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<div class="title">FittedBondCurve.cpp</div> </div>
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<p>This example fits a discount curve over a set of bonds with a number of methods.</p>
<div class="fragment"><pre class="fragment"><span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span>
<span class="comment">/* This example shows how to fit a term structure to a set of bonds</span>
<span class="comment"> using four different fitting methodologies. Though fitting is most</span>
<span class="comment"> useful for large numbers of bonds with non-smooth yield tenor</span>
<span class="comment"> structures, for comparison purposes, relatively smooth bond yields</span>
<span class="comment"> are fit here and compared to known solutions (par coupons), or</span>
<span class="comment"> results generated from the bootstrap fitting method.</span>
<span class="comment">*/</span>
<span class="preprocessor">#include <ql/quantlib.hpp></span>
<span class="preprocessor">#ifdef BOOST_MSVC</span>
<span class="preprocessor"></span><span class="comment">/* Uncomment the following lines to unmask floating-point</span>
<span class="comment"> exceptions. Warning: unpredictable results can arise...</span>
<span class="comment"></span>
<span class="comment"> See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481</span>
<span class="comment"> Is there anyone with a definitive word about this?</span>
<span class="comment">*/</span>
<span class="comment">// #include <float.h></span>
<span class="comment">// namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); }</span>
<span class="preprocessor">#endif</span>
<span class="preprocessor"></span>
<span class="preprocessor">#include <boost/timer.hpp></span>
<span class="preprocessor">#include <iostream></span>
<span class="preprocessor">#include <iomanip></span>
<span class="preprocessor">#define LENGTH(a) (sizeof(a)/sizeof(a[0]))</span>
<span class="preprocessor"></span>
<span class="keyword">using namespace </span>std;
<span class="keyword">using namespace </span>QuantLib;
<span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span>
<span class="preprocessor"></span><span class="keyword">namespace </span>QuantLib {
<a name="a0"></a><a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> sessionId() { <span class="keywordflow">return</span> 0; }
}
<span class="preprocessor">#endif</span>
<span class="preprocessor"></span>
<span class="comment">// par-rate approximation</span>
<a name="a1"></a><a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> parRate(<span class="keyword">const</span> <a name="_a2"></a><a class="code" href="class_quant_lib_1_1_yield_term_structure.html" title="Interest-rate term structure.">YieldTermStructure</a>& yts,
<span class="keyword">const</span> std::vector<Date>& dates,
<span class="keyword">const</span> <a name="_a3"></a><a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a>& resultDayCounter) {
<a name="a4"></a><a class="code" href="errors_8hpp.html#a7a9bcab8006882bc7d5302a0861ab1a6" title="throw an error if the given pre-condition is not verified">QL_REQUIRE</a>(dates.size() >= 2, <span class="stringliteral">"at least two dates are required"</span>);
<a name="a5"></a><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> sum = 0.0;
<a name="a6"></a><a class="code" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7" title="continuous quantity with 1-year units">Time</a> dt;
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=1; i<dates.size(); ++i) {
dt = resultDayCounter.<a name="a7"></a><a class="code" href="class_quant_lib_1_1_day_counter.html#af45d6af610c92c3fa975077f081002e6" title="Returns the period between two dates as a fraction of year.">yearFraction</a>(dates[i-1], dates[i]);
<a class="code" href="errors_8hpp.html#a7a9bcab8006882bc7d5302a0861ab1a6" title="throw an error if the given pre-condition is not verified">QL_REQUIRE</a>(dt>0.0, <span class="stringliteral">"unsorted dates"</span>);
sum += yts.<a name="a8"></a>discount(dates[i]) * dt;
}
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> result = yts.discount(dates.front()) - yts.discount(dates.back());
<span class="keywordflow">return</span> result/sum;
}
<span class="keywordtype">void</span> printOutput(<span class="keyword">const</span> std::string& tag,
<span class="keyword">const</span> boost::shared_ptr<FittedBondDiscountCurve>& curve) {
cout << tag << endl;
cout << <span class="stringliteral">"reference date : "</span>
<< curve->referenceDate()
<< endl;
cout << <span class="stringliteral">"number of iterations : "</span>
<< curve->fitResults().numberOfIterations()
<< endl
<< endl;
}
<span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* []) {
<span class="keywordflow">try</span> {
boost::timer timer;
<span class="keyword">const</span> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> numberOfBonds = 15;
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> cleanPrice[numberOfBonds];
