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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2002, 2003 Decillion Pty(Ltd)
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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.
*/
#include <ql/legacy/termstructures/compoundforward.hpp>
#include <ql/legacy/termstructures/extendeddiscountcurve.hpp>
namespace QuantLib {
CompoundForward::CompoundForward(const Date & referenceDate,
const std::vector<Date> &dates,
const std::vector<Rate> &forwards,
const Calendar & calendar,
const BusinessDayConvention conv,
const Integer compounding,
const DayCounter & dayCounter)
: ForwardRateStructure(referenceDate, calendar, dayCounter),
conv_(conv), compounding_(compounding),
needsBootstrap_(true), dates_(dates), forwards_(forwards) {
QL_REQUIRE(!dates_.empty(), "no input dates given");
QL_REQUIRE(!forwards_.empty(), "no input rates given");
QL_REQUIRE(dates_.size() == forwards_.size(),
"inconsistent number of dates/forward rates");
calibrateNodes();
}
void CompoundForward::calibrateNodes() const {
Size i;
Integer ci;
times_.resize(dates_.size());
for (i = 0; i < dates_.size(); i++)
times_[i] = dayCounter().yearFraction(referenceDate(),dates_[i]);
fwdinterp_ = LinearInterpolation(times_.begin(), times_.end(),
forwards_.begin());
fwdinterp_.update();
std::vector<Date> dates = dates_;
std::vector<Time> times = times_;
std::vector<Rate> forwards = forwards_;
for (i = 0, ci = 1; i < dates.size(); i++) {
Date rateDate = dates[i];
Date tmpDate = calendar().advance(referenceDate(),
ci, Months, conv_);
while (rateDate > tmpDate) {
dates.insert(dates.begin() + i, tmpDate);
Time t = dayCounter().yearFraction(referenceDate(),tmpDate);
times.insert(times.begin() + i, t);
forwards.insert(forwards.begin() + i,
fwdinterp_(t,true));
i++;
tmpDate = calendar().advance(referenceDate(),
++ci, Months, conv_);
}
if (tmpDate == rateDate)
ci++;
}
dates_ = dates;
times_ = times;
forwards_ = forwards;
if (dates_[0] != referenceDate()) {
dates_.insert(dates_.begin(),referenceDate());
times_.insert(times_.begin(), 0.0);
forwards_.insert(forwards_.begin(), forwards_[0]);
}
fwdinterp_ = LinearInterpolation(times_.begin(), times_.end(),
forwards_.begin());
fwdinterp_.update();
}
boost::shared_ptr<YieldTermStructure> CompoundForward::bootstrap() const {
needsBootstrap_ = false;
QL_REQUIRE(compounding_ > 0,
"continuous compounding needs no bootstrap.");
try {
std::vector<DiscountFactor> discounts;
Date compoundDate = calendar().advance(referenceDate(),
12/compounding_,
Months, conv_);
Time compoundTime = dayCounter().yearFraction(referenceDate(),
compoundDate);
Real qFactor = 0.0;
Size i;
Integer ci;
for (i = 0, ci = 1; i < dates_.size(); i++) {
DiscountFactor df;
Date rateDate = dates_[i];
Time t = dayCounter().yearFraction(referenceDate(),rateDate);
Rate r = forwardImpl(t);
if (t <= compoundTime) {
df = 1.0/(1.0+r*t);
qFactor = df*t;
} else {
Date tmpDate =
calendar().advance(referenceDate(),
(12/compounding_) * (ci+1),
Months, conv_);
Time tt = dayCounter().yearFraction(compoundDate,
rateDate);
df = (1.0-qFactor*r)/(1.0+r*tt);
if (rateDate >= tmpDate) {
ci++;
qFactor += df*tt;
compoundDate = tmpDate;
}
}
discounts.push_back(df);
}
discountCurve_ = boost::shared_ptr<ExtendedDiscountCurve>(
new ExtendedDiscountCurve(dates_, discounts,
calendar(), conv_,
dayCounter()));
}
catch (std::exception& ) {
// signal incomplete state
needsBootstrap_ = true;
// rethrow
throw;
}
return discountCurve_;
}
Rate CompoundForward::zeroYieldImpl(Time t) const {
if (compounding_ == 0)
return ForwardRateStructure::zeroYieldImpl(t);
if (needsBootstrap_)
bootstrap();
//return discountCurve()->zeroYield(t,true);
return discountCurve()->zeroRate(t, Continuous, NoFrequency, true);
}
DiscountFactor CompoundForward::discountImpl(Time t) const {
if (compounding_ == 0)
return ForwardRateStructure::discountImpl(t);
if (needsBootstrap_)
bootstrap();
return discountCurve()->discount(t,true);
}
Size CompoundForward::referenceNode(Time t) const {
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());
}
Rate CompoundForward::forwardImpl(Time t) const {
if (t == 0.0) {
return forwards_[0];
} else {
Size n = referenceNode(t);
if (t == times_[n]) {
return forwards_[n];
} else {
return fwdinterp_(t,true);
}
}
}
Rate CompoundForward::compoundForwardImpl(Time t, Integer f) const {
if (f == compounding_)
return forwardImpl(t);
if (needsBootstrap_)
bootstrap();
return discountCurve()->compoundForward(t,f,true);
}
boost::shared_ptr<ExtendedDiscountCurve>
CompoundForward::discountCurve() const {
QL_REQUIRE(compounding_ > 0,
"continuous compounding needs no bootstrap.");
if (needsBootstrap_)
bootstrap();
return discountCurve_;
}
}
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