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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004 Ferdinando Ametrano
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006 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.
*/
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
YieldTermStructure::YieldTermStructure(const DayCounter& dc)
: TermStructure(dc) {}
YieldTermStructure::YieldTermStructure(const Date& referenceDate,
const Calendar& cal,
const DayCounter& dc)
: TermStructure(referenceDate, cal, dc) {}
YieldTermStructure::YieldTermStructure(Natural settlementDays,
const Calendar& cal,
const DayCounter& dc)
: TermStructure(settlementDays, cal, dc) {}
InterestRate YieldTermStructure::zeroRate(const Date& d,
const DayCounter& dayCounter,
Compounding comp,
Frequency freq,
bool extrapolate) const {
if (d==referenceDate()) {
Time t = 0.0001;
Real compound = 1.0/discount(t, extrapolate);
return InterestRate::impliedRate(compound, t, dayCounter,
comp, freq);
}
Real compound = 1.0/discount(d, extrapolate);
return InterestRate::impliedRate(compound, referenceDate(), d,
dayCounter, comp, freq);
}
InterestRate YieldTermStructure::zeroRate(Time t,
Compounding comp,
Frequency freq,
bool extrapolate) const {
if (t==0.0) t = 0.0001;
Real compound = 1.0/discount(t, extrapolate);
return InterestRate::impliedRate(compound, t, dayCounter(),
comp, freq);
}
InterestRate YieldTermStructure::forwardRate(const Date& d1,
const Date& d2,
const DayCounter& dayCounter,
Compounding comp,
Frequency freq,
bool extrapolate) const {
if (d1==d2) {
Time t1 = timeFromReference(d1);
Time t2 = t1 + 0.0001;
Real compound =
discount(t1, extrapolate)/discount(t2, extrapolate);
return InterestRate::impliedRate(compound, t2-t1,
dayCounter, comp, freq);
}
QL_REQUIRE(d1 < d2, d1 << " later than " << d2);
Real compound = discount(d1, extrapolate)/discount(d2, extrapolate);
return InterestRate::impliedRate(compound,
d1, d2, dayCounter,
comp, freq);
}
InterestRate YieldTermStructure::forwardRate(Time t1,
Time t2,
Compounding comp,
Frequency freq,
bool extrapolate) const {
if (t2==t1) t2=t1+0.0001;
QL_REQUIRE(t2>t1, "t2 (" << t2 << ") < t1 (" << t2 << ")");
Real compound = discount(t1, extrapolate)/discount(t2, extrapolate);
return InterestRate::impliedRate(compound, t2-t1,
dayCounter(), comp, freq);
}
Rate YieldTermStructure::parRate(Integer tenor,
const Date& startDate,
Frequency freq,
bool extrapolate) const {
std::vector<Date> dates(1, startDate);
dates.reserve(tenor+1);
for (Integer i=1; i<=tenor; ++i)
dates.push_back(startDate + i*Years);
return parRate(dates, freq, extrapolate);
}
Rate YieldTermStructure::parRate(const std::vector<Date>& dates,
Frequency freq,
bool extrapolate) const {
std::vector<Time> times(dates.size());
for (Size i=0; i<dates.size(); i++)
times[i] = timeFromReference(dates[i]);
return parRate(times,freq,extrapolate);
}
Rate YieldTermStructure::parRate(const std::vector<Time>& times,
Frequency freq,
bool extrapolate) const {
QL_REQUIRE(times.size() >= 2, "at least two times are required");
checkRange(times.back(), extrapolate);
Real sum = 0.0;
for (Size i=1; i<times.size(); i++)
sum += discountImpl(times[i]);
Real result = discountImpl(times.front())-discountImpl(times.back());
result *= Real(freq)/sum;
return result;
}
}
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