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
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2007, 2008 StatPro Italia srl
Copyright (C) 2017 Francois Botha
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
<https://www.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 compositezeroyieldstructure.hpp
\brief Composite zero term structure
*/
#ifndef quantlib_composite_zero_yield_structure
#define quantlib_composite_zero_yield_structure
#include <ql/termstructures/yield/zeroyieldstructure.hpp>
#include <utility>
namespace QuantLib {
template <class BinaryFunction>
class CompositeZeroYieldStructure : public ZeroYieldStructure {
public:
CompositeZeroYieldStructure(Handle<YieldTermStructure> h1,
Handle<YieldTermStructure> h2,
const BinaryFunction& f,
Compounding comp = Continuous,
Frequency freq = NoFrequency);
//! \name YieldTermStructure interface
//@{
DayCounter dayCounter() const override;
Calendar calendar() const override;
Natural settlementDays() const override;
const Date& referenceDate() const override;
Date maxDate() const override;
Time maxTime() const override;
//@}
//! \name Observer interface
//@{
void update() override;
//@}
protected:
//! returns the composite zero yield rate
Rate zeroYieldImpl(Time) const override;
private:
Handle<YieldTermStructure> curve1_;
Handle<YieldTermStructure> curve2_;
BinaryFunction f_;
Compounding comp_;
Frequency freq_;
};
// inline definitions
template <class BinaryFunction>
inline CompositeZeroYieldStructure<BinaryFunction>::CompositeZeroYieldStructure(
Handle<YieldTermStructure> h1,
Handle<YieldTermStructure> h2,
const BinaryFunction& f,
Compounding comp,
Frequency freq)
: curve1_(std::move(h1)), curve2_(std::move(h2)), f_(f), comp_(comp), freq_(freq) {
if (!curve1_.empty() && !curve2_.empty())
enableExtrapolation(curve1_->allowsExtrapolation() && curve2_->allowsExtrapolation());
registerWith(curve1_);
registerWith(curve2_);
}
template <class BinaryFunction>
inline DayCounter CompositeZeroYieldStructure<BinaryFunction>::dayCounter() const {
return curve1_->dayCounter();
}
template <class BinaryFunction>
inline Calendar CompositeZeroYieldStructure<BinaryFunction>::calendar() const {
return curve1_->calendar();
}
template <class BinaryFunction>
inline Natural CompositeZeroYieldStructure<BinaryFunction>::settlementDays() const {
return curve1_->settlementDays();
}
template <class BinaryFunction>
inline const Date& CompositeZeroYieldStructure<BinaryFunction>::referenceDate() const {
return curve1_->referenceDate();
}
template <class BinaryFunction>
inline Date CompositeZeroYieldStructure<BinaryFunction>::maxDate() const {
return curve1_->maxDate();
}
template <class BinaryFunction>
inline Time CompositeZeroYieldStructure<BinaryFunction>::maxTime() const {
return curve1_->maxTime();
}
template <class BinaryFunction>
inline void CompositeZeroYieldStructure<BinaryFunction>::update() {
if (!curve1_.empty() && !curve2_.empty()) {
YieldTermStructure::update();
enableExtrapolation(curve1_->allowsExtrapolation() && curve2_->allowsExtrapolation());
}
else {
/* The implementation inherited from YieldTermStructure
asks for our reference date, which we don't have since
the original curve is still not set. Therefore, we skip
over that and just call the base-class behavior. */
// NOLINTNEXTLINE(bugprone-parent-virtual-call)
TermStructure::update();
}
}
template <class BinaryFunction>
inline Rate CompositeZeroYieldStructure<BinaryFunction>::zeroYieldImpl(Time t) const {
Rate zeroRate1 =
curve1_->zeroRate(t, comp_, freq_, true);
InterestRate zeroRate2 =
curve2_->zeroRate(t, comp_, freq_, true);
InterestRate compositeRate(f_(zeroRate1, zeroRate2), dayCounter(), comp_, freq_);
return compositeRate.equivalentRate(Continuous, NoFrequency, t);
}
}
#endif
|
