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<div class="title">FittedBondCurve.cpp</div> </div>
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<div class="contents">
<p>For a given set of coupons and terms to maturity, this example computes the value of a bond by fitting the yields to a curve using different methods. The fitting methods are exponential splines, simple polynomials, Nelson-Siegel, and cubic B-splines. It then shifts the evaluation date into the future to compute implied forward par rates. It also computes yields after small price shifts.</p>
<div class="fragment"><div class="line"><span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span></div>
<div class="line"> </div>
<div class="line"><span class="comment">/* This example shows how to fit a term structure to a set of bonds</span></div>
<div class="line"><span class="comment"> using four different fitting methodologies. Though fitting is most</span></div>
<div class="line"><span class="comment"> useful for large numbers of bonds with non-smooth yield tenor</span></div>
<div class="line"><span class="comment"> structures, for comparison purposes, relatively smooth bond yields</span></div>
<div class="line"><span class="comment"> are fit here and compared to known solutions (par coupons), or</span></div>
<div class="line"><span class="comment"> results generated from the bootstrap fitting method.</span></div>
<div class="line"><span class="comment">*/</span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include <ql/qldefines.hpp></span></div>
<div class="line"><span class="preprocessor">#ifdef BOOST_MSVC</span></div>
<div class="line"><span class="preprocessor"># include <ql/auto_link.hpp></span></div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yield/fittedbonddiscountcurve.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yield/piecewiseyieldcurve.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yield/flatforward.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yield/bondhelpers.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yield/nonlinearfittingmethods.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/pricingengines/bond/bondfunctions.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/calendars/target.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/daycounters/simpledaycounter.hpp></span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include <iostream></span></div>
<div class="line"><span class="preprocessor">#include <iomanip></span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#define LENGTH(a) (sizeof(a)/sizeof(a[0]))</span></div>
<div class="line"> </div>
<div class="line"><span class="keyword">using namespace </span>std;</div>
<div class="line"><span class="keyword">using namespace </span><a class="code" href="namespace_quant_lib.html">QuantLib</a>;</div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span></div>
<div class="line"><span class="keyword">namespace </span><a class="code" href="namespace_quant_lib.html">QuantLib</a> {</div>
<div class="line"> ThreadKey sessionId() { <span class="keywordflow">return</span> 0; }</div>
<div class="line">}</div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"> </div>
<div class="line"><span class="comment">// par-rate approximation</span></div>
<div class="line"><a name="a0"></a><a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> parRate(<span class="keyword">const</span> <a name="_a1"></a><a class="code" href="class_quant_lib_1_1_yield_term_structure.html" title="Interest-rate term structure.">YieldTermStructure</a>& yts,</div>
<div class="line"> <span class="keyword">const</span> std::vector<Date>& dates,</div>
<div class="line"> <span class="keyword">const</span> <a name="_a2"></a><a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a>& resultDayCounter) {</div>
<div class="line"> QL_REQUIRE(dates.size() >= 2, <span class="stringliteral">"at least two dates are required"</span>);</div>
<div class="line"> <a name="a3"></a><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> sum = 0.0;</div>
<div class="line"> <a name="a4"></a><a class="code" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7" title="continuous quantity with 1-year units">Time</a> dt;</div>
<div class="line"> <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) {</div>
<div class="line"> dt = resultDayCounter.<a name="a5"></a><a class="code" href="class_quant_lib_1_1_day_counter.html#a28170faaec75755611ff6fc220c1fab8" title="Returns the period between two dates as a fraction of year.">yearFraction</a>(dates[i-1], dates[i]);</div>
<div class="line"> QL_REQUIRE(dt>=0.0, <span class="stringliteral">"unsorted dates"</span>);</div>
<div class="line"> sum += yts.<a name="a6"></a>discount(dates[i]) * dt;</div>
<div class="line"> }</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> result = yts.discount(dates.front()) - yts.discount(dates.back());</div>
<div class="line"> <span class="keywordflow">return</span> result/sum;</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">void</span> printOutput(<span class="keyword">const</span> std::string& tag,</div>
<div class="line"> <span class="keyword">const</span> ext::shared_ptr<FittedBondDiscountCurve>& curve) {</div>
<div class="line"> cout << tag << endl;</div>
<div class="line"> cout << <span class="stringliteral">"reference date : "</span></div>
<div class="line"> << curve->referenceDate()</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"number of iterations : "</span></div>
