1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>FittedBondDiscountCurve Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="185" height="50" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 1.2</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.7.6.1 -->
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve.html">FittedBondDiscountCurve</a> </li>
</ul>
</div>
</div>
<div class="header">
<div class="summary">
<a href="#nested-classes">Classes</a> |
<a href="#friends">Friends</a> </div>
<div class="headertitle">
<div class="title">FittedBondDiscountCurve Class Reference<div class="ingroups"><a class="el" href="group__yieldtermstructures.html">Term structures</a></div></div> </div>
</div><!--header-->
<div class="contents">
<!-- doxytag: class="QuantLib::FittedBondDiscountCurve" --><!-- doxytag: inherits="QuantLib::YieldTermStructure,QuantLib::LazyObject" -->
<p><a class="el" href="struct_quant_lib_1_1_discount.html" title="Discount-curve traits.">Discount</a> curve fitted to a set of fixed-coupon bonds.
<a href="class_quant_lib_1_1_fitted_bond_discount_curve.html#details">More...</a></p>
<p><code>#include <ql/termstructures/yield/fittedbonddiscountcurve.hpp></code></p>
<div class="dynheader">
Inheritance diagram for FittedBondDiscountCurve:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_fitted_bond_discount_curve__inherit__graph.png" border="0" usemap="#_fitted_bond_discount_curve_inherit__map" alt="Inheritance graph"/></div>
<map name="_fitted_bond_discount_curve_inherit__map" id="_fitted_bond_discount_curve_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_yield_term_structure.html" title="Interest-rate term structure." alt="" coords="5,6,139,37"/><area shape="rect" id="node4" href="class_quant_lib_1_1_lazy_object.html" title="Framework for calculation on demand and result caching." alt="" coords="163,6,251,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_fitted_bond_discount_curve-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="nested-classes"></a>
Classes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve_1_1_fitting_method.html">FittingMethod</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Base fitting method used to construct a fitted bond discount curve. <a href="class_quant_lib_1_1_fitted_bond_discount_curve_1_1_fitting_method.html#details">More...</a><br/></td></tr>
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a77e7c5aa487e5a9174a5fbaa93976e1d"></a><!-- doxytag: member="QuantLib::FittedBondDiscountCurve::FittedBondDiscountCurve" ref="a77e7c5aa487e5a9174a5fbaa93976e1d" args="(Natural settlementDays, const Calendar &calendar, const std::vector< boost::shared_ptr< BondHelper > > &bonds, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size maxEvaluations=10000, const Array &guess=Array(), Real simplexLambda=1.0)" -->
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve.html#a77e7c5aa487e5a9174a5fbaa93976e1d">FittedBondDiscountCurve</a> (<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> <a class="el" href="class_quant_lib_1_1_term_structure.html#ab6506da60fec85c6f146f1b43116de70">settlementDays</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ae9a0f3904cff2fe61596c593dd0b6448">calendar</a>, const std::vector< boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_bond_helper.html">BondHelper</a> > > &bonds, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>, const <a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve_1_1_fitting_method.html">FittingMethod</a> &fittingMethod, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> accuracy=1.0e-10, Size maxEvaluations=10000, const Array &guess=Array(), Real simplexLambda=1.0)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">reference date based on current evaluation date <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1dfde98737878966234551bde76b25f1"></a><!-- doxytag: member="QuantLib::FittedBondDiscountCurve::FittedBondDiscountCurve" ref="a1dfde98737878966234551bde76b25f1" args="(const Date &referenceDate, const std::vector< boost::shared_ptr< BondHelper > > &bonds, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size maxEvaluations=10000, const Array &guess=Array(), Real simplexLambda=1.0)" -->
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve.html#a1dfde98737878966234551bde76b25f1">FittedBondDiscountCurve</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#aa9ae6cc6009ac64d4f265065eab08be0">referenceDate</a>, const std::vector< boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_bond_helper.html">BondHelper</a> > > &bonds, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>, const <a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve_1_1_fitting_method.html">FittingMethod</a> &fittingMethod, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> accuracy=1.0e-10, Size maxEvaluations=10000, const Array &guess=Array(), Real simplexLambda=1.0)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">curve reference date fixed for life of curve <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aeabd551719625bf3e1f847ecc310a4f6"></a><!-- doxytag: member="QuantLib::FittedBondDiscountCurve::FittedBondDiscountCurve" ref="aeabd551719625bf3e1f847ecc310a4f6" args="(Natural settlementDays, const Calendar &calendar, const std::vector< boost::shared_ptr< FixedRateBondHelper > > &bonds, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size maxEvaluations=10000, const Array &guess=Array(), Real simplexLambda=1.0)" -->
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve.html#aeabd551719625bf3e1f847ecc310a4f6">FittedBondDiscountCurve</a> (<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> <a class="el" href="class_quant_lib_1_1_term_structure.html#ab6506da60fec85c6f146f1b43116de70">settlementDays</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ae9a0f3904cff2fe61596c593dd0b6448">calendar</a>, const std::vector< boost::shared_ptr< FixedRateBondHelper > > &bonds, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>, const <a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve_1_1_fitting_method.html">FittingMethod</a> &fittingMethod, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> accuracy=1.0e-10, Size maxEvaluations=10000, const Array &guess=Array(), Real simplexLambda=1.0)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">reference date based on current evaluation date <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae4fcbf98e2016fb2bbf16035769bb797"></a><!-- doxytag: member="QuantLib::FittedBondDiscountCurve::FittedBondDiscountCurve" ref="ae4fcbf98e2016fb2bbf16035769bb797" args="(const Date &referenceDate, const std::vector< boost::shared_ptr< FixedRateBondHelper > > &bonds, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size maxEvaluations=10000, const Array &guess=Array(), Real simplexLambda=1.0)" -->