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<numberOfBonds; i++) {
cleanPrice[i]=100.0;
}
std::vector< boost::shared_ptr<SimpleQuote> > quote;
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<numberOfBonds; i++) {
boost::shared_ptr<SimpleQuote> cp(<span class="keyword">new</span> <a name="_a9"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(cleanPrice[i]));
quote.push_back(cp);
}
<a name="_a10"></a><a class="code" href="class_quant_lib_1_1_relinkable_handle.html">RelinkableHandle<Quote></a> quoteHandle[numberOfBonds];
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<numberOfBonds; i++) {
quoteHandle[i].<a name="a11"></a>linkTo(quote[i]);
}
<a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> lengths[] = { 2, 4, 6, 8, 10, 12, 14, 16,
18, 20, 22, 24, 26, 28, 30 };
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> coupons[] = { 0.0200, 0.0225, 0.0250, 0.0275, 0.0300,
0.0325, 0.0350, 0.0375, 0.0400, 0.0425,
0.0450, 0.0475, 0.0500, 0.0525, 0.0550 };
<a class="code" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> frequency = <a name="a12"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>;
<a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> dc = <a name="_a13"></a><a class="code" href="class_quant_lib_1_1_simple_day_counter.html" title="Simple day counter for reproducing theoretical calculations.">SimpleDayCounter</a>();
<a class="code" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> accrualConvention = <a name="a14"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>;
<a class="code" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> convention = <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>;
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> redemption = 100.0;
<a name="_a15"></a><a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> calendar = <a name="_a16"></a><a class="code" href="class_quant_lib_1_1_null_calendar.html" title="Calendar for reproducing theoretical calculations.">NullCalendar</a>();
<a name="_a17"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> today = calendar.<a name="a18"></a><a class="code" href="class_quant_lib_1_1_calendar.html#aee7c18511c7ee1bcda6124f43a37aa28">adjust</a>(Date::todaysDate());
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> origToday = today;
Settings::instance().evaluationDate() = today;
<span class="comment">// changing bondSettlementDays=3 increases calculation</span>
<span class="comment">// time of exponentialsplines fitting method</span>
<a name="a19"></a><a class="code" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a" title="positive integer">Natural</a> bondSettlementDays = 0;
<a class="code" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a" title="positive integer">Natural</a> curveSettlementDays = 0;
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> bondSettlementDate = calendar.<a name="a20"></a><a class="code" href="class_quant_lib_1_1_calendar.html#ac47bb82bf7b147cfacf373991c2905ea">advance</a>(today, bondSettlementDays*Days);
cout << endl;
cout << <span class="stringliteral">"Today's date: "</span> << today << endl;
cout << <span class="stringliteral">"Bonds' settlement date: "</span> << bondSettlementDate << endl;
cout << <span class="stringliteral">"Calculating fit for 15 bonds....."</span> << endl << endl;
std::vector<boost::shared_ptr<BondHelper> > instrumentsA;
std::vector<boost::shared_ptr<RateHelper> > instrumentsB;
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> j=0; j<LENGTH(lengths); j++) {
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> maturity = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#ac47bb82bf7b147cfacf373991c2905ea">advance</a>(bondSettlementDate, lengths[j]*Years);
<a name="_a21"></a><a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> schedule(bondSettlementDate, maturity, <a name="_a22"></a><a class="code" href="class_quant_lib_1_1_period.html">Period</a>(frequency),
calendar, accrualConvention, accrualConvention,
DateGeneration::Backward, <span class="keyword">false</span>);
boost::shared_ptr<BondHelper> helperA(
<span class="keyword">new</span> FixedRateBondHelper(quoteHandle[j],
bondSettlementDays,
100.0,
schedule,
std::vector<Rate>(1,coupons[j]),
dc,
convention,
redemption));
boost::shared_ptr<RateHelper> helperB(
<span class="keyword">new</span> FixedRateBondHelper(quoteHandle[j],
bondSettlementDays,
100.0,
schedule,
std::vector<Rate>(1, coupons[j]),
dc,
convention,
redemption));
instrumentsA.push_back(helperA);
instrumentsB.push_back(helperB);
}
<span class="keywordtype">bool</span> constrainAtZero = <span class="keyword">true</span>;
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> tolerance = 1.0e-10;
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> max = 5000;
boost::shared_ptr<YieldTermStructure> ts0 (
<span class="keyword">new</span> <a name="_a23"></a><a class="code" href="class_quant_lib_1_1_piecewise_yield_curve.html" title="Piecewise yield term structure.">PiecewiseYieldCurve<Discount,LogLinear></a>(curveSettlementDays,
calendar,
instrumentsB,
dc));
