Merge pull request #112.

lballabio · Sep 13, 2017 · f9d8a9b · f9d8a9b
2 parents db35c6b + 8126b0a
commit f9d8a9b
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Showing 28 changed files with 2,066 additions and 406 deletions.
diff --git a/Examples/CDS/CDS.cpp b/Examples/CDS/CDS.cpp
diff --git a/QuantLib.dev b/QuantLib.dev
@@ -1,7 +1,7 @@
 [Project]
 FileName=QuantLib.dev
 Name=QuantLib
-UnitCount=2158
+UnitCount=2162
 Type=2
 Ver=1
 ObjFiles=
@@ -21696,3 +21696,43 @@ Link=1
 Priority=1000
 OverrideBuildCmd=0
 BuildCmd=
+
+[Unit2159]
+FileName=ql\instruments\makecds.cpp
+CompileCpp=1
+Folder=instruments
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit2160]
+FileName=ql\instruments\makecds.hpp
+CompileCpp=1
+Folder=instruments
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit2161]
+FileName=ql\pricingengines\credit\isdacdsengine.hpp
+CompileCpp=1
+Folder=pricingengines/credit
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
+
+[Unit2162]
+FileName=ql\pricingengines\credit\isdacdsengine.cpp
+CompileCpp=1
+Folder=pricingengines/credit
+Compile=1
+Link=1
+Priority=1000
+OverrideBuildCmd=0
+BuildCmd=
diff --git a/QuantLib.vcxproj b/QuantLib.vcxproj
@@ -782,6 +782,7 @@
     <ClInclude Include="ql\instruments\inflationcapfloor.hpp" />
     <ClInclude Include="ql\instruments\lookbackoption.hpp" />
     <ClInclude Include="ql\instruments\makecapfloor.hpp" />
+    <ClInclude Include="ql\instruments\makecds.hpp" />
     <ClInclude Include="ql\instruments\makecms.hpp" />
     <ClInclude Include="ql\instruments\makeois.hpp" />
     <ClInclude Include="ql\instruments\makeswaption.hpp" />
@@ -1391,6 +1392,7 @@
     <ClInclude Include="ql\pricingengines\swap\treeswapengine.hpp" />
     <ClInclude Include="ql\pricingengines\credit\all.hpp" />
     <ClInclude Include="ql\pricingengines\credit\integralcdsengine.hpp" />
+    <ClInclude Include="ql\pricingengines\credit\isdacdsengine.hpp" />
     <ClInclude Include="ql\pricingengines\credit\midpointcdsengine.hpp" />
     <ClInclude Include="ql\pricingengines\inflation\all.hpp" />
     <ClInclude Include="ql\pricingengines\inflation\inflationcapfloorengines.hpp" />
@@ -1979,6 +1981,7 @@
     <ClCompile Include="ql\instruments\inflationcapfloor.cpp" />
     <ClCompile Include="ql\instruments\lookbackoption.cpp" />
     <ClCompile Include="ql\instruments\makecapfloor.cpp" />
+    <ClCompile Include="ql\instruments\makecds.cpp" />
     <ClCompile Include="ql\instruments\makecms.cpp" />
     <ClCompile Include="ql\instruments\makeois.cpp" />
     <ClCompile Include="ql\instruments\makeswaption.cpp" />
@@ -2373,6 +2376,7 @@
     <ClCompile Include="ql\pricingengines\swap\discretizedswap.cpp" />
     <ClCompile Include="ql\pricingengines\swap\treeswapengine.cpp" />
     <ClCompile Include="ql\pricingengines\credit\integralcdsengine.cpp" />
+    <ClCompile Include="ql\pricingengines\credit\isdacdsengine.cpp" />
     <ClCompile Include="ql\pricingengines\credit\midpointcdsengine.cpp" />
     <ClCompile Include="ql\pricingengines\inflation\inflationcapfloorengines.cpp" />
     <ClCompile Include="ql\quotes\eurodollarfuturesquote.cpp" />
@@ -2652,4 +2656,4 @@
   <Import Project="$(VCTargetsPath)\Microsoft.Cpp.targets" />
   <ImportGroup Label="ExtensionTargets">
   </ImportGroup>
-</Project>
+</Project>
diff --git a/QuantLib.vcxproj.filters b/QuantLib.vcxproj.filters
@@ -783,6 +783,9 @@
     <ClInclude Include="ql\instruments\makecapfloor.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
+    <ClInclude Include="ql\instruments\makecds.hpp">
+      <Filter>instruments</Filter>
+    </ClInclude>
     <ClInclude Include="ql\instruments\makecms.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
@@ -2532,6 +2535,9 @@
     <ClInclude Include="ql\pricingengines\credit\integralcdsengine.hpp">
       <Filter>pricingengines\credit</Filter>
     </ClInclude>
+    <ClInclude Include="ql\pricingengines\credit\isdacdsengine.hpp">
+      <Filter>pricingengines\credit</Filter>
+    </ClInclude>
     <ClInclude Include="ql\pricingengines\credit\midpointcdsengine.hpp">
       <Filter>pricingengines\credit</Filter>
     </ClInclude>
@@ -4401,6 +4407,9 @@
     <ClCompile Include="ql\instruments\makecapfloor.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
+    <ClCompile Include="ql\instruments\makecds.cpp">
+      <Filter>instruments</Filter>
+    </ClCompile>
     <ClCompile Include="ql\instruments\makecms.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
@@ -5508,6 +5517,9 @@
     <ClCompile Include="ql\pricingengines\credit\integralcdsengine.cpp">
       <Filter>pricingengines\credit</Filter>
     </ClCompile>
+    <ClCompile Include="ql\pricingengines\credit\isdacdsengine.cpp">
+      <Filter>pricingengines\credit</Filter>
+    </ClCompile>
     <ClCompile Include="ql\pricingengines\credit\midpointcdsengine.cpp">
       <Filter>pricingengines\credit</Filter>
     </ClCompile>
@@ -6717,4 +6729,4 @@
       <Filter>time\daycounters</Filter>
     </ClCompile>
   </ItemGroup>
-</Project>
+</Project>
diff --git a/QuantLib_vc9.vcproj b/QuantLib_vc9.vcproj
@@ -2282,6 +2282,14 @@
 				RelativePath=".\ql\instruments\makecapfloor.hpp"
 				>
 			</File>
+			<File
+				RelativePath=".\ql\instruments\makecds.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\ql\instruments\makecds.hpp"
+				>
+			</File>
 			<File
 				RelativePath=".\ql\instruments\makecms.cpp"
 				>
@@ -6757,6 +6765,14 @@
 					RelativePath=".\ql\pricingengines\credit\integralcdsengine.hpp"
 					>
 				</File>
+				<File
+					RelativePath=".\ql\pricingengines\credit\isdacdsengine.cpp"
+					>
+				</File>
+				<File
+					RelativePath=".\ql\pricingengines\credit\isdacdsengine.hpp"
+					>
+				</File>
 				<File
 					RelativePath=".\ql\pricingengines\credit\midpointcdsengine.cpp"
 					>

