DefaultLossModel> inhomogeneousLM(
ext::make_shared<IHGaussPoolLossModel>(gLM, numBuckets));
auto inhomogeneousLM = ext::make_shared<IHGaussPoolLossModel>(gLM, numBuckets);
theBskt->setLossModel(inhomogeneousLM);

std::cout << "G Inhomogeneous Expected 10-Yr Losses: " << std::endl;
Expand All @@ -166,14 +159,12 @@ int main(int, char* []) {
// Gaussian random joint default model:
// Size numCoresUsed = 4;
// Sobol, many cores
ext::shared_ptr<DefaultLossModel> rdlmG(
ext::make_shared<RandomDefaultLM<GaussianCopulaPolicy,
auto rdlmG = ext::make_shared<RandomDefaultLM<GaussianCopulaPolicy,
RandomSequenceGenerator<
BoxMullerGaussianRng<MersenneTwisterUniformRng> > > >(gLM,
recoveries, numSimulations, 1.e-6, 2863311530UL));
//ext::shared_ptr<DefaultLossModel> rdlmG(
// ext::make_shared<RandomDefaultLM<GaussianCopulaPolicy> >(gLM,
// recoveries, numSimulations, 1.e-6, 2863311530));
BoxMullerGaussianRng<MersenneTwisterUniformRng>>>>(gLM,
recoveries, numSimulations, 1.e-6, 2863311530UL);
//auto rdlmG = ext::make_shared<RandomDefaultLM<GaussianCopulaPolicy>>(gLM,
// recoveries, numSimulations, 1.e-6, 2863311530);
theBskt->setLossModel(rdlmG);

std::cout << "Random G Expected 10-Yr Losses: " << std::endl;
Expand All @@ -182,14 +173,12 @@ int main(int, char* []) {

// --- StudentT Random model ---------------------
// Sobol, many cores
ext::shared_ptr<DefaultLossModel> rdlmT(
ext::make_shared<RandomDefaultLM<TCopulaPolicy,
auto rdlmT = ext::make_shared<RandomDefaultLM<TCopulaPolicy,
RandomSequenceGenerator<
PolarStudentTRng<MersenneTwisterUniformRng> > > >(ktTLossLM,
recoveries, numSimulations, 1.e-6, 2863311530UL));
//ext::shared_ptr<DefaultLossModel> rdlmT(
// ext::make_shared<RandomDefaultLM<TCopulaPolicy> >(ktTLossLM,
// recoveries, numSimulations, 1.e-6, 2863311530));
PolarStudentTRng<MersenneTwisterUniformRng>>>>(ktTLossLM,
recoveries, numSimulations, 1.e-6, 2863311530UL);
//auto rdlmT = ext::make_shared<RandomDefaultLM<TCopulaPolicy>>(ktTLossLM,
// recoveries, numSimulations, 1.e-6, 2863311530);
theBskt->setLossModel(rdlmT);

std::cout << "Random T Expected 10-Yr Losses: " << std::endl;
Expand All @@ -198,24 +187,23 @@ int main(int, char* []) {

// Spot Loss latent model:
#ifndef QL_PATCH_SOLARIS
std::vector<std::vector<Real> > fctrsWeightsRR(2 * hazardRates.size(),
std::vector<std::vector<Real>> fctrsWeightsRR(2 * hazardRates.size(),
std::vector<Real>(1, std::sqrt(factorValue)));
Real modelA = 2.2;
ext::shared_ptr<GaussianSpotLossLM> sptLG(new GaussianSpotLossLM(
auto sptLG = ext::make_shared<GaussianSpotLossLM>(
fctrsWeightsRR, recoveries, modelA,
LatentModelIntegrationType::GaussianQuadrature,
GaussianCopulaPolicy::initTraits()));
ext::shared_ptr<TSpotLossLM> sptLT(new TSpotLossLM(fctrsWeightsRR,
GaussianCopulaPolicy::initTraits());
auto sptLT = ext::make_shared<TSpotLossLM>(fctrsWeightsRR,
recoveries, modelA,
LatentModelIntegrationType::GaussianQuadrature, initT));
LatentModelIntegrationType::GaussianQuadrature, initT);


