public static double GetSurvivalProb(
[QuantSAExcelArgument(Description = "The hazard rate curve or other source of default probabilities.")]
SurvivalProbabilitySource survivalProbabilitySource,
[QuantSAExcelArgument(Description =
"If date2 is omitted the date until which survival is calculated. If date2 is provided the date from which survival is calculated.")]
Date date1,
[QuantSAExcelArgument(
Description =
"Optional: If provided then the survival probability is calculated from date1 until date2.",
Default = null)]
Date date2)
{
return(date2 == null
? survivalProbabilitySource.GetSP(date1)
: survivalProbabilitySource.GetSP(date1, date2));
}
/// <summary>
/// Run a simulation and store the results for later use by <see cref="GetIndices(MarketObservable, List{Date})"/>
/// </summary>
/// <param name="simNumber"></param>
public override void RunSimulation(int simNumber)
{
_simulation = new Dictionary <int, double>();
var spot = _fxSource.GetRate(_anchorDate);
var simRate = spot;
var oldFxFwd = spot;
double newFXfwd;
var hazEst = _survivalProbSource.GetSP(_survivalProbSource.GetAnchorDate().AddTenor(Tenor.FromYears(1)));
hazEst = -Math.Log(hazEst);
// Simulate the default
var tau = _uniform.Generate();
tau = Math.Log(tau) / -hazEst;
_simDefaultTime = _anchorDate.value + tau * 365;
for (var timeCounter = 0; timeCounter < _allRequiredDates.Count; timeCounter++)
{
double dt = timeCounter > 0
? _allRequiredDates[timeCounter] - _allRequiredDates[timeCounter - 1]
: _allRequiredDates[timeCounter] - _anchorDate.value;
newFXfwd = _fxSource.GetRate(new Date(_anchorDate.value + dt));
dt = dt / 365.0;
var sdt = Math.Sqrt(dt);
var dW = _normal.Generate();
// TODO: drift needs to be adjusted for default rate * jump size
simRate = simRate * newFXfwd / oldFxFwd * Math.Exp(-0.5 * _fxVol * _fxVol * dt + _fxVol * sdt * dW);
if (_simDefaultTime < _allRequiredDates[timeCounter])
{
_simulation[_allRequiredDates[timeCounter]] = simRate * (1 + _relJumpSizeInDefault);
}
else
{
_simulation[_allRequiredDates[timeCounter]] = simRate;
}
}
}