diff --git a/ql/cashflows/fixedratecoupon.cpp b/ql/cashflows/fixedratecoupon.cpp
@@ -136,6 +136,12 @@ namespace QuantLib {
         return *this;
     }
 
+    FixedRateLeg& FixedRateLeg::withLastPeriodDayCounter(
+                                               const DayCounter& dayCounter) {
+        lastPeriodDC_ = dayCounter;
+        return *this;
+    }
+
     FixedRateLeg& FixedRateLeg::withPaymentCalendar(const Calendar& cal) {
         paymentCalendar_ = cal;
         return *this;
@@ -247,9 +253,12 @@ namespace QuantLib {
                 nominal = notionals_[N-2];
             else
                 nominal = notionals_.back();
+            InterestRate r( rate.rate(), lastPeriodDC_.empty() ?
+                rate.dayCounter() :
+                lastPeriodDC_ , rate.compounding(), rate.frequency() );
             if (schedule_.isRegular(N-1)) {
                 leg.push_back(shared_ptr<CashFlow>(new
-                    FixedRateCoupon(paymentDate, nominal, rate,
+                    FixedRateCoupon(paymentDate, nominal, r,
                                     start, end, start, end, exCouponDate)));
             } else {
                 Date ref = schedule_.calendar().advance(
@@ -258,7 +267,7 @@ namespace QuantLib {
                                             schedule_.businessDayConvention(),
                                             schedule_.endOfMonth());
                 leg.push_back(shared_ptr<CashFlow>(new
-                    FixedRateCoupon(paymentDate, nominal, rate,
+                    FixedRateCoupon(paymentDate, nominal, r,
                                     start, end, start, ref, exCouponDate)));
             }
         }

