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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
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/models/marketmodels/historicalratesanalysis.hpp>
#include <ql/time/calendar.hpp>
#include <ql/indexes/interestrateindex.hpp>
namespace QuantLib {
void historicalRatesAnalysis(
SequenceStatistics& statistics,
std::vector<Date>& skippedDates,
std::vector<std::string>& skippedDatesErrorMessage,
const Date& startDate,
const Date& endDate,
const Period& step,
const std::vector<boost::shared_ptr<InterestRateIndex> >& indexes) {
skippedDates.clear();
skippedDatesErrorMessage.clear();
Size nRates = indexes.size();
statistics.reset(nRates);
std::vector<Rate> sample(nRates);
std::vector<Rate> prevSample(nRates);
std::vector<Rate> sampleDiff(nRates);
Calendar cal = indexes[0]->fixingCalendar();
// start with a valid business date
Date currentDate = cal.advance(startDate, 1*Days, Following);
bool isFirst = true;
// Loop over the historical dataset
for (; currentDate<=endDate;
currentDate = cal.advance(currentDate, step, Following)) {
try {
for (Size i=0; i<nRates; ++i) {
Rate fixing = indexes[i]->fixing(currentDate, false);
sample[i] = fixing;
}
} catch (std::exception& e) {
skippedDates.push_back(currentDate);
skippedDatesErrorMessage.push_back(e.what());
continue;
}
// From 2nd step onwards, calculate forward rate
// relative differences
if (!isFirst){
for (Size i=0; i<nRates; ++i)
sampleDiff[i] = sample[i]/prevSample[i] -1.0;
// add observation
statistics.add(sampleDiff.begin(), sampleDiff.end());
}
else
isFirst = false;
// Store last calculated forward rates
std::swap(prevSample, sample);
}
}
HistoricalRatesAnalysis::HistoricalRatesAnalysis(
const boost::shared_ptr<SequenceStatistics>& stats,
const Date& startDate,
const Date& endDate,
const Period& step,
const std::vector<boost::shared_ptr<InterestRateIndex> >& indexes)
: stats_(stats) {
historicalRatesAnalysis(
*stats_,
skippedDates_, skippedDatesErrorMessage_,
startDate, endDate, step,
indexes);
}
}
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