<div class="line"> << curve->fitResults().numberOfIterations()</div>
<div class="line"> << endl</div>
<div class="line"> << endl;</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* []) {</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">try</span> {</div>
<div class="line"> </div>
<div class="line"> <span class="keyword">const</span> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> numberOfBonds = 15;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> cleanPrice[numberOfBonds];</div>
<div class="line"> </div>
<div class="line"> <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++) {</div>
<div class="line"> cleanPrice[i]=100.0;</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> std::vector< ext::shared_ptr<SimpleQuote> > quote;</div>
<div class="line"> <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++) {</div>
<div class="line"> ext::shared_ptr<SimpleQuote> cp(<span class="keyword">new</span> <a name="_a7"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(cleanPrice[i]));</div>
<div class="line"> quote.push_back(cp);</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <a name="_a8"></a><a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<Quote></a> quoteHandle[numberOfBonds];</div>
<div class="line"> <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++) {</div>
<div class="line"> quoteHandle[i].<a name="a9"></a>linkTo(quote[i]);</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <a name="a10"></a><a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> lengths[] = { 2, 4, 6, 8, 10, 12, 14, 16,</div>
<div class="line"> 18, 20, 22, 24, 26, 28, 30 };</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> coupons[] = { 0.0200, 0.0225, 0.0250, 0.0275, 0.0300,</div>
<div class="line"> 0.0325, 0.0350, 0.0375, 0.0400, 0.0425,</div>
<div class="line"> 0.0450, 0.0475, 0.0500, 0.0525, 0.0550 };</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> frequency = <a name="a11"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>;</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> dc = <a name="_a12"></a><a class="code" href="class_quant_lib_1_1_simple_day_counter.html" title="Simple day counter for reproducing theoretical calculations.">SimpleDayCounter</a>();</div>
<div class="line"> <a class="code" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> accrualConvention = <a name="a13"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>;</div>
<div class="line"> <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>;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> redemption = 100.0;</div>
<div class="line"> </div>
<div class="line"> <a name="_a14"></a><a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> calendar = <a name="_a15"></a><a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>();</div>
<div class="line"> <a name="_a16"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> today = calendar.<a name="a17"></a><a class="code" href="class_quant_lib_1_1_calendar.html#a712629806d9ef9a39f8144f368c81e4b">adjust</a>(Date::todaysDate());</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> origToday = today;</div>
<div class="line"> Settings::instance().evaluationDate() = today;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// changing bondSettlementDays=3 increases calculation</span></div>
<div class="line"> <span class="comment">// time of exponentialsplines fitting method</span></div>
<div class="line"> <a class="code" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a" title="positive integer">Natural</a> bondSettlementDays = 0;</div>
<div class="line"> <a class="code" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a" title="positive integer">Natural</a> curveSettlementDays = 0;</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> bondSettlementDate = calendar.<a name="a18"></a><a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(today, bondSettlementDays*Days);</div>
<div class="line"> </div>
<div class="line"> cout << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Today's date: "</span> << today << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Bonds' settlement date: "</span> << bondSettlementDate << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Calculating fit for 15 bonds....."</span> << endl << endl;</div>
<div class="line"> </div>
<div class="line"> std::vector<ext::shared_ptr<BondHelper> > instrumentsA;</div>
<div class="line"> std::vector<ext::shared_ptr<RateHelper> > instrumentsB;</div>
<div class="line"> </div>
<div class="line"> <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++) {</div>
<div class="line"> </div>
<div class="line"> <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#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(bondSettlementDate, lengths[j]*Years);</div>
<div class="line"> </div>
<div class="line"> <a name="_a19"></a><a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> schedule(bondSettlementDate, maturity, <a name="_a20"></a><a class="code" href="class_quant_lib_1_1_period.html">Period</a>(frequency),</div>
<div class="line"> calendar, accrualConvention, accrualConvention,</div>
<div class="line"> DateGeneration::Backward, <span class="keyword">false</span>);</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<BondHelper> helperA(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a21"></a><a class="code" href="class_quant_lib_1_1_fixed_rate_bond_helper.html" title="Fixed-coupon bond helper for curve bootstrap.">FixedRateBondHelper</a>(quoteHandle[j],</div>
