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rolandlichtersrolandlichters
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QPR-11180 rebatesAccrual and postBigBang
1 parent 0165b93 commit 6199917

4 files changed

Lines changed: 172 additions & 107 deletions

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‎ql/instruments/creditdefaultswap.cpp‎

Lines changed: 82 additions & 48 deletions
Original file line numberDiff line numberDiff line change
@@ -31,6 +31,7 @@
3131
#include <ql/quotes/simplequote.hpp>
3232
#include <ql/math/solvers1d/brent.hpp>
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#include <ql/time/calendars/weekendsonly.hpp>
34+
#include <iostream>
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3536
namespace QuantLib {
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@@ -45,7 +46,7 @@ namespace QuantLib {
4546
const Date& protectionStart,
4647
const ext::shared_ptr<Claim>& claim,
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const DayCounter& lastPeriodDayCounter,
48-
boost::optional<bool> rebatesAccrual,
49+
bool rebatesAccrual,
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const Date& tradeDate,
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Natural cashSettlementDays)
5152
: side_(side), notional_(notional), upfront_(boost::none),
@@ -72,7 +73,7 @@ namespace QuantLib {
7273
const Date& upfrontDate,
7374
const ext::shared_ptr<Claim>& claim,
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const DayCounter& lastPeriodDayCounter,
75-
boost::optional<bool> rebatesAccrual,
76+
bool rebatesAccrual,
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const Date& tradeDate,
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Natural cashSettlementDays)
7879
: side_(side), notional_(notional), upfront_(upfront),
@@ -86,12 +87,20 @@ namespace QuantLib {
8687
init(schedule, convention, dayCounter, lastPeriodDayCounter, rebatesAccrual, upfrontDate);
8788
}
8889

89-
CreditDefaultSwap::CreditDefaultSwap(Protection::Side side, Real notional, Rate spread, const Schedule& schedule,
90-
BusinessDayConvention convention, const DayCounter& dayCounter,
91-
bool settlesAccrual, ProtectionPaymentTime protectionPaymentTime,
92-
const Date& protectionStart, const boost::shared_ptr<Claim>& claim,
93-
const DayCounter& lastPeriodDayCounter, boost::optional<bool> rebatesAccrual,
94-
const Date& tradeDate, Natural cashSettlementDays)
90+
CreditDefaultSwap::CreditDefaultSwap(Protection::Side side,
91+
Real notional,
92+
Rate spread,
93+
const Schedule& schedule,
94+
BusinessDayConvention convention,
95+
const DayCounter& dayCounter,
96+
bool settlesAccrual,
97+
ProtectionPaymentTime protectionPaymentTime,
98+
const Date& protectionStart,
99+
const boost::shared_ptr<Claim>& claim,
100+
const DayCounter& lastPeriodDayCounter,
101+
bool rebatesAccrual,
102+
const Date& tradeDate,
103+
Natural cashSettlementDays)
95104
: side_(side), notional_(notional), upfront_(boost::none), runningSpread_(spread), settlesAccrual_(settlesAccrual),
96105
paysAtDefaultTime_(protectionPaymentTime == atDefault ? true : false),
97106
protectionPaymentTime_(protectionPaymentTime), claim_(claim),
@@ -101,13 +110,22 @@ namespace QuantLib {
101110
init(schedule, convention, dayCounter, lastPeriodDayCounter, rebatesAccrual);
102111
}
103112

