Synthetic Collateralized Debt Obligation. More...
#include <ql/experimental/credit/syntheticcdo.hpp>
Classes | |
class | engine |
CDO base engine. More... | |
Public Member Functions | |
SyntheticCDO (const boost::shared_ptr< Basket > basket, Protection::Side side, const Schedule &schedule, Rate upfrontRate, Rate runningRate, const DayCounter &dayCounter, BusinessDayConvention paymentConvention, const Handle< YieldTermStructure > &yieldTS) | |
boost::shared_ptr< Basket > | basket () const |
bool | isExpired () const |
returns whether the instrument might have value greater than zero. | |
Rate | fairPremium () const |
Rate | fairUpfrontPremium () const |
Rate | premiumValue () const |
Rate | protectionValue () const |
Real | premiumLegNPV () const |
Real | protectionLegNPV () const |
Real | remainingNotional () const |
std::vector< Real > | expectedTrancheLoss () const |
Size | error () const |
void | setupArguments (PricingEngine::arguments *) const |
void | fetchResults (const PricingEngine::results *) const |
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Real | NPV () const |
returns the net present value of the instrument. | |
Real | errorEstimate () const |
returns the error estimate on the NPV when available. | |
const Date & | valuationDate () const |
returns the date the net present value refers to. | |
template<typename T > | |
T | result (const std::string &tag) const |
returns any additional result returned by the pricing engine. | |
const std::map< std::string, boost::any > & | additionalResults () const |
returns all additional result returned by the pricing engine. | |
void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) |
set the pricing engine to be used. | |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Additional Inherited Members | |
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void | calculate () const |
virtual void | performCalculations () const |
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boost::shared_ptr< PricingEngine > | engine_ |
Real | NPV_ |
Real | errorEstimate_ |
Date | valuationDate_ |
std::map< std::string, boost::any > | additionalResults_ |
Synthetic Collateralized Debt Obligation.
The instrument prices a mezzanine CDO tranche with loss given default between attachment point and detachment point
.
For purchased protection, the instrument value is given by the difference of the protection value and premium value
,
The protection leg is priced as follows:
The premium is paid on the protected notional amount, initially This notional amount is reduced by the expected protection payments
at times
so that the premium value is calculated as
where is the premium rate,
is the day count fraction between date/time
and
The construction of the portfolio loss distribution is based on the probability bucketing algorithm described in
John Hull and Alan White, "Valuation of a CDO and nth to default CDS without Monte Carlo simulation", Journal of Derivatives 12, 2, 2004
The pricing algorithm allows for varying notional amounts and default termstructures of the underlyings.
Real remainingNotional | ( | ) | const |
Total outstanding tranche notional, not wiped out
std::vector<Real> expectedTrancheLoss | ( | ) | const |
Expected tranche loss for all payment dates
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virtual |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
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virtual |
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.