<div class="line"> bondSettlementDays,</div>
<div class="line"> 100.0,</div>
<div class="line"> schedule,</div>
<div class="line"> std::vector<Rate>(1,coupons[j]),</div>
<div class="line"> dc,</div>
<div class="line"> convention,</div>
<div class="line"> redemption));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> helperB(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fixed_rate_bond_helper.html" title="Fixed-coupon bond helper for curve bootstrap.">FixedRateBondHelper</a>(quoteHandle[j],</div>
<div class="line"> bondSettlementDays,</div>
<div class="line"> 100.0,</div>
<div class="line"> schedule,</div>
<div class="line"> std::vector<Rate>(1, coupons[j]),</div>
<div class="line"> dc,</div>
<div class="line"> convention,</div>
<div class="line"> redemption));</div>
<div class="line"> instrumentsA.push_back(helperA);</div>
<div class="line"> instrumentsB.push_back(helperB);</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="keywordtype">bool</span> constrainAtZero = <span class="keyword">true</span>;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> tolerance = 1.0e-10;</div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> max = 5000;</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<YieldTermStructure> ts0 (</div>
<div class="line"> <span class="keyword">new</span> <a name="_a22"></a><a class="code" href="class_quant_lib_1_1_piecewise_yield_curve.html" title="Piecewise yield term structure.">PiecewiseYieldCurve<Discount,LogLinear></a>(curveSettlementDays,</div>
<div class="line"> calendar,</div>
<div class="line"> instrumentsB,</div>
<div class="line"> dc));</div>
<div class="line"> </div>
<div class="line"> <a name="_a23"></a><a class="code" href="class_quant_lib_1_1_exponential_splines_fitting.html" title="Exponential-splines fitting method.">ExponentialSplinesFitting</a> exponentialSplines(constrainAtZero);</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<FittedBondDiscountCurve> ts1 (</div>
<div class="line"> <span class="keyword">new</span> <a name="_a24"></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,</div>
<div class="line"> calendar,</div>
<div class="line"> instrumentsA,</div>
<div class="line"> dc,</div>
<div class="line"> exponentialSplines,</div>
<div class="line"> tolerance,</div>
<div class="line"> max));</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(a) exponential splines"</span>, ts1);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <a name="_a25"></a><a class="code" href="class_quant_lib_1_1_simple_polynomial_fitting.html" title="Simple polynomial fitting method.">SimplePolynomialFitting</a> simplePolynomial(3, constrainAtZero);</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<FittedBondDiscountCurve> ts2 (</div>
<div class="line"> <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,</div>
<div class="line"> calendar,</div>
<div class="line"> instrumentsA,</div>
<div class="line"> dc,</div>
<div class="line"> simplePolynomial,</div>
<div class="line"> tolerance,</div>
<div class="line"> max));</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(b) simple polynomial"</span>, ts2);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <a name="_a26"></a><a class="code" href="class_quant_lib_1_1_nelson_siegel_fitting.html" title="Nelson-Siegel fitting method.">NelsonSiegelFitting</a> nelsonSiegel;</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<FittedBondDiscountCurve> ts3 (</div>
<div class="line"> <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,</div>
<div class="line"> calendar,</div>
<div class="line"> instrumentsA,</div>
<div class="line"> dc,</div>
<div class="line"> nelsonSiegel,</div>
<div class="line"> tolerance,</div>
<div class="line"> max));</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(c) Nelson-Siegel"</span>, ts3);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">// a cubic bspline curve with 11 knot points, implies</span></div>
<div class="line"> <span class="comment">// n=6 (constrained problem) basis functions</span></div>
<div class="line"> </div>
<div class="line"> <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,</div>
<div class="line"> 20.0, 25.0, 30.0, 40.0, 50.0 };</div>
<div class="line"> </div>
<div class="line"> std::vector<Time> knotVector;</div>
<div class="line"> <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++) {</div>
<div class="line"> knotVector.push_back(knots[i]);</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <a name="_a27"></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);</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<FittedBondDiscountCurve> ts4 (</div>
<div class="line"> <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,</div>
<div class="line"> calendar,</div>
<div class="line"> instrumentsA,</div>
<div class="line"> dc,</div>
<div class="line"> cubicBSplines,</div>
<div class="line"> tolerance,</div>
<div class="line"> max));</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(d) cubic B-splines"</span>, ts4);</div>
<div class="line"> </div>
<div class="line"> <a name="_a28"></a><a class="code" href="class_quant_lib_1_1_svensson_fitting.html" title="Svensson Fitting method.">SvenssonFitting</a> svensson;</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<FittedBondDiscountCurve> ts5 (</div>
<div class="line"> <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,</div>
<div class="line"> calendar,</div>
<div class="line"> instrumentsA,</div>
<div class="line"> dc,</div>
