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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004 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/interestrate.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <sstream>
#include <iomanip>
namespace QuantLib {
// constructors
InterestRate::InterestRate()
: r_(Null<Real>()) {}
InterestRate::InterestRate(Rate r,
const DayCounter& dc,
Compounding comp,
Frequency freq)
: r_(r), dc_(dc), comp_(comp), freqMakesSense_(false) {
if (comp_==Compounded || comp_==SimpleThenCompounded) {
freqMakesSense_ = true;
QL_REQUIRE(freq!=Once && freq!=NoFrequency,
"frequency not allowed for this interest rate");
freq_ = Real(freq);
}
}
Real InterestRate::compoundFactor(Time t) const {
QL_REQUIRE(t>=0.0, "negative time not allowed");
QL_REQUIRE(r_ != Null<Rate>(), "null interest rate");
switch (comp_) {
case Simple:
return 1.0 + r_*t;
case Compounded:
return std::pow(1.0+r_/freq_, freq_*t);
case Continuous:
return std::exp(r_*t);
case SimpleThenCompounded:
if (t<=1.0/Real(freq_))
return 1.0 + r_*t;
else
return std::pow(1.0+r_/freq_, freq_*t);
default:
QL_FAIL("unknown compounding convention");
}
}
InterestRate InterestRate::impliedRate(Real compound,
const DayCounter& resultDC,
Compounding comp,
Frequency freq,
Time t) {
QL_REQUIRE(compound>0.0, "positive compound factor required");
Rate r;
if (compound==1.0) {
QL_REQUIRE(t>=0.0, "non negative time (" << t << ") required");
r = 0.0;
} else {
QL_REQUIRE(t>0.0, "positive time (" << t << ") required");
switch (comp) {
case Simple:
r = (compound - 1.0)/t;
break;
case Compounded:
r = (std::pow(compound, 1.0/(Real(freq)*t))-1.0)*Real(freq);
break;
case Continuous:
r = std::log(compound)/t;
break;
case SimpleThenCompounded:
if (t<=1.0/Real(freq))
r = (compound - 1.0)/t;
else
r = (std::pow(compound, 1.0/(Real(freq)*t))-1.0)*Real(freq);
break;
default:
QL_FAIL("unknown compounding convention ("
<< Integer(comp) << ")");
}
}
return InterestRate(r, resultDC, comp, freq);
}
std::ostream& operator<<(std::ostream& out, const InterestRate& ir) {
if (ir.rate() == Null<Rate>())
return out << "null interest rate";
out << io::rate(ir.rate()) << " " << ir.dayCounter().name() << " ";
switch (ir.compounding()) {
case Simple:
out << "simple compounding";
break;
case Compounded:
switch (ir.frequency()) {
case NoFrequency:
case Once:
QL_FAIL(ir.frequency() << " frequency not allowed "
"for this interest rate");
default:
out << ir.frequency() <<" compounding";
}
break;
case Continuous:
out << "continuous compounding";
break;
case SimpleThenCompounded:
switch (ir.frequency()) {
case NoFrequency:
case Once:
QL_FAIL(ir.frequency() << " frequency not allowed "
"for this interest rate");
default:
out << "simple compounding up to "
<< Integer(12/ir.frequency()) << " months, then "
<< ir.frequency() << " compounding";
}
break;
default:
QL_FAIL("unknown compounding convention ("
<< Integer(ir.compounding()) << ")");
}
return out;
}
}
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