1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
|
/* -*- 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/extendeddiscountcurve.hpp>
#include <ql/legacy/termstructures/compoundforward.hpp>
namespace QuantLib {
ExtendedDiscountCurve::ExtendedDiscountCurve(
const std::vector<Date>& dates,
const std::vector<DiscountFactor>& discounts,
const Calendar& calendar,
const BusinessDayConvention conv,
const DayCounter& dayCounter)
: DiscountCurve(dates, discounts, dayCounter, calendar),
conv_(conv) {
calibrateNodes();
}
void ExtendedDiscountCurve::calibrateNodes() const {
Size i;
Integer ci;
std::vector<Date> dates = dates_;
std::vector<Time> times = times_;
std::vector<Rate> discounts = data_;
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);
discounts.insert(discounts.begin() + i,
interpolation_(t,true));
i++;
tmpDate = calendar().advance(referenceDate(),
++ci, Months, conv_);
}
if (tmpDate == rateDate)
ci++;
}
dates_ = dates;
times_ = times;
data_ = discounts;
interpolation_ = LogLinearInterpolation(times_.begin(), times_.end(),
data_.begin());
interpolation_.update();
}
boost::shared_ptr<CompoundForward>
ExtendedDiscountCurve::reversebootstrap(Integer compounding) const {
std::vector<Rate> forwards;
Date compoundDate = calendar().advance(referenceDate(),
12/compounding,
Months, conv_);
Time compoundTime = dayCounter().yearFraction(referenceDate(),
compoundDate);
Real qFactor = 0.0;
Size i;
Integer ci;
// Ignore first entry (SPOT with df=1.0)
for (i = 1, ci = 1; i < dates_.size(); i++) {
Rate fwd;
Date rateDate = dates_[i];
Time t = dayCounter().yearFraction(referenceDate(),rateDate);
DiscountFactor df = discount(t);
if (t <= compoundTime) {
fwd = ((1.0/df)-1.0)/t;
qFactor = df*t;
} else {
Date tmpDate = calendar().advance(referenceDate(),
(12/compounding) * (ci+1),
Months, conv_);
Time tt = dayCounter().yearFraction(compoundDate, rateDate);
fwd = (1.0-df)/(qFactor+df*tt);
// Rates on non-compounding boundaries?
if (rateDate >= tmpDate) {
ci++;
qFactor += df*tt;
compoundDate = tmpDate;
}
}
forwards.push_back(fwd);
}
forwards.insert(forwards.begin(),forwards[0]);
return boost::shared_ptr<CompoundForward>(new
CompoundForward(referenceDate(),
dates_, forwards, calendar(), conv_,
compounding,
dayCounter()));
}
Rate ExtendedDiscountCurve::compoundForwardImpl(Time t,
Integer f) const {
if (f == 0) {
Rate zy = zeroYieldImpl(t);
if (f == 0)
return zy;
if (t <= 1.0/f)
return (std::exp(zy*t)-1.0)/t;
return (std::exp(zy*(1.0/f))-1.0)*f;
}
return forwardCurve(f)->compoundForward(t,f);
}
Rate ExtendedDiscountCurve::zeroYieldImpl(Time t) const {
DiscountFactor df;
if (t==0.0) {
Time dt = 0.001;
df = discountImpl(dt);
return Rate(-std::log(df)/dt);
} else {
df = discountImpl(t);
return Rate(-std::log(df)/t);
}
}
boost::shared_ptr<CompoundForward>
ExtendedDiscountCurve::forwardCurve(Integer compounding) const {
if (forwardCurveMap_.find(compounding) == forwardCurveMap_.end())
forwardCurveMap_[compounding] = reversebootstrap(compounding);
return forwardCurveMap_[compounding];
}
}
|
