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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.hpp
\brief piecewise flat forward term structure
\fullpath
ql/TermStructures/%piecewiseflatforward.hpp
*/
// $Id: piecewiseflatforward.hpp,v 1.17 2002/03/05 16:58:03 lballabio Exp $
#ifndef quantlib_piecewise_flat_forward_curve_h
#define quantlib_piecewise_flat_forward_curve_h
#include <ql/TermStructures/ratehelpers.hpp>
#include <ql/solver1d.hpp>
namespace QuantLib {
namespace TermStructures {
//! Piecewise flat forward term structure
/*! This term structure is bootstrapped on a number of interest rate
instruments which are passed as a vector of handles to RateHelper
instances. Their maturities mark the boundaries of the flat
forward segments.
The values of the forward rates for each segment are determined
sequentially starting from the earliest period to the latest.
The value for each segment is chosen so that the instrument whose
maturity marks the end of such segment is correctly repriced on
the curve.
\warning The bootstrapping algorithm will raise an exception if
any two instruments have the same maturity date.
*/
/* This class is derived directly from term structure since we are
rewriting all of forward, discount and zeroYield to take advantage
of its own internal structure. */
class PiecewiseFlatForward : public TermStructure,
public Patterns::Observer {
public:
// constructor
PiecewiseFlatForward(
Currency currency,
const DayCounter& dayCounter,
const Date& todaysDate,
const Calendar& calendar,
int settlementDays,
const std::vector<Handle<RateHelper> >& instruments,
double accuracy=1.0e-12);
//! \name TermStructure interface
//@{
Currency currency() const;
DayCounter dayCounter() const;
Date todaysDate() const;
int settlementDays() const;
Calendar calendar() const;
Date settlementDate() const;
const std::vector<Date>& dates() const;
Date maxDate() const;
Date minDate() const;
const std::vector<Time>& times() const;
Time maxTime() const;
Time minTime() const;
//@}
//! \name Observer interface
//@{
void update();
//@}
protected:
Rate zeroYieldImpl(Time, bool extrapolate = false) const;
DiscountFactor discountImpl(Time,
bool extrapolate = false) const;
Rate forwardImpl(Time, bool extrapolate = false) const;
private:
// inner classes
// objective function for solver
class FFObjFunction;
friend class FFObjFunction;
class FFObjFunction : public ObjectiveFunction {
public:
FFObjFunction(const PiecewiseFlatForward*,
const Handle<RateHelper>&, int segment);
double operator()(double discountGuess) const;
private:
const PiecewiseFlatForward* curve_;
Handle<RateHelper> rateHelper_;
int segment_;
};
// instrument sorter
class RateHelperSorter {
public:
bool operator()(const Handle<RateHelper>&,
const Handle<RateHelper>&) const;
};
// methods
int referenceNode(Time t, bool extrapolate) const;
void bootstrap() const;
// data members
Currency currency_;
DayCounter dayCounter_;
Date todaysDate_;
Calendar calendar_;
int settlementDays_;
Date settlementDate_;
std::vector<Handle<RateHelper> > instruments_;
mutable bool needsBootstrap_;
mutable std::vector<Time> times_;
mutable std::vector<Date> dates_;
mutable std::vector<DiscountFactor> discounts_;
mutable std::vector<Rate> forwards_, zeroYields_;
double accuracy_;
};
// inline definitions
inline Currency PiecewiseFlatForward::currency() const {
return currency_;
}
inline DayCounter PiecewiseFlatForward::dayCounter() const {
return dayCounter_;
}
inline Date PiecewiseFlatForward::todaysDate() const {
return todaysDate_;
}
inline Calendar PiecewiseFlatForward::calendar() const {
return calendar_;
}
inline int PiecewiseFlatForward::settlementDays() const {
return settlementDays_;
}
inline Date PiecewiseFlatForward::settlementDate() const {
return settlementDate_;
}
inline const std::vector<Date>& PiecewiseFlatForward::dates() const {
if (needsBootstrap_) bootstrap();
return dates_;
}
inline Date PiecewiseFlatForward::maxDate() const {
if (needsBootstrap_) bootstrap();
return dates_.back();
}
inline Date PiecewiseFlatForward::minDate() const {
return settlementDate_;
}
inline const std::vector<Time>& PiecewiseFlatForward::times() const {
if (needsBootstrap_) bootstrap();
return times_;
}
inline Time PiecewiseFlatForward::maxTime() const {
if (needsBootstrap_) bootstrap();
return times_.back();
}
inline Time PiecewiseFlatForward::minTime() const {
return 0.0;
}
inline void PiecewiseFlatForward::update() {
needsBootstrap_ = true;
notifyObservers();
}
}
}
#endif
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