104-
CreditDefaultSwap::CreditDefaultSwap(Protection::Side side, Real notional, Rate upfront, Rate runningSpread,
105-
const Schedule& schedule, BusinessDayConvention convention,
106-
const DayCounter& dayCounter, bool settlesAccrual,
107-
ProtectionPaymentTime protectionPaymentTime, const Date& protectionStart,
108-
const Date& upfrontDate, const boost::shared_ptr<Claim>& claim,
109-
const DayCounter& lastPeriodDayCounter, boost::optional<bool> rebatesAccrual,
110-
const Date& tradeDate, Natural cashSettlementDays)
113+
CreditDefaultSwap::CreditDefaultSwap(Protection::Side side,
114+
Real notional,
115+
Rate upfront,
116+
Rate runningSpread,
117+
const Schedule& schedule,
118+
BusinessDayConvention convention,
119+
const DayCounter& dayCounter,
120+
bool settlesAccrual,
121+
ProtectionPaymentTime protectionPaymentTime,
122+
const Date& protectionStart,
123+
const Date& upfrontDate,
124+
const boost::shared_ptr<Claim>& claim,
125+
const DayCounter& lastPeriodDayCounter,
126+
bool rebatesAccrual,
127+
const Date& tradeDate,
128+
Natural cashSettlementDays)
111129
: side_(side), notional_(notional), upfront_(upfront), runningSpread_(runningSpread),
112130
settlesAccrual_(settlesAccrual),
113131
paysAtDefaultTime_(protectionPaymentTime == atDefault ? true : false),
@@ -118,13 +136,21 @@ namespace QuantLib {
118136
init(schedule, convention, dayCounter, lastPeriodDayCounter, rebatesAccrual, upfrontDate);
119137
}
120138

121-
CreditDefaultSwap::CreditDefaultSwap(Protection::Side side, Real notional, const Leg& amortized_leg, Rate spread,
122-
const Schedule& schedule, BusinessDayConvention convention,
123-
const DayCounter& dayCounter, bool settlesAccrual,
124-
ProtectionPaymentTime protectionPaymentTime, const Date& protectionStart,
125-
const boost::shared_ptr<Claim>& claim, const DayCounter& lastPeriodDayCounter,
126-
boost::optional<bool> rebatesAccrual,
127-
const Date& tradeDate, Natural cashSettlementDays)
139+
CreditDefaultSwap::CreditDefaultSwap(Protection::Side side,
140+
Real notional,
141+
const Leg& amortized_leg,
142+
Rate spread,
143+
const Schedule& schedule,
144+
BusinessDayConvention convention,
145+
const DayCounter& dayCounter,
146+
bool settlesAccrual,
147+
ProtectionPaymentTime protectionPaymentTime,
148+
const Date& protectionStart,
149+
const boost::shared_ptr<Claim>& claim,
150+
const DayCounter& lastPeriodDayCounter,
151+
bool rebatesAccrual,
152+
const Date& tradeDate,
153+
Natural cashSettlementDays)
128154
: side_(side), notional_(notional), upfront_(boost::none), runningSpread_(spread), settlesAccrual_(settlesAccrual),
129155
paysAtDefaultTime_(protectionPaymentTime == atDefault ? true : false),
130156
protectionPaymentTime_(protectionPaymentTime), claim_(claim), leg_(amortized_leg),
@@ -134,13 +160,23 @@ namespace QuantLib {
134160
init(schedule, convention, dayCounter, lastPeriodDayCounter, rebatesAccrual);
135161
}
136162

137-
CreditDefaultSwap::CreditDefaultSwap(Protection::Side side, Real notional, const Leg& amortized_leg, Rate upfront,
138-
Rate runningSpread, const Schedule& schedule, BusinessDayConvention convention,
139-
const DayCounter& dayCounter, bool settlesAccrual,
140-
ProtectionPaymentTime protectionPaymentTime, const Date& protectionStart,
141-
const Date& upfrontDate, const boost::shared_ptr<Claim>& claim,
142-
const DayCounter& lastPeriodDayCounter, boost::optional<bool> rebatesAccrual,
143-
const Date& tradeDate, Natural cashSettlementDays)
163+
CreditDefaultSwap::CreditDefaultSwap(Protection::Side side,
164+
Real notional,
165+
const Leg& amortized_leg,
166+
Rate upfront,
167+
Rate runningSpread,
168+
const Schedule& schedule,
169+
BusinessDayConvention convention,
170+
const DayCounter& dayCounter,
171+
bool settlesAccrual,
172+
ProtectionPaymentTime protectionPaymentTime,
173+
const Date& protectionStart,
174+
const Date& upfrontDate,
175+
const boost::shared_ptr<Claim>& claim,
176+
const DayCounter& lastPeriodDayCounter,
177+
bool rebatesAccrual,
178+
const Date& tradeDate,
179+
Natural cashSettlementDays)
144180
: side_(side), notional_(notional), upfront_(upfront), runningSpread_(runningSpread),
145181
settlesAccrual_(settlesAccrual),
146182
paysAtDefaultTime_(protectionPaymentTime == atDefault ? true : false),
@@ -154,7 +190,7 @@ namespace QuantLib {
154190

