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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file piecewiseflatforward.cpp
\brief piecewise flat forward term structure
\fullpath
ql/TermStructures/%piecewiseflatforward.cpp
*/
// $Id: piecewiseflatforward.cpp,v 1.18 2002/03/05 16:58:03 lballabio Exp $
#include <ql/TermStructures/piecewiseflatforward.hpp>
#include <ql/Solvers1D/brent.hpp>
namespace QuantLib {
using Solvers1D::Brent;
namespace TermStructures {
PiecewiseFlatForward::PiecewiseFlatForward(Currency currency,
const DayCounter& dayCounter, const Date& todaysDate,
const Calendar& calendar, int settlementDays,
const std::vector<Handle<RateHelper> >& instruments,
double accuracy)
: currency_(currency), dayCounter_(dayCounter),
todaysDate_(todaysDate), calendar_(calendar),
settlementDays_(settlementDays), instruments_(instruments),
needsBootstrap_(true), accuracy_(accuracy) {
QL_REQUIRE(instruments_.size()>0, "No instrument given");
settlementDate_ = calendar_.advance(
todaysDate_,settlementDays_,Days);
// sort risk helpers
Size i;
for (i=0; i<instruments_.size(); i++)
instruments_[i]->setTermStructure(this);
std::sort(instruments_.begin(),instruments_.end(),
RateHelperSorter());
// check that there is no instruments with the same maturity
for (i=1; i<instruments_.size(); i++) {
Date m1 = instruments_[i-1]->maturity(),
m2 = instruments_[i]->maturity();
QL_REQUIRE(m1 != m2,
"Two instruments have the same maturity (" +
DateFormatter::toString(m1) + ")");
}
for (i=0; i<instruments_.size(); i++)
registerWith(instruments_[i]);
}
void PiecewiseFlatForward::bootstrap() const {
// prevent recursively calling bootstrap() when the
// term structure methods are called by the rate helpers
needsBootstrap_ = false;
try {
// values at settlement date
dates_ = std::vector<Date>(1, settlementDate_);
times_ = std::vector<Time>(1, 0.0);
discounts_ = std::vector<DiscountFactor>(1, 1.0);
forwards_ = zeroYields_ = std::vector<Rate>();
// the choice of the solver determines whether the
// accuracy is on the discount or the instrument rate
Brent solver;
// bootstrapping loop
for (Size i=1; i<instruments_.size()+1; i++) {
Handle<RateHelper> instrument = instruments_[i-1];
// don't try this at home!
instrument->setTermStructure(
const_cast<PiecewiseFlatForward*>(this));
double guess = instrument->discountGuess();
if (guess == Null<double>()) {
if (i > 1) { // we can extrapolate
guess = this->discount(
instrument->maturity(),true);
} else { // any guess will do
guess = 0.9;
}
}
// bracket
double min = accuracy_*10e-4, max = discounts_[i-1];
try{
solver.solve(FFObjFunction(this,instrument,i),
accuracy_,guess,min,max);
} catch (std::exception& e) {
Size k = i-1; // only outputs the last results
// Size k = 0; // outputs all results
std::string forward_string;
for(Size j1 = k; j1 < i; j1++){
forward_string +=
DoubleFormatter::toString(forwards_[j1],3) + " ";
}
std::string discount_string;
for(Size j2 = k; j2 < i; j2++){
discount_string += " " +
DoubleFormatter::toString(discounts_[j2],10) + " ";
}
std::string zeroYield_string;
for(Size j3 = k; j3 < i; j3++){
zeroYield_string += " " +
DoubleFormatter::toString(zeroYields_[j3],3) + " ";
}
throw Error(
"Could not bootstrap curve. segment " +
IntegerFormatter::toString(i) + " of " +