diff --git a/ql/cashflows/fixedratecoupon.hpp b/ql/cashflows/fixedratecoupon.hpp
@@ -99,6 +99,7 @@ namespace QuantLib {
         FixedRateLeg& withCouponRates(const std::vector<InterestRate>&);
         FixedRateLeg& withPaymentAdjustment(BusinessDayConvention);
         FixedRateLeg& withFirstPeriodDayCounter(const DayCounter&);
+        FixedRateLeg& withLastPeriodDayCounter(const DayCounter&);
         FixedRateLeg& withPaymentCalendar(const Calendar&);
         FixedRateLeg& withPaymentLag(Natural lag);
         FixedRateLeg& withExCouponPeriod(const Period&,
@@ -110,7 +111,7 @@ namespace QuantLib {
         Schedule schedule_;
         std::vector<Real> notionals_;
         std::vector<InterestRate> couponRates_;
-        DayCounter firstPeriodDC_;
+        DayCounter firstPeriodDC_ , lastPeriodDC_;
         Calendar paymentCalendar_;
         BusinessDayConvention paymentAdjustment_;
         Natural paymentLag_;

diff --git a/ql/experimental/credit/riskybond.cpp b/ql/experimental/credit/riskybond.cpp
@@ -30,6 +30,22 @@ using namespace std;
 
 namespace QuantLib {
 
+    RiskyBond::RiskyBond(
+                 const std::string& name,
+                 const Currency& ccy,
+                 Real recoveryRate,
+                 const Handle<DefaultProbabilityTermStructure>& defaultTS,
+                 const Handle<YieldTermStructure>& yieldTS,
+                 Natural settlementDays, Calendar calendar)
+    : name_(name), ccy_(ccy), recoveryRate_(recoveryRate),
+      defaultTS_(defaultTS), yieldTS_(yieldTS),
+      settlementDays_(settlementDays), calendar_(calendar) {
+        registerWith (yieldTS_);
+        registerWith (defaultTS_);
+        //the two above might not be registered with evalDate
+        registerWith(Settings::instance().evaluationDate());
+    }
+
     bool RiskyBond::isExpired() const {
         return detail::simple_event(maturityDate()).hasOccurred();
     }
@@ -41,12 +57,13 @@ namespace QuantLib {
     void RiskyBond::performCalculations() const {
         NPV_ = 0;
         Date today = Settings::instance().evaluationDate();
+        Date npvDate = calendar_.advance(today, settlementDays_, Days);
         std::vector<boost::shared_ptr<CashFlow> > cf = cashflows();
         Date d1 = effectiveDate();
         for (Size i = 0; i < cf.size(); i++) {
             Date d2 = cf[i]->date();
-            if (d2 > today) {
-                d1 = max(today , d1);
+            if (d2 > npvDate) {
+                d1 = max(npvDate , d1);
                 Date defaultDate = d1 + (d2-d1)/2;
 
                 Real coupon = cf[i]->amount()
@@ -59,26 +76,29 @@ namespace QuantLib {
             }
             d1 = d2;
         }
+        valuationDate_ = npvDate;
     }
 
     Real RiskyBond::riskfreeNPV() const {
         Date today = Settings::instance().evaluationDate();
+        Date npvDate = calendar_.advance(today, settlementDays_, Days);
         Real npv = 0;
         std::vector<boost::shared_ptr<CashFlow> > cf = cashflows();
         for (Size i = 0; i < cf.size(); i++) {
             Date d2 = cf[i]->date();
-            if (d2 > today)
+            if (d2 > npvDate)
                 npv += cf[i]->amount() * yieldTS()->discount(d2);
         }
         return npv;
     }
 
     Real RiskyBond::totalFutureFlows() const {
         Date today = Settings::instance().evaluationDate();
+        Date npvDate = calendar_.advance(today, settlementDays_, Days);
         Real flow = 0;
         std::vector<boost::shared_ptr<CashFlow> > cf = cashflows();
         for (Size i = 0; i < cf.size(); i++) {
-            if (cf[i]->date() > today)
+            if (cf[i]->date() > npvDate)
                 flow += cf[i]->amount();
         }
         return flow;
@@ -88,11 +108,12 @@ namespace QuantLib {
         std::vector<boost::shared_ptr<CashFlow> > expected;
         std::vector<boost::shared_ptr<CashFlow> > cf = cashflows();
         Date today = Settings::instance().evaluationDate();
+        Date npvDate = calendar_.advance(today, settlementDays_, Days);
         Date d1 = effectiveDate();
         for (Size i = 0; i < cf.size(); i++) {
             Date d2 = cf[i]->date();
-            if (d2 > today) {
-                d1 = max(today , d1);
+            if (d2 > npvDate) {
+                d1 = max(npvDate, d1);
                 Date defaultDate = d1 + (d2-d1)/2;
 