<div class="line"> svensson,</div>
<div class="line"> tolerance,</div>
<div class="line"> max));</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(e) Svensson"</span>, ts5);</div>
<div class="line"> </div>
<div class="line"> <a name="_a29"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> discountCurve(</div>
<div class="line"> ext::make_shared<FlatForward>(</div>
<div class="line"> curveSettlementDays, calendar, 0.01, dc));</div>
<div class="line"> <a name="_a30"></a><a class="code" href="class_quant_lib_1_1_spread_fitting_method.html" title="Spread fitting method helper.">SpreadFittingMethod</a> nelsonSiegelSpread(</div>
<div class="line"> ext::make_shared<NelsonSiegelFitting>(),</div>
<div class="line"> discountCurve);</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<FittedBondDiscountCurve> ts6 (</div>
<div class="line"> <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,</div>
<div class="line"> calendar,</div>
<div class="line"> instrumentsA,</div>
<div class="line"> dc,</div>
<div class="line"> nelsonSiegelSpread,</div>
<div class="line"> tolerance,</div>
<div class="line"> max));</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(f) Nelson-Siegel spreaded"</span>, ts6);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> cout << <span class="stringliteral">"Output par rates for each curve. In this case, "</span></div>
<div class="line"> << endl</div>
<div class="line"> << <span class="stringliteral">"par rates should equal coupons for these par bonds."</span></div>
<div class="line"> << endl</div>
<div class="line"> << endl;</div>
<div class="line"> </div>
<div class="line"> cout << setw(6) << <span class="stringliteral">"tenor"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"coupon"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"bstrap"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(a)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(b)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(c)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(d)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(e)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(f)"</span> << endl;</div>
<div class="line"> </div>
<div class="line"> <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++) {</div>
<div class="line"> </div>
<div class="line"> std::vector<ext::shared_ptr<CashFlow> > cfs =</div>
<div class="line"> instrumentsA[i]->bond()->cashflows();</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> cfSize = instrumentsA[i]->bond()->cashflows().size();</div>
<div class="line"> std::vector<Date> keyDates;</div>
<div class="line"> keyDates.push_back(bondSettlementDate);</div>
<div class="line"> </div>
<div class="line"> <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++) {</div>
<div class="line"> <span class="keywordflow">if</span> (!cfs[j]->hasOccurred(bondSettlementDate, <span class="keyword">false</span>)) {</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> myDate = cfs[j]->date();</div>
<div class="line"> keyDates.push_back(myDate);</div>
<div class="line"> }</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <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#a28170faaec75755611ff6fc220c1fab8" title="Returns the period between two dates as a fraction of year.">yearFraction</a>(today, cfs[cfSize-1]->date());</div>
<div class="line"> </div>
<div class="line"> cout << setw(6) << fixed << setprecision(3) << tenor << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*coupons[i] << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// piecewise bootstrap</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts0,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// exponential splines</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts1,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// simple polynomial</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts2,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// Nelson-Siegel</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts3,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// cubic bsplines</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts4,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// Svensson</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts5,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// Nelson-Siegel Spreaded</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts6,keyDates,dc) << endl;</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> cout << endl << endl << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Now add 23 months to today. Par rates should be "</span> << endl</div>
<div class="line"> << <span class="stringliteral">"automatically recalculated because today's date "</span> << endl</div>
<div class="line"> << <span class="stringliteral">"changes. Par rates will NOT equal coupons (YTM "</span> << endl</div>
<div class="line"> << <span class="stringliteral">"will, with the correct compounding), but the "</span> << endl</div>
<div class="line"> << <span class="stringliteral">"piecewise yield curve par rates can be used as "</span> << endl</div>
<div class="line"> << <span class="stringliteral">"a benchmark for correct par rates."</span></div>
<div class="line"> << endl</div>
<div class="line"> << endl;</div>
<div class="line"> </div>
<div class="line"> today = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(origToday,23,Months,convention);</div>
<div class="line"> Settings::instance().evaluationDate() = today;</div>
