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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004, 2009 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>
#include <ql/utilities/dataformatters.hpp>
#include <utility>
namespace QuantLib {
namespace {
// time interval used in finite differences
const Time dt = 0.0001;
}
YieldTermStructure::YieldTermStructure(const DayCounter& dc) : TermStructure(dc) {}
YieldTermStructure::YieldTermStructure(const Date& referenceDate,
const Calendar& cal,
const DayCounter& dc,
std::vector<Handle<Quote> > jumps,
const std::vector<Date>& jumpDates)
: TermStructure(referenceDate, cal, dc), jumps_(std::move(jumps)), jumpDates_(jumpDates),
jumpTimes_(jumpDates.size()), nJumps_(jumps_.size()) {
setJumps(YieldTermStructure::referenceDate());
for (Size i=0; i<nJumps_; ++i)
registerWith(jumps_[i]);
}
YieldTermStructure::YieldTermStructure(Natural settlementDays,
const Calendar& cal,
const DayCounter& dc,
std::vector<Handle<Quote> > jumps,
const std::vector<Date>& jumpDates)
: TermStructure(settlementDays, cal, dc), jumps_(std::move(jumps)), jumpDates_(jumpDates),
jumpTimes_(jumpDates.size()), nJumps_(jumps_.size()) {
setJumps(YieldTermStructure::referenceDate());
for (Size i=0; i<nJumps_; ++i)
registerWith(jumps_[i]);
}
void YieldTermStructure::setJumps(const Date& referenceDate) {
if (jumpDates_.empty() && !jumps_.empty()) { // turn of year dates
jumpDates_.resize(nJumps_);
jumpTimes_.resize(nJumps_);
Year y = referenceDate.year();
for (Size i=0; i<nJumps_; ++i)
jumpDates_[i] = Date(31, December, y+i);
} else { // fixed dates
QL_REQUIRE(jumpDates_.size()==nJumps_,
"mismatch between number of jumps (" << nJumps_ <<
") and jump dates (" << jumpDates_.size() << ")");
}
for (Size i=0; i<nJumps_; ++i)
jumpTimes_[i] = timeFromReference(jumpDates_[i]);
latestReference_ = referenceDate;
}
DiscountFactor YieldTermStructure::discount(Time t,
bool extrapolate) const {
checkRange(t, extrapolate);
if (jumps_.empty())
return discountImpl(t);
DiscountFactor jumpEffect = 1.0;
for (Size i=0; i<nJumps_; ++i) {
if (jumpTimes_[i]>0 && jumpTimes_[i]<t) {
QL_REQUIRE(jumps_[i]->isValid(),
"invalid " << io::ordinal(i+1) << " jump quote");
DiscountFactor thisJump = jumps_[i]->value();
QL_REQUIRE(thisJump > 0.0,
"invalid " << io::ordinal(i+1) << " jump value: " <<
thisJump);
jumpEffect *= thisJump;
}
}
return jumpEffect * discountImpl(t);
}
InterestRate YieldTermStructure::zeroRate(const Date& d,
const DayCounter& dayCounter,
Compounding comp,
Frequency freq,
bool extrapolate) const {
if (d==referenceDate()) {
Real compound = 1.0/discount(dt, extrapolate);
// t has been calculated with a possibly different daycounter
// but the difference should not matter for very small times
return InterestRate::impliedRate(compound,
dayCounter, comp, freq,
dt);
}
Real compound = 1.0/discount(d, extrapolate);
return InterestRate::impliedRate(compound,
dayCounter, comp, freq,
referenceDate(), d);
}
InterestRate YieldTermStructure::zeroRate(Time t,
Compounding comp,
Frequency freq,
bool extrapolate) const {
if (t==0.0) t = dt;
Real compound = 1.0/discount(t, extrapolate);
return InterestRate::impliedRate(compound,
dayCounter(), comp, freq,
t);
}
InterestRate YieldTermStructure::forwardRate(const Date& d1,
const Date& d2,
const DayCounter& dayCounter,
Compounding comp,
Frequency freq,
bool extrapolate) const {
if (d1==d2) {
checkRange(d1, extrapolate);
Time t1 = std::max(timeFromReference(d1) - dt/2.0, 0.0);
Time t2 = t1 + dt;
Real compound =
discount(t1, true)/discount(t2, true);
// times have been calculated with a possibly different daycounter
// but the difference should not matter for very small times
return InterestRate::impliedRate(compound,
dayCounter, comp, freq,
dt);
}
QL_REQUIRE(d1 < d2, d1 << " later than " << d2);
Real compound = discount(d1, extrapolate)/discount(d2, extrapolate);
return InterestRate::impliedRate(compound,
dayCounter, comp, freq,
d1, d2);
}
InterestRate YieldTermStructure::forwardRate(Time t1,
Time t2,
Compounding comp,
Frequency freq,
bool extrapolate) const {
Real compound;
if (t2==t1) {
checkRange(t1, extrapolate);
t1 = std::max(t1 - dt/2.0, 0.0);
t2 = t1 + dt;
compound = discount(t1, true)/discount(t2, true);
} else {
QL_REQUIRE(t2>t1, "t2 (" << t2 << ") < t1 (" << t2 << ")");
compound = discount(t1, extrapolate)/discount(t2, extrapolate);
}
return InterestRate::impliedRate(compound,
dayCounter(), comp, freq,
t2-t1);
}
void YieldTermStructure::update() {
TermStructure::update();
Date newReference = Date();
try {
newReference = referenceDate();
if (newReference != latestReference_)
setJumps(newReference);
} catch (Error&) {
if (newReference == Date()) {
// the curve couldn't calculate the reference
// date. Most of the times, this is because some
// underlying handle wasn't set, so we can just absorb
// the exception and continue; the jumps will be set
// correctly when a valid underlying is set.
return;
} else {
// something else happened during the call to
// setJumps(), so we let the exception bubble up.
throw;
}
}
}
}
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