                 Real coupon = cf[i]->amount()
@@ -124,8 +145,10 @@ namespace QuantLib {
                             const DayCounter& dayCounter,
                             BusinessDayConvention paymentConvention,
                             const std::vector<Real>& notionals,
-                            const Handle<YieldTermStructure>& yieldTS)
-    : RiskyBond(name, ccy, recoveryRate, defaultTS, yieldTS),
+                            const Handle<YieldTermStructure>& yieldTS,
+                            Natural settlementDays)
+    : RiskyBond(name, ccy, recoveryRate, defaultTS, yieldTS,
+                settlementDays, schedule.calendar()),
           schedule_(schedule),
           rate_(rate),
           dayCounter_(dayCounter),
@@ -201,8 +224,10 @@ namespace QuantLib {
                             Integer fixingDays,
                             Real spread,
                             std::vector<Real> notionals,
-                            Handle<YieldTermStructure> yieldTS)
-    : RiskyBond(name, ccy, recoveryRate, defaultTS, yieldTS),
+                            Handle<YieldTermStructure> yieldTS,
+                            Natural settlementDays)
+    : RiskyBond(name, ccy, recoveryRate, defaultTS, yieldTS,
+                settlementDays, schedule.calendar()),
           schedule_(schedule),
           index_(index),
           fixingDays_(fixingDays),

diff --git a/ql/experimental/credit/riskybond.hpp b/ql/experimental/credit/riskybond.hpp
@@ -35,23 +35,27 @@
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/experimental/credit/pool.hpp>
 #include <ql/termstructures/defaulttermstructure.hpp>
+#include <ql/currency.hpp>
 
 namespace QuantLib {
+
     /*! Base class for default risky bonds
       \ingroup credit
     */
     class RiskyBond : public Instrument {
     public:
+        /*! The value is contingent to survival, i.e., the knockout
+            probability is considered.  To compute the npv given that
+            the issuer has survived, divide the npv by
+            \f[(1-P_{def}(T_{npv}))\f]
+        */
         RiskyBond(const std::string& name,
                   const Currency& ccy,
                   Real recoveryRate,
                   const Handle<DefaultProbabilityTermStructure>& defaultTS,
-                  const Handle<YieldTermStructure>& yieldTS)
-            : name_(name), ccy_(ccy), recoveryRate_(recoveryRate),
-              defaultTS_(defaultTS), yieldTS_(yieldTS) {
-            registerWith (yieldTS_);
-            registerWith (defaultTS_);
-        }
+                  const Handle<YieldTermStructure>& yieldTS,
+                  Natural settlementDays = 0,
+                  Calendar calendar = Calendar());
         virtual ~RiskyBond() {}
         virtual std::vector<boost::shared_ptr<CashFlow> > cashflows() const = 0;
         std::vector<boost::shared_ptr<CashFlow> > expectedCashflows();
@@ -80,6 +84,10 @@ namespace QuantLib {
         Real recoveryRate_;
         Handle<DefaultProbabilityTermStructure> defaultTS_;
         Handle<YieldTermStructure> yieldTS_;
+    protected:
+        // engines data
+        Natural settlementDays_;
+        Calendar calendar_;
     };
 
     inline std::string RiskyBond::name() const {
@@ -117,7 +125,8 @@ namespace QuantLib {
                        const DayCounter& dayCounter,
                        BusinessDayConvention paymentConvention,
                        const std::vector<Real>& notionals,
-                       const Handle<YieldTermStructure>& yieldTS);
+                       const Handle<YieldTermStructure>& yieldTS,
+                       Natural settlementDays = 0);
         std::vector<boost::shared_ptr<CashFlow> > cashflows() const;
         Real notional(Date date = Date::minDate()) const;
         Date effectiveDate() const;
@@ -150,7 +159,8 @@ namespace QuantLib {
                           Integer fixingDays,
                           Real spread,
                           std::vector<Real> notionals,
-                          Handle<YieldTermStructure> yieldTS);
+                          Handle<YieldTermStructure> yieldTS,
+                          Natural settlementDays = 0);
         std::vector<boost::shared_ptr<CashFlow> > cashflows() const;
         Real notional(Date date = Date::minDate()) const;
         Date effectiveDate() const;