<div class="line"> bondSettlementDate = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(today, bondSettlementDays*Days);</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(a) exponential splines"</span>, ts1);</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(b) simple polynomial"</span>, ts2);</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(c) Nelson-Siegel"</span>, ts3);</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(d) cubic B-splines"</span>, ts4);</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(e) Svensson"</span>, ts5);</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(f) Nelson-Siegel spreaded"</span>, ts6);</div>
<div class="line"> </div>
<div class="line"> cout << endl</div>
<div class="line"> << endl;</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> cout << setw(6) << <span class="stringliteral">"tenor"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"coupon"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"bstrap"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(a)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(b)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(c)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(d)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(e)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(f)"</span> << endl;</div>
<div class="line"> </div>
<div class="line"> <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++) {</div>
<div class="line"> </div>
<div class="line"> std::vector<ext::shared_ptr<CashFlow> > cfs =</div>
<div class="line"> instrumentsA[i]->bond()->cashflows();</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> cfSize = instrumentsA[i]->bond()->cashflows().size();</div>
<div class="line"> std::vector<Date> keyDates;</div>
<div class="line"> keyDates.push_back(bondSettlementDate);</div>
<div class="line"> </div>
<div class="line"> <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++) {</div>
<div class="line"> <span class="keywordflow">if</span> (!cfs[j]->hasOccurred(bondSettlementDate, <span class="keyword">false</span>)) {</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> myDate = cfs[j]->date();</div>
<div class="line"> keyDates.push_back(myDate);</div>
<div class="line"> }</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <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#a28170faaec75755611ff6fc220c1fab8" title="Returns the period between two dates as a fraction of year.">yearFraction</a>(today, cfs[cfSize-1]->date());</div>
<div class="line"> </div>
<div class="line"> cout << setw(6) << fixed << setprecision(3) << tenor << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*coupons[i] << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// piecewise bootstrap</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts0,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// exponential splines</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts1,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// simple polynomial</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts2,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// Nelson-Siegel</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts3,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// cubic bsplines</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts4,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// Svensson</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts5,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// Nelson-Siegel Spreaded</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts6,keyDates,dc) << endl;</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> cout << endl << endl << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Now add one more month, for a total of two years "</span> << endl</div>
<div class="line"> << <span class="stringliteral">"from the original date. The first instrument is "</span> << endl</div>
<div class="line"> << <span class="stringliteral">"now expired and par rates should again equal "</span> << endl</div>
<div class="line"> << <span class="stringliteral">"coupon values, since clean prices did not change."</span></div>
<div class="line"> << endl</div>
<div class="line"> << endl;</div>
<div class="line"> </div>
<div class="line"> instrumentsA.erase(instrumentsA.begin(),</div>
<div class="line"> instrumentsA.begin()+1);</div>
<div class="line"> instrumentsB.erase(instrumentsB.begin(),</div>
<div class="line"> instrumentsB.begin()+1);</div>
<div class="line"> </div>
<div class="line"> today = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(origToday,24,Months,convention);</div>
<div class="line"> Settings::instance().evaluationDate() = today;</div>
<div class="line"> bondSettlementDate = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(today, bondSettlementDays*Days);</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<YieldTermStructure> ts00 (</div>
<div class="line"> <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,</div>
<div class="line"> calendar,</div>
<div class="line"> instrumentsB,</div>
<div class="line"> dc));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<FittedBondDiscountCurve> ts11 (</div>
<div class="line"> <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,</div>
<div class="line"> calendar,</div>
<div class="line"> instrumentsA,</div>
<div class="line"> dc,</div>
<div class="line"> exponentialSplines,</div>