<a name="_a24"></a><a class="code" href="class_quant_lib_1_1_exponential_splines_fitting.html" title="Exponential-splines fitting method.">ExponentialSplinesFitting</a> exponentialSplines(constrainAtZero);
boost::shared_ptr<FittedBondDiscountCurve> ts1 (
<span class="keyword">new</span> <a name="_a25"></a><a class="code" href="class_quant_lib_1_1_fitted_bond_discount_curve.html" title="Discount curve fitted to a set of fixed-coupon bonds.">FittedBondDiscountCurve</a>(curveSettlementDays,
calendar,
instrumentsA,
dc,
exponentialSplines,
tolerance,
max));
printOutput(<span class="stringliteral">"(a) exponential splines"</span>, ts1);
<a name="_a26"></a><a class="code" href="class_quant_lib_1_1_simple_polynomial_fitting.html" title="Simple polynomial fitting method.">SimplePolynomialFitting</a> simplePolynomial(3, constrainAtZero);
boost::shared_ptr<FittedBondDiscountCurve> ts2 (
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fitted_bond_discount_curve.html" title="Discount curve fitted to a set of fixed-coupon bonds.">FittedBondDiscountCurve</a>(curveSettlementDays,
calendar,
instrumentsA,
dc,
simplePolynomial,
tolerance,
max));
printOutput(<span class="stringliteral">"(b) simple polynomial"</span>, ts2);
<a name="_a27"></a><a class="code" href="class_quant_lib_1_1_nelson_siegel_fitting.html" title="Nelson-Siegel fitting method.">NelsonSiegelFitting</a> nelsonSiegel;
boost::shared_ptr<FittedBondDiscountCurve> ts3 (
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fitted_bond_discount_curve.html" title="Discount curve fitted to a set of fixed-coupon bonds.">FittedBondDiscountCurve</a>(curveSettlementDays,
calendar,
instrumentsA,
dc,
nelsonSiegel,
tolerance,
max));
printOutput(<span class="stringliteral">"(c) Nelson-Siegel"</span>, ts3);
<span class="comment">// a cubic bspline curve with 11 knot points, implies</span>
<span class="comment">// n=6 (constrained problem) basis functions</span>
<a class="code" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7" title="continuous quantity with 1-year units">Time</a> knots[] = { -30.0, -20.0, 0.0, 5.0, 10.0, 15.0,
20.0, 25.0, 30.0, 40.0, 50.0 };
std::vector<Time> knotVector;
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i< LENGTH(knots); i++) {
knotVector.push_back(knots[i]);
}
<a name="_a28"></a><a class="code" href="class_quant_lib_1_1_cubic_b_splines_fitting.html" title="CubicSpline B-splines fitting method.">CubicBSplinesFitting</a> cubicBSplines(knotVector, constrainAtZero);
boost::shared_ptr<FittedBondDiscountCurve> ts4 (
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fitted_bond_discount_curve.html" title="Discount curve fitted to a set of fixed-coupon bonds.">FittedBondDiscountCurve</a>(curveSettlementDays,
calendar,
instrumentsA,
dc,
cubicBSplines,
tolerance,
max));
printOutput(<span class="stringliteral">"(d) cubic B-splines"</span>, ts4);
<a name="_a29"></a><a class="code" href="class_quant_lib_1_1_svensson_fitting.html" title="Svensson Fitting method.">SvenssonFitting</a> svensson;
boost::shared_ptr<FittedBondDiscountCurve> ts5 (
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fitted_bond_discount_curve.html" title="Discount curve fitted to a set of fixed-coupon bonds.">FittedBondDiscountCurve</a>(curveSettlementDays,
calendar,
instrumentsA,
dc,
svensson,
tolerance,
max));
printOutput(<span class="stringliteral">"(e) Svensson"</span>, ts5);
cout << <span class="stringliteral">"Output par rates for each curve. In this case, "</span>
<< endl
<< <span class="stringliteral">"par rates should equal coupons for these par bonds."</span>
<< endl
<< endl;
cout << setw(6) << <span class="stringliteral">"tenor"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"coupon"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"bstrap"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(a)"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(b)"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(c)"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(d)"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(e)"</span> << endl;
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<instrumentsA.size(); i++) {
std::vector<boost::shared_ptr<CashFlow> > cfs =
instrumentsA[i]->bond()->cashflows();
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> cfSize = instrumentsA[i]->bond()->cashflows().size();
std::vector<Date> keyDates;
keyDates.push_back(bondSettlementDate);
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> j=0; j<cfSize-1; j++) {
<span class="keywordflow">if</span> (!cfs[j]->hasOccurred(bondSettlementDate, <span class="keyword">false</span>)) {
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> myDate = cfs[j]->date();
keyDates.push_back(myDate);
}
}
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> tenor = dc.<a class="code" href="class_quant_lib_1_1_day_counter.html#af45d6af610c92c3fa975077f081002e6" title="Returns the period between two dates as a fraction of year.">yearFraction</a>(today, cfs[cfSize-1]->date());