// --- G Random Loss model ---------------------
// Gaussian random joint default model:
// Sobol, many cores
ext::shared_ptr<DefaultLossModel> rdLlmG(
ext::make_shared<RandomLossLM<GaussianCopulaPolicy> >(sptLG,
numSimulations, 1.e-6, 2863311530UL));
auto rdLlmG = ext::make_shared<RandomLossLM<GaussianCopulaPolicy>>(sptLG,
numSimulations, 1.e-6, 2863311530UL);
theBskt->setLossModel(rdLlmG);

std::cout << "Random Loss G Expected 10-Yr Losses: " << std::endl;
Expand All @@ -224,57 +212,46 @@ int main(int, char* []) {
// --- T Random Loss model ---------------------
// Gaussian random joint default model:
// Sobol, many cores
ext::shared_ptr<DefaultLossModel> rdLlmT(
ext::make_shared<RandomLossLM<TCopulaPolicy> >(sptLT,
numSimulations, 1.e-6, 2863311530UL));
auto rdLlmT = ext::make_shared<RandomLossLM<TCopulaPolicy>>(sptLT,
numSimulations, 1.e-6, 2863311530UL);
theBskt->setLossModel(rdLlmT);

std::cout << "Random Loss T Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;

// Base Correlation model set up to test coherence with base LHP model
std::vector<Period> bcTenors;
bcTenors.emplace_back(1, Years);
bcTenors.emplace_back(5, Years);
std::vector<Real> bcLossPercentages;
bcLossPercentages.push_back(0.03);
bcLossPercentages.push_back(0.12);
std::vector<std::vector<Handle<Quote> > > correls;
std::vector<Period> bcTenors = {{1, Years}, {5, Years}};
std::vector<Real> bcLossPercentages = {0.03, 0.12};
std::vector<std::vector<Handle<Quote>>> correls;
//
std::vector<Handle<Quote> > corr1Y;
std::vector<Handle<Quote>> corr1Y;
// 3%
corr1Y.emplace_back(
ext::shared_ptr<Quote>(new SimpleQuote(fctrsWeights[0][0] * fctrsWeights[0][0])));
ext::make_shared<SimpleQuote>(fctrsWeights[0][0] * fctrsWeights[0][0]));
// 12%
corr1Y.emplace_back(
ext::shared_ptr<Quote>(new SimpleQuote(fctrsWeights[0][0] * fctrsWeights[0][0])));
ext::make_shared<SimpleQuote>(fctrsWeights[0][0] * fctrsWeights[0][0]));
correls.push_back(corr1Y);
std::vector<Handle<Quote> > corr2Y;
std::vector<Handle<Quote>> corr2Y;
// 3%
corr2Y.emplace_back(
ext::shared_ptr<Quote>(new SimpleQuote(fctrsWeights[0][0] * fctrsWeights[0][0])));
ext::make_shared<SimpleQuote>(fctrsWeights[0][0] * fctrsWeights[0][0]));
// 12%
corr2Y.emplace_back(
ext::shared_ptr<Quote>(new SimpleQuote(fctrsWeights[0][0] * fctrsWeights[0][0])));
ext::make_shared<SimpleQuote>(fctrsWeights[0][0] * fctrsWeights[0][0]));
correls.push_back(corr2Y);
ext::shared_ptr<BaseCorrelationTermStructure<BilinearInterpolation> >
correlSurface(
new BaseCorrelationTermStructure<BilinearInterpolation>(
auto correlSurface = ext::make_shared<BaseCorrelationTermStructure<BilinearInterpolation>>(
// first one would do, all should be the same.
defTS[0]->settlementDays(),
defTS[0]->calendar(),
Unadjusted,
bcTenors,
bcLossPercentages,
correls,
Actual365Fixed()
)
);
Handle<BaseCorrelationTermStructure<BilinearInterpolation> >
correlHandle(correlSurface);
ext::shared_ptr<DefaultLossModel> bcLMG_LHP_Bilin(
ext::make_shared<GaussianLHPFlatBCLM>(correlHandle, recoveries,
GaussianCopulaPolicy::initTraits()));
Actual365Fixed());
Handle<BaseCorrelationTermStructure<BilinearInterpolation>> correlHandle(correlSurface);
auto bcLMG_LHP_Bilin = ext::make_shared<GaussianLHPFlatBCLM>(correlHandle, recoveries,
GaussianCopulaPolicy::initTraits());

theBskt->setLossModel(bcLMG_LHP_Bilin);

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