<div class="line"> tolerance,</div>
<div class="line"> max));</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(a) exponential splines"</span>, ts11);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<FittedBondDiscountCurve> ts22 (</div>
<div class="line"> <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,</div>
<div class="line"> calendar,</div>
<div class="line"> instrumentsA,</div>
<div class="line"> dc,</div>
<div class="line"> simplePolynomial,</div>
<div class="line"> tolerance,</div>
<div class="line"> max));</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(b) simple polynomial"</span>, ts22);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<FittedBondDiscountCurve> ts33 (</div>
<div class="line"> <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,</div>
<div class="line"> calendar,</div>
<div class="line"> instrumentsA,</div>
<div class="line"> dc,</div>
<div class="line"> nelsonSiegel,</div>
<div class="line"> tolerance,</div>
<div class="line"> max));</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(c) Nelson-Siegel"</span>, ts33);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<FittedBondDiscountCurve> ts44 (</div>
<div class="line"> <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,</div>
<div class="line"> calendar,</div>
<div class="line"> instrumentsA,</div>
<div class="line"> dc,</div>
<div class="line"> cubicBSplines,</div>
<div class="line"> tolerance,</div>
<div class="line"> max));</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(d) cubic B-splines"</span>, ts44);</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<FittedBondDiscountCurve> ts55 (</div>
<div class="line"> <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,</div>
<div class="line"> calendar,</div>
<div class="line"> instrumentsA,</div>
<div class="line"> dc,</div>
<div class="line"> svensson,</div>
<div class="line"> tolerance,</div>
<div class="line"> max));</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(e) Svensson"</span>, ts55);</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<FittedBondDiscountCurve> ts66 (</div>
<div class="line"> <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,</div>
<div class="line"> calendar,</div>
<div class="line"> instrumentsA,</div>
<div class="line"> dc,</div>
<div class="line"> nelsonSiegelSpread,</div>
<div class="line"> tolerance,</div>
<div class="line"> max));</div>
<div class="line"> </div>
<div class="line"> printOutput(<span class="stringliteral">"(f) Nelson-Siegel spreaded"</span>, ts66);</div>
<div class="line"> </div>
<div class="line"> cout << setw(6) << <span class="stringliteral">"tenor"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"coupon"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"bstrap"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(a)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(b)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(c)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(d)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(e)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(f)"</span> << endl;</div>
<div class="line"> </div>
<div class="line"> <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++) {</div>
<div class="line"> </div>
<div class="line"> std::vector<ext::shared_ptr<CashFlow> > cfs =</div>
<div class="line"> instrumentsA[i]->bond()->cashflows();</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> cfSize = instrumentsA[i]->bond()->cashflows().size();</div>
<div class="line"> std::vector<Date> keyDates;</div>
<div class="line"> keyDates.push_back(bondSettlementDate);</div>
<div class="line"> </div>
<div class="line"> <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++) {</div>
<div class="line"> <span class="keywordflow">if</span> (!cfs[j]->hasOccurred(bondSettlementDate, <span class="keyword">false</span>)) {</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> myDate = cfs[j]->date();</div>
<div class="line"> keyDates.push_back(myDate);</div>
<div class="line"> }</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <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#a28170faaec75755611ff6fc220c1fab8" title="Returns the period between two dates as a fraction of year.">yearFraction</a>(today, cfs[cfSize-1]->date());</div>
<div class="line"> </div>
<div class="line"> cout << setw(6) << fixed << setprecision(3) << tenor << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*coupons[i+1] << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// piecewise bootstrap</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts00,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// exponential splines</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts11,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// simple polynomial</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts22,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// Nelson-Siegel</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts33,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// cubic bsplines</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts44,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// Svensson</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts55,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// Nelson-Siegel Spreaded</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts66,keyDates,dc) << endl;</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> cout << endl << endl << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Now decrease prices by a small amount, corresponding"</span> << endl</div>