cout << setw(6) << fixed << setprecision(3) << tenor << <span class="stringliteral">" | "</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*coupons[i] << <span class="stringliteral">" | "</span>
<span class="comment">// piecewise bootstrap</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts0,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// exponential splines</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts1,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// simple polynomial</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts2,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// Nelson-Siegel</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts3,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// cubic bsplines</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts4,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// Svensson</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts5,keyDates,dc) << endl;
}
cout << endl << endl << endl;
cout << <span class="stringliteral">"Now add 23 months to today. Par rates should be "</span> << endl
<< <span class="stringliteral">"automatically recalculated because today's date "</span> << endl
<< <span class="stringliteral">"changes. Par rates will NOT equal coupons (YTM "</span> << endl
<< <span class="stringliteral">"will, with the correct compounding), but the "</span> << endl
<< <span class="stringliteral">"piecewise yield curve par rates can be used as "</span> << endl
<< <span class="stringliteral">"a benchmark for correct par rates."</span>
<< endl
<< endl;
today = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#ac47bb82bf7b147cfacf373991c2905ea">advance</a>(origToday,23,Months,convention);
Settings::instance().evaluationDate() = today;
bondSettlementDate = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#ac47bb82bf7b147cfacf373991c2905ea">advance</a>(today, bondSettlementDays*Days);
printOutput(<span class="stringliteral">"(a) exponential splines"</span>, ts1);
printOutput(<span class="stringliteral">"(b) simple polynomial"</span>, ts2);
printOutput(<span class="stringliteral">"(c) Nelson-Siegel"</span>, ts3);
printOutput(<span class="stringliteral">"(d) cubic B-splines"</span>, ts4);
printOutput(<span class="stringliteral">"(e) Svensson"</span>, ts5);
cout << endl
<< endl;
cout << setw(6) << <span class="stringliteral">"tenor"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"coupon"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"bstrap"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(a)"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(b)"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(c)"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(d)"</span> << endl;
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<instrumentsA.size(); i++) {
std::vector<boost::shared_ptr<CashFlow> > cfs =
instrumentsA[i]->bond()->cashflows();
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> cfSize = instrumentsA[i]->bond()->cashflows().size();
std::vector<Date> keyDates;
keyDates.push_back(bondSettlementDate);
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> j=0; j<cfSize-1; j++) {
<span class="keywordflow">if</span> (!cfs[j]->hasOccurred(bondSettlementDate, <span class="keyword">false</span>)) {
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> myDate = cfs[j]->date();
keyDates.push_back(myDate);
}
}
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> tenor = dc.<a class="code" href="class_quant_lib_1_1_day_counter.html#af45d6af610c92c3fa975077f081002e6" title="Returns the period between two dates as a fraction of year.">yearFraction</a>(today, cfs[cfSize-1]->date());
cout << setw(6) << fixed << setprecision(3) << tenor << <span class="stringliteral">" | "</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*coupons[i] << <span class="stringliteral">" | "</span>
<span class="comment">// piecewise bootstrap</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts0,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// exponential splines</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts1,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// simple polynomial</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts2,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// Nelson-Siegel</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts3,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// cubic bsplines</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts4,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// Svensson</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts5,keyDates,dc) << endl;
}
cout << endl << endl << endl;
cout << <span class="stringliteral">"Now add one more month, for a total of two years "</span> << endl
<< <span class="stringliteral">"from the original date. The first instrument is "</span> << endl
<< <span class="stringliteral">"now expired and par rates should again equal "</span> << endl
<< <span class="stringliteral">"coupon values, since clean prices did not change."</span>
<< endl
