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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004 StatPro Italia 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
<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 forwardstructure.hpp
\brief Forward-based yield term structure
*/
#ifndef quantlib_forward_structure_hpp
#define quantlib_forward_structure_hpp
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
//! %Forward-rate term structure
/*! This abstract class acts as an adapter to TermStructure allowing the
programmer to implement only the
<tt>forwardImpl(const Date&, bool)</tt> method in derived classes.
Zero yields and discounts are calculated from forwards.
Rates are assumed to be annual continuous compounding.
\ingroup yieldtermstructures
*/
class ForwardRateStructure : public YieldTermStructure {
public:
/*! \name Constructors
See the TermStructure documentation for issues regarding
constructors.
*/
//@{
ForwardRateStructure(const DayCounter& dayCounter = Actual365Fixed());
ForwardRateStructure(const Date& referenceDate,
const Calendar& cal = Calendar(),
const DayCounter& dayCounter =Actual365Fixed());
ForwardRateStructure(Natural settlementDays,
const Calendar&,
const DayCounter& dayCounter = Actual365Fixed());
//@}
virtual ~ForwardRateStructure() {}
protected:
//! \name YieldTermStructure implementation
//@{
/*! Returns the discount factor for the given date calculating it
from the instantaneous forward rate.
*/
DiscountFactor discountImpl(Time) const;
//! instantaneous forward-rate calculation
virtual Rate forwardImpl(Time) const = 0;
/*! Returns the zero yield rate for the given date calculating it
from the instantaneous forward rate.
\warning This is just a default, highly inefficient and
possibly wildly inaccurate implementation. Derived
classes should implement their own zeroYield method.
*/
virtual Rate zeroYieldImpl(Time) const;
//@}
};
// inline definitions
inline ForwardRateStructure::ForwardRateStructure(const DayCounter& dc)
: YieldTermStructure(dc) {}
inline ForwardRateStructure::ForwardRateStructure(const Date& refDate,
const Calendar& cal,
const DayCounter& dc)
: YieldTermStructure(refDate, cal, dc) {}
inline ForwardRateStructure::ForwardRateStructure(Natural settlDays,
const Calendar& cal,
const DayCounter& dc)
: YieldTermStructure(settlDays, cal, dc) {}
inline Rate ForwardRateStructure::zeroYieldImpl(Time t) const {
if (t == 0.0)
return forwardImpl(0.0);
// implement smarter integration if plan to use the following code
Rate sum = 0.5*forwardImpl(0.0);
Size N = 1000;
Time dt = t/N;
for (Time i=dt; i<t; i+=dt)
sum += forwardImpl(i);
sum += 0.5*forwardImpl(t);
return Rate(sum*dt/t);
}
inline DiscountFactor ForwardRateStructure::discountImpl(Time t) const {
Rate r = zeroYieldImpl(t);
return DiscountFactor(std::exp(-r*t));
}
}
#endif
|