155191
void CreditDefaultSwap::init(const Schedule& schedule, BusinessDayConvention paymentConvention,
156192
const DayCounter& dayCounter, const DayCounter& lastPeriodDayCounter,
157-
boost::optional<bool> rebatesAccrual, const Date& upfrontDate) {
193+
bool rebatesAccrual, const Date& upfrontDate) {
158194

159195
QL_REQUIRE(!schedule.empty(), "CreditDefaultSwap needs a non-empty schedule.");
160196

@@ -204,8 +240,8 @@ namespace QuantLib {
204240
maturity_ = schedule.dates().back();
205241

206242
// Deal with the accrual rebate. We use the standard conventions for accrual calculation introduced with the
207-
// CDS Big Bang in 2009, but the explicit rebatesAccrual argument dominates if provided.
208-
if (rebatesAccrual ? *rebatesAccrual : postBigBang) {
243+
// CDS Big Bang in 2009
244+
if (rebatesAccrual && postBigBang) {
209245
accrualRebate_ = boost::make_shared<SimpleCashFlow>(CashFlows::accruedAmount(leg_, false, tradeDate_ + 1),
210246
effectiveUpfrontDate);
211247
Date current = std::max((Date)Settings::instance().evaluationDate(), tradeDate_);
@@ -443,22 +479,6 @@ namespace QuantLib {
443479
Handle<Quote>(flatRate), dayCounter));
444480

445481
ext::shared_ptr<PricingEngine> engine = buildPricingEngine(probability, recoveryRate, discountCurve, model);
446-
// switch (model) {
447-
// case Midpoint:
448-
// engine = ext::make_shared<MidPointCdsEngine>(
449-
// probability, recoveryRate, discountCurve);
450-
// break;
451-
// case ISDA:
452-
// engine = ext::make_shared<IsdaCdsEngine>(
453-
// probability, recoveryRate, discountCurve,
454-
// boost::none,
455-
// IsdaCdsEngine::Taylor,
456-
// IsdaCdsEngine::HalfDayBias,
457-
// IsdaCdsEngine::Piecewise);
458-
// break;
459-
// default:
460-
// QL_FAIL("unknown CDS pricing model: " << model);
461-
// }
462482

463483
setupArguments(engine->getArguments());
464484
const CreditDefaultSwap::results* results =
@@ -580,4 +600,18 @@ namespace QuantLib {
580600
accrualRebateNPVCurrent = Null<Real>();
581601
}
582602

603+
std::ostream &operator<<(std::ostream &out,
604+
const CreditDefaultSwap::ProtectionPaymentTime &t) {
605+
if (t == CreditDefaultSwap::ProtectionPaymentTime::atDefault)
606+
out << "at default";
607+
else if (t == CreditDefaultSwap::ProtectionPaymentTime::atPeriodEnd)
608+
out << "at period end";
609+
else if (t == CreditDefaultSwap::ProtectionPaymentTime::atMaturity)
610+
out << "at maturity";
611+
else
612+
out << "unknown protection payment time";
613+
614+
return out;
615+
}
616+
583617
}

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