Class MonteCarloCatBondEngine

Namespace: NanoQL.Experimental

Assembly: NanoQL.dll

The Monte Carlo cat bond engine: each simulated path of the catastrophe risk's events writes the bond's notional path, whose cash flows, each scaled by the notional left on its date, are discounted and averaged.

[Experimental("NQL0001")]
public static class MonteCarloCatBondEngine

Inheritance: object

MonteCarloCatBondEngine

Inherited Members: object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

The path count is a parameter, 10,000 by default and refused at 0, and a simulation with no path is refused ("no Monte Carlo paths were generated"), where 1.44 caps the count at a constant and divides 0 by 0: QuantLib's fix from its master after the pin (#2839; Divergences/MonteCarloCatBondEngineTests.cs). The loss statistics are the valuation date's simulation's.

Methods

Calculate(CatBond, EvaluationContext, CatRisk, YieldTermStructure, bool?, int)

Prices a cat bond.

public static CatBondResults Calculate(CatBond bond, EvaluationContext context, CatRisk catRisk, YieldTermStructure discountCurve, bool? includeSettlementDateFlows = null, int maxPaths = 10000)

Parameters

bond CatBond: The bond.
context EvaluationContext: The evaluation context.
catRisk CatRisk: The catastrophe risk.
discountCurve YieldTermStructure: The discount curve.
includeSettlementDateFlows bool?: Whether flows on the settlement date count; the context's IncludeReferenceDateEvents when null.
maxPaths int: The paths simulated at most.

Returns

CatBondResults: The bond's results.

Exceptions

ArgumentNullException: An argument but includeSettlementDateFlows is null.
ArgumentOutOfRangeException: maxPaths isn't positive ("maxPaths must be positive").
NanoQLException: The simulation gives no path ("no Monte Carlo paths were generated"), or a curve refuses a date.