IntegerFormatter::toString(instruments_.size()) +
", last forward = " + forward_string +
", last discount = " + discount_string +
", last zero-yield = " + zeroYield_string +
", last guess was " +
DoubleFormatter::toString(guess,15) +
" error generated by " +
std::string(e.what())
);
}
}
} catch (...) {
// signal incomplete state
needsBootstrap_ = true;
// rethrow
throw;
}
}
Rate PiecewiseFlatForward::zeroYieldImpl(Time t,
bool extrapolate) const {
if (needsBootstrap_)
bootstrap();
if (t == 0.0) {
return zeroYields_[0];
} else {
int n = referenceNode(t, extrapolate);
if (t == times_[n]) {
return zeroYields_[n];
} else {
Time tn = times_[n-1];
return (zeroYields_[n-1]*tn+forwards_[n]*(t-tn))/t;
}
}
QL_DUMMY_RETURN(Rate());
}
DiscountFactor PiecewiseFlatForward::discountImpl(
Time t, bool extrapolate) const {
if (needsBootstrap_)
bootstrap();
if (t == 0.0) {
return discounts_[0];
} else {
int n = referenceNode(t, extrapolate);
if (t == times_[n]) {
return discounts_[n];
} else {
return discounts_[n-1] *
QL_EXP(-forwards_[n] * (t-times_[n-1]));
}
}
QL_DUMMY_RETURN(DiscountFactor());
}
Rate PiecewiseFlatForward::forwardImpl(Time t,
bool extrapolate) const {
if (needsBootstrap_)
bootstrap();
if (t == 0.0) {
return forwards_[0];
} else {
return forwards_[referenceNode(t, extrapolate)];
}
QL_DUMMY_RETURN(Rate());
}
int PiecewiseFlatForward::referenceNode(
Time t, bool extrapolate) const {
QL_REQUIRE(t >= 0.0 && (t <= times_.back() || extrapolate),
"PiecewiseFlatForward: time (" +
DoubleFormatter::toString(t) +
") outside curve definition [" +
DoubleFormatter::toString(0.0) + ", " +
DoubleFormatter::toString(times_.back()) + "]");
if (t>=times_.back())
return times_.size()-1;
std::vector<Time>::const_iterator i=times_.begin(),
j=times_.end(), k;
while (j-i > 1) {
k = i+(j-i)/2;
if (t <= *k)
j = k;
else
i = k;
}
return (j-times_.begin());
}
PiecewiseFlatForward::FFObjFunction::FFObjFunction(
const PiecewiseFlatForward* curve,
const Handle<RateHelper>& rateHelper,
int segment)
: curve_(curve), rateHelper_(rateHelper), segment_(segment) {
// extend curve to next point
curve_->dates_.push_back(rateHelper_->maturity());
curve_->times_.push_back(curve_->dayCounter().yearFraction(
curve_->settlementDate(),curve_->dates_.back()));
if (segment_ == 1) {
// add dummy values at settlement
curve_->forwards_.push_back(0.0);
curve_->zeroYields_.push_back(0.0);
}
// add dummy values for next point - will be reset by operator()
curve_->discounts_.push_back(0.0);
curve_->forwards_.push_back(0.0);
curve_->zeroYields_.push_back(0.0);
}
double PiecewiseFlatForward::FFObjFunction::operator()(
double discount) const {
curve_->discounts_[segment_] = discount;
curve_->zeroYields_[segment_] =
-QL_LOG(discount) / curve_->times_[segment_];
curve_->forwards_[segment_] =
QL_LOG(curve_->discounts_[segment_-1]/discount) /
(curve_->times_[segment_]-curve_->times_[segment_-1]);
if (segment_ == 1) {
curve_->forwards_[0] = curve_->zeroYields_[0] =
curve_->forwards_[1];
}
return rateHelper_->quoteError();
}
bool PiecewiseFlatForward::RateHelperSorter::operator()(
const Handle<RateHelper>& h1, const Handle<RateHelper>& h2) const {
return (h1->maturity() < h2->maturity());
}
}
}
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