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve.html#ae4fcbf98e2016fb2bbf16035769bb797">FittedBondDiscountCurve</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#aa9ae6cc6009ac64d4f265065eab08be0">referenceDate</a>, const std::vector< boost::shared_ptr< FixedRateBondHelper > > &bonds, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>, const <a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve_1_1_fitting_method.html">FittingMethod</a> &fittingMethod, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> accuracy=1.0e-10, Size maxEvaluations=10000, const Array &guess=Array(), Real simplexLambda=1.0)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">curve reference date fixed for life of curve <br/></td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7cf0bcef35de1b57ad0f7ef11970fc52"></a><!-- doxytag: member="QuantLib::FittedBondDiscountCurve::numberOfBonds" ref="a7cf0bcef35de1b57ad0f7ef11970fc52" args="() const " -->
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve.html#a7cf0bcef35de1b57ad0f7ef11970fc52">numberOfBonds</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">total number of bonds used to fit the yield curve <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a74d8fc5480ca811db8332b7b30597fe9"></a><!-- doxytag: member="QuantLib::FittedBondDiscountCurve::maxDate" ref="a74d8fc5480ca811db8332b7b30597fe9" args="() const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve.html#a74d8fc5480ca811db8332b7b30597fe9">maxDate</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the latest date for which the curve can return values <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1e16dc4d9f84a6e0fabb5b03151ddad5"></a><!-- doxytag: member="QuantLib::FittedBondDiscountCurve::fitResults" ref="a1e16dc4d9f84a6e0fabb5b03151ddad5" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve_1_1_fitting_method.html">FittingMethod</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve.html#a1e16dc4d9f84a6e0fabb5b03151ddad5">fitResults</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">class holding the results of the fit <br/></td></tr>
<tr><td colspan="2"><div class="groupHeader">Observer interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
<tr><td colspan="2"><h2><a name="friends"></a>
Friends</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa89d459b4348379e6b5b96665fc8ad21"></a><!-- doxytag: member="QuantLib::FittedBondDiscountCurve::FittingMethod" ref="aa89d459b4348379e6b5b96665fc8ad21" args="" -->
class </td><td class="memItemRight" valign="bottom"><b>FittingMethod</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p><a class="el" href="struct_quant_lib_1_1_discount.html" title="Discount-curve traits.">Discount</a> curve fitted to a set of fixed-coupon bonds. </p>
<p>This class fits a discount function <img class="formulaInl" alt="$ d(t) $" src="form_389.png"/> over a set of bonds, using a user defined fitting method. The discount function is fit in such a way so that all cashflows of all input bonds, when discounted using <img class="formulaInl" alt="$ d(t) $" src="form_389.png"/>, will reproduce the set of input bond prices in an optimized sense. Minimized price errors are weighted by the inverse of their respective bond duration.</p>
<p>The <a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve.html" title="Discount curve fitted to a set of fixed-coupon bonds.">FittedBondDiscountCurve</a> class acts as a generic wrapper, while its inner class <a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve_1_1_fitting_method.html" title="Base fitting method used to construct a fitted bond discount curve.">FittingMethod</a> provides the implementation details. Developers thus need only derive new fitting methods from the latter.</p>
<p><b> Example: </b> <a class="el" href="_fitted_bond_curve_8cpp-example.html">compares various bond discount curve fitting methodologies </a></p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000135">Warning:</a></b></dt><dd>The method can be slow if there are many bonds to fit. Speed also depends on the particular choice of fitting method chosen and its convergence properties under optimization. See also todo list for BondDiscountCurveFittingMethod.</dd></dl>
<dl class="todo"><dt><b><a class="el" href="todo.html#_todo000063">Possible enhancements:</a></b></dt><dd>refactor the bond helper class so that it is pure virtual and returns a generic bond or its cash flows. Derived classes would include helpers for fixed-rate and zero-coupon bonds. In this way, both bonds and bills can be used to fit a discount curve using the exact same machinery. At present, only fixed-coupon bonds are supported. An even better way to move forward might be to get rate helpers to return cashflows, in which case this class could be used to fit any set of cash flows, not just bonds.</dd></dl>
<dl class="todo"><dt><b><a class="el" href="todo.html#_todo000064">Possible enhancements:</a></b></dt><dd>add more fitting diagnostics: smoothness, standard deviation, student-t test, etc. Generic smoothness method may be useful for smoothing splines fitting. See Fisher, M., D. Nychka and D. Zervos: "Fitting the term
structure of interest rates with smoothing splines." Board of Governors of the Federal Reserve System, Federal Resere Board Working Paper, 95-1.</dd></dl>
<dl class="todo"><dt><b><a class="el" href="todo.html#_todo000065">Possible enhancements:</a></b></dt><dd>add extrapolation routines</dd></dl>
<dl><dt><b>Examples: </b></dt><dd><a class="el" href="_fitted_bond_curve_8cpp-example.html#_a25">FittedBondCurve.cpp</a>.</dd>
</dl></div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="ac5c54df7ed3b930268c8d7752c101725"></a><!-- doxytag: member="QuantLib::FittedBondDiscountCurve::update" ref="ac5c54df7ed3b930268c8d7752c101725" args="()" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve.html#ac5c54df7ed3b930268c8d7752c101725">update</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td><code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes. </p>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_lazy_object.html#ac5c54df7ed3b930268c8d7752c101725">LazyObject</a>.</p>
</div>
</div>
</div><!-- contents -->
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.7.6.1
</div>
</div>
</div>
</body>
</html>
|