<div class="line"> << <span class="stringliteral">"to a theoretical five basis point parallel + shift of"</span> << endl</div>
<div class="line"> << <span class="stringliteral">"the yield curve. Because bond quotes change, the new "</span> << endl</div>
<div class="line"> << <span class="stringliteral">"par rates should be recalculated automatically."</span></div>
<div class="line"> << endl</div>
<div class="line"> << endl;</div>
<div class="line"> </div>
<div class="line"> <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++) {</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> P = instrumentsA[k]->quote()->value();</div>
<div class="line"> <span class="keyword">const</span> <a name="_a31"></a><a class="code" href="class_quant_lib_1_1_bond.html" title="Base bond class.">Bond</a>& b = *instrumentsA[k]->bond();</div>
<div class="line"> <a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> ytm = BondFunctions::yield(b, P,</div>
<div class="line"> dc, Compounded, frequency,</div>
<div class="line"> today);</div>
<div class="line"> <a class="code" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7" title="continuous quantity with 1-year units">Time</a> dur = BondFunctions::duration(b, ytm,</div>
<div class="line"> dc, Compounded, frequency,</div>
<div class="line"> Duration::Modified,</div>
<div class="line"> today);</div>
<div class="line"> </div>
<div class="line"> <span class="keyword">const</span> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> bpsChange = 5.;</div>
<div class="line"> <span class="comment">// dP = -dur * P * dY</span></div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> deltaP = -dur * P * (bpsChange/10000.);</div>
<div class="line"> quote[k+1]->setValue(P + deltaP);</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> cout << setw(6) << <span class="stringliteral">"tenor"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"coupon"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"bstrap"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(a)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(b)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(c)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(d)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(e)"</span> << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << <span class="stringliteral">"(f)"</span> << endl;</div>
<div class="line"> </div>
<div class="line"> <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++) {</div>
<div class="line"> </div>
<div class="line"> std::vector<ext::shared_ptr<CashFlow> > cfs =</div>
<div class="line"> instrumentsA[i]->bond()->cashflows();</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> cfSize = instrumentsA[i]->bond()->cashflows().size();</div>
<div class="line"> std::vector<Date> keyDates;</div>
<div class="line"> keyDates.push_back(bondSettlementDate);</div>
<div class="line"> </div>
<div class="line"> <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++) {</div>
<div class="line"> <span class="keywordflow">if</span> (!cfs[j]->hasOccurred(bondSettlementDate, <span class="keyword">false</span>)) {</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> myDate = cfs[j]->date();</div>
<div class="line"> keyDates.push_back(myDate);</div>
<div class="line"> }</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <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#a28170faaec75755611ff6fc220c1fab8" title="Returns the period between two dates as a fraction of year.">yearFraction</a>(today, cfs[cfSize-1]->date());</div>
<div class="line"> </div>
<div class="line"> cout << setw(6) << fixed << setprecision(3) << tenor << <span class="stringliteral">" | "</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*coupons[i+1] << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// piecewise bootstrap</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts00,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// exponential splines</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts11,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// simple polynomial</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts22,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// Nelson-Siegel</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts33,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// cubic bsplines</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts44,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// Svensson</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts55,keyDates,dc) << <span class="stringliteral">" | "</span></div>
<div class="line"> <span class="comment">// Nelson-Siegel Spreaded</span></div>
<div class="line"> << setw(6) << fixed << setprecision(3)</div>
<div class="line"> << 100.*parRate(*ts66,keyDates,dc) << endl;</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">return</span> 0;</div>
<div class="line"> </div>
<div class="line"> } <span class="keywordflow">catch</span> (std::exception& e) {</div>
<div class="line"> cerr << e.what() << endl;</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line"> } <span class="keywordflow">catch</span> (...) {</div>
<div class="line"> cerr << <span class="stringliteral">"unknown error"</span> << endl;</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line">}</div>
<div class="line"> </div>
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