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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.
*/
/*! \file compoundforward.hpp
\brief compounded forward term structure
*/
#ifndef quantlib_compoundforward_curve_hpp
#define quantlib_compoundforward_curve_hpp
#include <ql/termstructures/yield/forwardstructure.hpp>
#include <ql/legacy/termstructures/extendeddiscountcurve.hpp>
namespace QuantLib {
//! compound-forward structure
/*! \test
- the correctness of the curve is tested by reproducing the
input data.
- the correctness of the curve is tested by checking the
consistency between returned rates and swaps priced on the
curve.
\bug swap rates are not reproduced exactly when using indexed
coupons. Apparently, some assumption about the swap
fixings is hard-coded into the bootstrapping algorithm.
*/
class CompoundForward : public ForwardRateStructure {
public:
// constructor
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);
BusinessDayConvention businessDayConvention() const { return conv_; }
Integer compounding() const { return compounding_; }
Date maxDate() const;
const std::vector<Time>& times() const;
const std::vector<Date>& dates() const;
const std::vector<Rate>& forwards() const;
boost::shared_ptr<ExtendedDiscountCurve> discountCurve() const;
Rate compoundForward(const Date& d1,
Integer f,
bool extrapolate = false) const;
Rate compoundForward(Time t1,
Integer f,
bool extrapolate = false) const;
protected:
// methods
void calibrateNodes() const;
boost::shared_ptr<YieldTermStructure> bootstrap() const;
Rate zeroYieldImpl(Time) const;
DiscountFactor discountImpl(Time) const;
Size referenceNode(Time) const;
Rate forwardImpl(Time) const;
Rate compoundForwardImpl(Time, Integer) const;
private:
// data members
BusinessDayConvention conv_;
Integer compounding_;
mutable bool needsBootstrap_;
mutable std::vector<Date> dates_;
mutable std::vector<Rate> forwards_;
mutable std::vector<Time> times_;
mutable Interpolation fwdinterp_;
mutable boost::shared_ptr<ExtendedDiscountCurve> discountCurve_;
};
// inline definitions
inline Date CompoundForward::maxDate() const {
return dates_.back();
}
inline const std::vector<Time>& CompoundForward::times() const {
return times_;
}
inline const std::vector<Date>& CompoundForward::dates() const {
return dates_;
}
inline const std::vector<Rate>& CompoundForward::forwards() const {
return forwards_;
}
inline Rate CompoundForward::compoundForward(const Date& d,
Integer f,
bool extrapolate) const {
Time t = timeFromReference(d);
QL_REQUIRE(t >= 0.0,
"negative time (" << t << ") given");
QL_REQUIRE(extrapolate || allowsExtrapolation() || t <= maxTime(),
"time (" << t << ") is past max curve time ("
<< maxTime() << ")");
return compoundForwardImpl(timeFromReference(d),f);
}
inline Rate CompoundForward::compoundForward(Time t, Integer f,
bool extrapolate) const {
QL_REQUIRE(t >= 0.0,
"negative time (" << t << ") given");
QL_REQUIRE(extrapolate || allowsExtrapolation() || t <= maxTime(),
"time (" << t << ") is past max curve time ("
<< maxTime() << ")");
return compoundForwardImpl(t,f);
}
}
#endif
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