returns the net present value of the instrument.
returns all additional result returned by the pricing engine.
This method causes the object to forward all notifications, even when not calculated. The default behavior is to forward the first notification received, and discard the others until recalculated; the rationale is that observers were already notified, and don't need further notification until they recalculate, at which point this object would be recalculated too. After recalculation, this object would again forward the first notification received.
warning Forwarding all notifications will cause a performance hit, and should be used only when discarding notifications cause an incorrect behavior.
This method constrains the object to return the presently cached results on successive invocations, even if arguments upon which they depend should change.
This method force the recalculation of any results which
would otherwise be cached. It is not declared as
const since it needs to call the
non-const notifyObservers method.
note Explicit invocation of this method is not necessary if the object registered itself as observer with the structures on which such results depend. It is strongly advised to follow this policy when possible.
returns any additional result returned by the pricing engine.
set the pricing engine to be used.
warning calling this method will have no effects in case the performCalculation method was overridden in a derived class.
This method reverts the effect of the freeze
method, thus re-enabling recalculations.
Observer interface
returns the date the net present value refers to.
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.)