virtual void updatePath(const std::vector<std::pair<Date, Real> > &events, NotionalPath &path) const
{
path.reset();
Real losses = 0;
Real previousNotional = 1;
for(size_t i=0; i<events.size(); ++i)
{
losses+=events[i].second;
if(losses>attachement_ && previousNotional>0)
{
previousNotional = std::max(0.0, (exhaustion_-losses)/(exhaustion_-attachement_));
path.addReduction(paymentOffset_->paymentDate(events[i].first), previousNotional);
}
}
}
Real MonteCarloCatBondEngine::npv(bool includeSettlementDateFlows, Date settlementDate, Date npvDate, Real& lossProbability, Real &exhaustionProbability, Real& expectedLoss) const
{
const size_t MAX_PATHS = 10000; //TODO
lossProbability = 0.0;
exhaustionProbability = 0.0;
expectedLoss = 0.0;
if (arguments_.cashflows.empty())
return 0.0;
if (settlementDate == Date())
settlementDate = Settings::instance().evaluationDate();
if (npvDate == Date())
npvDate = settlementDate;
Real totalNPV = 0.0;
Date effectiveDate = std::max(arguments_.startDate, settlementDate);
Date maturityDate = (*arguments_.cashflows.rbegin())->date();
boost::shared_ptr<CatSimulation> catSimulation = catRisk_->newSimulation(effectiveDate, maturityDate);
std::vector<std::pair<Date, Real> > eventsPath;
NotionalPath notionalPath;
Real riskFreeNPV = pathNpv(includeSettlementDateFlows, settlementDate, notionalPath);
size_t pathCount=0;
while(catSimulation->nextPath(eventsPath) && pathCount<MAX_PATHS)
{
arguments_.notionalRisk->updatePath(eventsPath, notionalPath);
if(notionalPath.loss()>0) { //optimization, most paths will not include any loss
totalNPV += pathNpv(includeSettlementDateFlows, settlementDate, notionalPath);
lossProbability+=1;
if (notionalPath.loss()==1)
exhaustionProbability+=1;
expectedLoss+=notionalPath.loss();
} else {
totalNPV += riskFreeNPV;
}
pathCount++;
}
lossProbability/=pathCount;
exhaustionProbability/=pathCount;
expectedLoss/=pathCount;
return totalNPV/(pathCount*discountCurve_->discount(npvDate));
}
CatBond::results MonteCarloCatBondEngine::npv(bool includeSettlementDateFlows,
Date settlementDate,
Date npvDate) const
{
const size_t MAX_PATHS = 10000; //TODO
CatBond::results result;
result.reset();
double lossProbability = 0.0;
double exhaustionProbability = 0.0;
double expectedLoss = 0.0;
//GenericRiskStatistics<GeneralStatistics> statistics;
GeneralStatistics statistics;
if (arguments_.cashflows.empty()) {
return result;
}
if (settlementDate == Date())
settlementDate = Settings::instance().evaluationDate();
if (npvDate == Date())
npvDate = settlementDate;
Real totalNPV = 0.0;
Date effectiveDate = std::max(arguments_.startDate, settlementDate);
Date maturityDate = (*arguments_.cashflows.rbegin())->date();
auto catSimulation = catRisk_->newSimulation(effectiveDate, maturityDate);
std::vector<std::pair<Date, Real> > eventsPath;
NotionalPath notionalPath;
Real riskFreeNPV = pathNpv(includeSettlementDateFlows, settlementDate, notionalPath);
size_t pathCount=0;
while(catSimulation->nextPath(eventsPath) && pathCount<MAX_PATHS)
{
arguments_.notionalRisk->updatePath(eventsPath, notionalPath);
if(notionalPath.loss()>0) { //optimization, most paths will not include any loss
double thisNpv = pathNpv(includeSettlementDateFlows, settlementDate, notionalPath);
totalNPV += thisNpv;
lossProbability+=1;
if (notionalPath.loss()==1)
exhaustionProbability+=1;
expectedLoss+=notionalPath.loss();
statistics.add(thisNpv, 1.0);
} else {
totalNPV += riskFreeNPV;
statistics.add(riskFreeNPV, 1.0);
}
pathCount++;
}
lossProbability/=pathCount;
exhaustionProbability/=pathCount;
expectedLoss/=pathCount;
result.valuationDate = settlementDate;
result.value = totalNPV/(pathCount*discountCurve_->discount(npvDate));
result.settlementValue = result.value;
result.lossProbability = lossProbability;
result.exhaustionProbability = exhaustionProbability;
result.expectedLoss = expectedLoss;
if(Null<Real>()!=varLevel_) {
result.var = result.value - statistics.percentile(1.0-varLevel_);
result.stdDev = statistics.standardDeviation();
result.skew = statistics.skewness();
result.kurtosis = statistics.kurtosis();
}
return result;
}
Real MonteCarloCatBondEngine::cashFlowRiskyValue(const boost::shared_ptr<CashFlow> cf,
const NotionalPath& notionalPath) const {
return cf->amount()*notionalPath.notionalRate(cf->date()); //TODO: fix for more complicated cashflows
}