QuantLib_NthToDefault man page

NthToDefault — N-th to default swap.

Synopsis

#include <ql/experimental/credit/nthtodefault.hpp>

Inherits Instrument.

Classes

class engine
NTD base engine.

Public Member Functions

NthToDefault (const boost::shared_ptr< Basket > &basket, Size n, Protection::Side side, const Schedule &premiumSchedule, Rate upfrontRate, Rate premiumRate, const DayCounter &dayCounter, Real nominal, bool settlePremiumAccrual)
This product is 'digital'; the basket might be tranched but this is.
bool isExpired () const
returns whether the instrument might have value greater than zero.
Rate premium () const

Real nominal () const

DayCounter dayCounter () const

Protection::Side side () const

Size rank () const

Size basketSize () const

const Date & maturity () const

const boost::shared_ptr< Basket > & basket () const

Rate fairPremium () const

Real premiumLegNPV () const

Real protectionLegNPV () const

Real errorEstimate () const

void setupArguments (PricingEngine::arguments *) const

void fetchResults (const PricingEngine::results *) const

Additional Inherited Members

Detailed Description

N-th to default swap.

A NTD instrument exchanges protection against the nth default in a basket of underlying credits for premium payments based on the protected notional amount.

The pricing is analogous to the pricing of a CDS instrument which represents protection against default of a single underlying credit. The only difference is the calculation of the probability of default. In the CDS case, it is the probabilty of single name default; in the NTD case the probability of at least N defaults in the portfolio of underlying credits.

This probability is computed using the algorithm 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 algorithm allows for varying probability of default across the basket. Otherwise, for identical probabilities of default, the probability of n defaults is given by the binomial distribution.

Default correlation is modeled using a one-factor Gaussian copula approach.

The class is tested against data in Hull-White (see reference above.)

Member Function Documentation

void setupArguments (PricingEngine::arguments *) const [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.

void fetchResults (const PricingEngine::results * r) const [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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

basket(3), basketSize(3), NthToDefault(3), premium(3), premiumLegNPV(3), protectionLegNPV(3) and rank(3) are aliases of QuantLib_NthToDefault(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib