Bond Basket. More...

#include <qle/instruments/bondbasket.hpp>

Public Member Functions
	BondBasket (const std::map< std::string, QuantLib::ext::shared_ptr< QuantLib::Bond >> &qlBonds, const std::map< std::string, double > &recoveries, const std::map< std::string, double > &multipliers, const std::map< std::string, QuantLib::Handle< QuantLib::YieldTermStructure >> &yieldTermStructures, const std::map< std::string, Currency > &currencies, const QuantLib::ext::shared_ptr< QuantLib::Pool > pool, Currency baseCcy, const std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex >> &fxIndexMap, const QuantLib::Date &reinvestmentEndDate, const std::map< std::string, std::vector< double >> &reinvestmentScalar, const std::map< std::string, std::vector< std::string >> &flowType)

const std::map< std::string, QuantLib::ext::shared_ptr< QuantLib::Bond > > &	bonds () const
	Inspectors. More...

const QuantLib::ext::shared_ptr< QuantLib::Pool > &	pool () const

const std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex > > &	fxIndexMap () const

const std::set< QuantLib::Currency >	unique_currencies () const

const double	recoveryRate (const std::string &name) const

const double	multiplier (const std::string &name) const

Real	convert (Real amount, Currency ccy, Date date=Date())

void	setGrid (std::vector< Date > dates)

std::map< Currency, std::vector< Cash > >	scenarioCashflow (std::vector< Date > dates)

std::map< Currency, std::vector< Cash > >	scenarioInterestflow (std::vector< Date > dates)

std::map< Currency, std::vector< Cash > >	scenarioPrincipalflow (std::vector< Date > dates)

std::map< Currency, std::vector< Real > >	scenarioRemainingNotional (std::vector< Date > dates)

std::map< Currency, std::vector< Cash > >	scenarioLossflow (std::vector< Date > dates)

std::map< Currency, std::vector< Cash > >	scenarioFeeflow (const std::vector< QuantLib::Date > &dates)

void	fillFlowMaps ()

Detailed Description

Bond Basket.

This class holds a basket of defaultable bonds along with the pool of relevant names. There may be more bonds than names involved, e.g. several different bonds with same issuer.

The class provides tools for evaluating basket cash flows of different kinds (interest, principal) for scenarios of default times stored for all names involved in the Pool structure.

For further information refer to the detailed QuantExt documentation.

Constructor & Destructor Documentation

◆ BondBasket()

BondBasket	(	const std::map< std::string, QuantLib::ext::shared_ptr< QuantLib::Bond >> &	qlBonds,
		const std::map< std::string, double > &	recoveries,
		const std::map< std::string, double > &	multipliers,
		const std::map< std::string, QuantLib::Handle< QuantLib::YieldTermStructure >> &	yieldTermStructures,
		const std::map< std::string, Currency > &	currencies,
		const QuantLib::ext::shared_ptr< QuantLib::Pool >	pool,
		Currency	baseCcy,
		const std::map< std::string, QuantLib::ext::shared_ptr< QuantExt::FxIndex >> &	fxIndexMap,
		const QuantLib::Date &	reinvestmentEndDate,
		const std::map< std::string, std::vector< double >> &	reinvestmentScalar,
		const std::map< std::string, std::vector< std::string >> &	flowType
	)

Parameters

qlBonds	map of QuantLib bonds
recoveries	recoveries per bonds
multipliers	multipliers per bonds
yieldTermStructures	discount curves per bonds
currencies	currencies per bonds
pool	Pool storing default time for all names involved in the basekt above
baseCcy	Base currency
fxIndexMap	Forex structure to compute spot and forward FX rates
reinvestmentEndDate	end of reinvestment period
reinvestmentScalar	scalar for reinvestment period per bonds
flowType	flow types of cashflows per bonds

Member Function Documentation

◆ bonds()

const std::map<std::string, QuantLib::ext::shared_ptr<QuantLib::Bond> >& bonds ( ) const

Inspectors.

Vector of risky bonds

◆ pool()

const QuantLib::ext::shared_ptr<QuantLib::Pool>& pool ( ) const

Pool of names with associated default times

◆ fxIndexMap()

const std::map<std::string, QuantLib::ext::shared_ptr<QuantExt::FxIndex> >& fxIndexMap ( ) const

Forex structure

◆ unique_currencies()

const std::set<QuantLib::Currency> unique_currencies ( ) const

Unique currencies involved

◆ recoveryRate()

const double recoveryRate ( const std::string & name ) const

Recovery rate for given name

◆ multiplier()

const double multiplier ( const std::string & name ) const

Multiplier for given name

◆ convert()

Real convert	(	Real	amount,
		Currency	ccy,
		Date	date = `Date()`
	)

FX conversion

◆ setGrid()

void setGrid ( std::vector< Date > dates )

Set the date grid for mapping cash flows. Store for each bond cash flow date the associated date grid bucket.

Public Member Functions