Add qlRiskyBondEngine

eehlers · Oct 17, 2023 · f2ad4d2 · f2ad4d2
1 parent ca35626
commit f2ad4d2
Show file tree

Hide file tree

Showing 3 changed files with 56 additions and 0 deletions.
diff --git a/QuantLibAddin/gensrc/metadata/functions/pricingengines.xml b/QuantLibAddin/gensrc/metadata/functions/pricingengines.xml
@@ -11,6 +11,7 @@
     <include>qlo/processes.hpp</include>
     <include>ql/pricingengines/blackformula.hpp</include>
     <include>ql/pricingengines/blackscholescalculator.hpp</include>
+    <include>ql/termstructures/defaulttermstructure.hpp</include>
     <include>ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp</include>
     <include>ql/termstructures/volatility/swaption/swaptionvolstructure.hpp</include>
     <include>ql/pricingengines/swaption/jamshidianswaptionengine.hpp</include>
@@ -26,6 +27,7 @@
     <include>qlo/processes.hpp</include>
     <include>ql/pricingengines/blackformula.hpp</include>
     <include>ql/pricingengines/blackscholescalculator.hpp</include>
+    <include>ql/termstructures/defaulttermstructure.hpp</include>
     <include>ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp</include>
     <include>ql/termstructures/volatility/swaption/swaptionvolstructure.hpp</include>
     <include>ql/pricingengines/swaption/jamshidianswaptionengine.hpp</include>
@@ -1549,6 +1551,37 @@
       </ParameterList>
     </Constructor>
 
+    <Constructor name='qlRiskyBondEngine'>
+      <libraryFunction>RiskyBondEngine</libraryFunction>
+      <SupportedPlatforms>
+        <!--SupportedPlatform name='Excel' calcInWizard='false'/-->
+        <SupportedPlatform name='Excel'/>
+        <SupportedPlatform name='Calc'/>
+        <SupportedPlatform name='Cpp'/>
+      </SupportedPlatforms>
+      <ParameterList>
+        <Parameters>
+          <Parameter name='DefaultCurve'>
+            <type>QuantLib::DefaultProbabilityTermStructure</type>
+            <superType>libToHandle</superType>
+            <tensorRank>scalar</tensorRank>
+            <description>default term structure object ID.</description>
+          </Parameter>
+          <Parameter name='Recovery'>
+            <type>double</type>
+            <tensorRank>scalar</tensorRank>
+            <description>Recovery Rate.</description>
+          </Parameter>
+          <Parameter name='DiscountingCurve'>
+            <type>QuantLib::YieldTermStructure</type>
+            <superType>libToHandle</superType>
+            <tensorRank>scalar</tensorRank>
+            <description>discounting YieldTermStructure object ID.</description>
+          </Parameter>
+        </Parameters>
+      </ParameterList>
+    </Constructor>
+
     <Constructor name='qlJamshidianSwaptionEngine'>
       <libraryFunction>JamshidianSwaptionEngine</libraryFunction>
       <SupportedPlatforms>

diff --git a/QuantLibAddin/qlo/pricingengines.cpp b/QuantLibAddin/qlo/pricingengines.cpp
@@ -30,6 +30,7 @@
 #include <ql/pricingengines/capfloor/bacheliercapfloorengine.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
 #include <ql/pricingengines/bond/discountingbondengine.hpp>
+#include <ql/pricingengines/bond/riskybondengine.hpp>
 #include <ql/processes/blackscholesprocess.hpp>
 #include <ql/pricingengines/swaption/jamshidianswaptionengine.hpp>
 #include <ql/pricingengines/swaption/treeswaptionengine.hpp>
@@ -211,6 +212,17 @@ namespace QuantLibAddin {
             QuantLib::DiscountingBondEngine(discountCurve));
     }
 
+    RiskyBondEngine::RiskyBondEngine(
+        const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
+        const QuantLib::Handle<QuantLib::DefaultProbabilityTermStructure>& defaultProbabilityTermStructure,
+        const QuantLib::Real recoveryRate,
+        const QuantLib::Handle<QuantLib::YieldTermStructure>& discountCurve,
+        bool permanent) : PricingEngine(properties, permanent)
+    {
+        libraryObject_ = boost::shared_ptr<QuantLib::PricingEngine>(new
+            QuantLib::RiskyBondEngine(defaultProbabilityTermStructure, recoveryRate, discountCurve));
+    }
+
     JamshidianSwaptionEngine::JamshidianSwaptionEngine(
         const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
         const boost::shared_ptr<QuantLib::OneFactorAffineModel>& model,

diff --git a/QuantLibAddin/qlo/pricingengines.hpp b/QuantLibAddin/qlo/pricingengines.hpp
@@ -44,6 +44,7 @@ namespace QuantLib {
     class PricingEngine;
     class Quote;
     class YieldTermStructure;
+    class DefaultProbabilityTermStructure;
     class DayCounter;
     class DiscountingBondEngine;
     class DiscountingSwapEngine;
@@ -201,6 +202,16 @@ namespace QuantLibAddin {
             bool permanent);
     };
 
+    class RiskyBondEngine : public PricingEngine {
+    public:
+        RiskyBondEngine(
+            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
+            const QuantLib::Handle<QuantLib::DefaultProbabilityTermStructure>& defaultProbabilityTermStructure,
+            const QuantLib::Real recoveryRate,
+            const QuantLib::Handle<QuantLib::YieldTermStructure>& discountCurve,
+            bool permanent);
+    };
+
     class JamshidianSwaptionEngine : public PricingEngine {
     public:
         JamshidianSwaptionEngine(