<< endl;
instrumentsA.erase(instrumentsA.begin(),
instrumentsA.begin()+1);
instrumentsB.erase(instrumentsB.begin(),
instrumentsB.begin()+1);
today = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#ac47bb82bf7b147cfacf373991c2905ea">advance</a>(origToday,24,Months,convention);
Settings::instance().evaluationDate() = today;
bondSettlementDate = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#ac47bb82bf7b147cfacf373991c2905ea">advance</a>(today, bondSettlementDays*Days);
boost::shared_ptr<YieldTermStructure> ts00 (
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_piecewise_yield_curve.html" title="Piecewise yield term structure.">PiecewiseYieldCurve<Discount,LogLinear></a>(curveSettlementDays,
calendar,
instrumentsB,
dc));
boost::shared_ptr<FittedBondDiscountCurve> ts11 (
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fitted_bond_discount_curve.html" title="Discount curve fitted to a set of fixed-coupon bonds.">FittedBondDiscountCurve</a>(curveSettlementDays,
calendar,
instrumentsA,
dc,
exponentialSplines,
tolerance,
max));
printOutput(<span class="stringliteral">"(a) exponential splines"</span>, ts11);
boost::shared_ptr<FittedBondDiscountCurve> ts22 (
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fitted_bond_discount_curve.html" title="Discount curve fitted to a set of fixed-coupon bonds.">FittedBondDiscountCurve</a>(curveSettlementDays,
calendar,
instrumentsA,
dc,
simplePolynomial,
tolerance,
max));
printOutput(<span class="stringliteral">"(b) simple polynomial"</span>, ts22);
boost::shared_ptr<FittedBondDiscountCurve> ts33 (
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fitted_bond_discount_curve.html" title="Discount curve fitted to a set of fixed-coupon bonds.">FittedBondDiscountCurve</a>(curveSettlementDays,
calendar,
instrumentsA,
dc,
nelsonSiegel,
tolerance,
max));
printOutput(<span class="stringliteral">"(c) Nelson-Siegel"</span>, ts33);
boost::shared_ptr<FittedBondDiscountCurve> ts44 (
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fitted_bond_discount_curve.html" title="Discount curve fitted to a set of fixed-coupon bonds.">FittedBondDiscountCurve</a>(curveSettlementDays,
calendar,
instrumentsA,
dc,
cubicBSplines,
tolerance,
max));
printOutput(<span class="stringliteral">"(d) cubic B-splines"</span>, ts44);
boost::shared_ptr<FittedBondDiscountCurve> ts55 (
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fitted_bond_discount_curve.html" title="Discount curve fitted to a set of fixed-coupon bonds.">FittedBondDiscountCurve</a>(curveSettlementDays,
calendar,
instrumentsA,
dc,
svensson,
tolerance,
max));
printOutput(<span class="stringliteral">"(e) Svensson"</span>, ts55);
cout << setw(6) << <span class="stringliteral">"tenor"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"coupon"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"bstrap"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(a)"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(b)"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(c)"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(d)"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(e)"</span> << endl;
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<instrumentsA.size(); i++) {
std::vector<boost::shared_ptr<CashFlow> > cfs =
instrumentsA[i]->bond()->cashflows();
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> cfSize = instrumentsA[i]->bond()->cashflows().size();
std::vector<Date> keyDates;
keyDates.push_back(bondSettlementDate);
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> j=0; j<cfSize-1; j++) {
<span class="keywordflow">if</span> (!cfs[j]->hasOccurred(bondSettlementDate, <span class="keyword">false</span>)) {
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> myDate = cfs[j]->date();
keyDates.push_back(myDate);
}
}
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> tenor = dc.<a class="code" href="class_quant_lib_1_1_day_counter.html#af45d6af610c92c3fa975077f081002e6" title="Returns the period between two dates as a fraction of year.">yearFraction</a>(today, cfs[cfSize-1]->date());
cout << setw(6) << fixed << setprecision(3) << tenor << <span class="stringliteral">" | "</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*coupons[i+1] << <span class="stringliteral">" | "</span>
<span class="comment">// piecewise bootstrap</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts00,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// exponential splines</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts11,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// simple polynomial</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts22,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// Nelson-Siegel</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts33,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// cubic bsplines</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts44,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// Svensson</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts55,keyDates,dc) << endl;
}
cout << endl << endl << endl;
cout << <span class="stringliteral">"Now decrease prices by a small amount, corresponding"</span> << endl
<< <span class="stringliteral">"to a theoretical five basis point parallel + shift of"</span> << endl
<< <span class="stringliteral">"the yield curve. Because bond quotes change, the new "</span> << endl
<< <span class="stringliteral">"par rates should be recalculated automatically."</span>
<< endl
<< endl;
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> k=0; k<LENGTH(lengths)-1; k++) {
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> P = instrumentsA[k]->quote()->value();
<span class="keyword">const</span> <a name="_a30"></a><a class="code" href="class_quant_lib_1_1_bond.html" title="Base bond class.">Bond</a>& b = *instrumentsA[k]->bond();
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> ytm = BondFunctions::yield(b, P,
dc, Compounded, frequency,
today);
<a class="code" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7" title="continuous quantity with 1-year units">Time</a> dur = BondFunctions::duration(b, ytm,
dc, Compounded, frequency,
Duration::Modified,
today);
<span class="keyword">const</span> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> bpsChange = 5.;
<span class="comment">// dP = -dur * P * dY</span>
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> deltaP = -dur * P * (bpsChange/10000.);
quote[k+1]->setValue(P + deltaP);
}
cout << setw(6) << <span class="stringliteral">"tenor"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"coupon"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"bstrap"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(a)"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(b)"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(c)"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(d)"</span> << <span class="stringliteral">" | "</span>
<< setw(6) << <span class="stringliteral">"(e)"</span> << endl;
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<instrumentsA.size(); i++) {
std::vector<boost::shared_ptr<CashFlow> > cfs =
instrumentsA[i]->bond()->cashflows();
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> cfSize = instrumentsA[i]->bond()->cashflows().size();
std::vector<Date> keyDates;
keyDates.push_back(bondSettlementDate);
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> j=0; j<cfSize-1; j++) {
<span class="keywordflow">if</span> (!cfs[j]->hasOccurred(bondSettlementDate, <span class="keyword">false</span>)) {
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> myDate = cfs[j]->date();
keyDates.push_back(myDate);
}
}
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> tenor = dc.<a class="code" href="class_quant_lib_1_1_day_counter.html#af45d6af610c92c3fa975077f081002e6" title="Returns the period between two dates as a fraction of year.">yearFraction</a>(today, cfs[cfSize-1]->date());
cout << setw(6) << fixed << setprecision(3) << tenor << <span class="stringliteral">" | "</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*coupons[i+1] << <span class="stringliteral">" | "</span>
<span class="comment">// piecewise bootstrap</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts00,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// exponential splines</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts11,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// simple polynomial</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts22,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// Nelson-Siegel</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts33,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// cubic bsplines</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts44,keyDates,dc) << <span class="stringliteral">" | "</span>
<span class="comment">// Svensson</span>
<< setw(6) << fixed << setprecision(3)
<< 100.*parRate(*ts55,keyDates,dc) << endl;
}
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> seconds = timer.elapsed();
<a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> hours = int(seconds/3600);
seconds -= hours * 3600;
<a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> minutes = int(seconds/60);
seconds -= minutes * 60;
std::cout << <span class="stringliteral">" \nRun completed in "</span>;
<span class="keywordflow">if</span> (hours > 0)
std::cout << hours << <span class="stringliteral">" h "</span>;
<span class="keywordflow">if</span> (hours > 0 || minutes > 0)
std::cout << minutes << <span class="stringliteral">" m "</span>;
std::cout << std::fixed << std::setprecision(0)
<< seconds << <span class="stringliteral">" s\n"</span> << std::endl;
<span class="keywordflow">return</span> 0;
} <span class="keywordflow">catch</span> (std::exception& e) {
cerr << e.what() << endl;
<span class="keywordflow">return</span> 1;
} <span class="keywordflow">catch</span> (...) {
cerr << <span class="stringliteral">"unknown error"</span> << endl;
<span class="keywordflow">return</span> 1;
}
}
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