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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008 StatPro Italia srl
Copyright (C) 2009 Ferdinando Ametrano
Copyright (C) 2019 SoftSolutions! S.r.l.
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 interpolatedsimplezerocurve.hpp
\brief interpolated simply-compounded zero-rates structure
*/
#ifndef quantlib_zero_curve_simple_hpp
#define quantlib_zero_curve_simple_hpp
#include <ql/termstructures/interpolatedcurve.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <utility>
namespace QuantLib {
//! YieldTermStructure based on interpolation of zero rates
/*! \ingroup yieldtermstructures */
template <class Interpolator>
class InterpolatedSimpleZeroCurve : public YieldTermStructure, protected InterpolatedCurve<Interpolator> {
public:
// constructor
InterpolatedSimpleZeroCurve(const std::vector<Date> &dates, const std::vector<Rate> &yields,
const DayCounter &dayCounter, const Calendar &calendar = Calendar(),
const std::vector<Handle<Quote> > &jumps = {},
const std::vector<Date> &jumpDates = {},
const Interpolator &interpolator = {});
InterpolatedSimpleZeroCurve(const std::vector<Date> &dates, const std::vector<Rate> &yields,
const DayCounter &dayCounter, const Calendar &calendar,
const Interpolator &interpolator);
InterpolatedSimpleZeroCurve(const std::vector<Date> &dates, const std::vector<Rate> &yields,
const DayCounter &dayCounter, const Interpolator &interpolator);
//! \name TermStructure interface
//@{
Date maxDate() const override;
//@}
//! \name other inspectors
//@{
const std::vector<Time> ×() const;
const std::vector<Date> &dates() const;
const std::vector<Real> &data() const;
const std::vector<Rate> &zeroRates() const;
std::vector<std::pair<Date, Real> > nodes() const;
//@}
protected:
explicit InterpolatedSimpleZeroCurve(const DayCounter &,
const Interpolator &interpolator = {});
InterpolatedSimpleZeroCurve(const Date &referenceDate, const DayCounter &,
const std::vector<Handle<Quote> > &jumps = {},
const std::vector<Date> &jumpDates = {},
const Interpolator &interpolator = {});
InterpolatedSimpleZeroCurve(Natural settlementDays, const Calendar &, const DayCounter &,
const std::vector<Handle<Quote> > &jumps = {},
const std::vector<Date> &jumpDates = {},
const Interpolator &interpolator = {});
//! \name YieldTermStructure implementation
//@{
DiscountFactor discountImpl(Time t) const override;
//@}
mutable std::vector<Date> dates_;
private:
void initialize();
};
// inline definitions
template <class T> inline Date InterpolatedSimpleZeroCurve<T>::maxDate() const { return dates_.back(); }
template <class T> inline const std::vector<Time> &InterpolatedSimpleZeroCurve<T>::times() const {
return this->times_;
}
template <class T> inline const std::vector<Date> &InterpolatedSimpleZeroCurve<T>::dates() const { return dates_; }
template <class T> inline const std::vector<Real> &InterpolatedSimpleZeroCurve<T>::data() const { return this->data_; }
template <class T> inline const std::vector<Rate> &InterpolatedSimpleZeroCurve<T>::zeroRates() const {
return this->data_;
}
template <class T> inline std::vector<std::pair<Date, Real> > InterpolatedSimpleZeroCurve<T>::nodes() const {
std::vector<std::pair<Date, Real> > results(dates_.size());
for (Size i = 0; i < dates_.size(); ++i)
results[i] = std::make_pair(dates_[i], this->data_[i]);
return results;
}
#ifndef __DOXYGEN__
// template definitions
template <class T> DiscountFactor InterpolatedSimpleZeroCurve<T>::discountImpl(Time t) const {
Rate R;
if (t <= this->times_.back()) {
R = this->interpolation_(t, true);
} else {
// flat fwd extrapolation after last pillar,
// Notice that bbg uses flat extrapolation of non-annualized zero instead
Time tMax = this->times_.back();
Rate zMax = this->data_.back();
Rate instFwdMax = zMax + tMax * this->interpolation_.derivative(tMax);
R = (zMax * tMax + instFwdMax * (t - tMax)) / t;
}
return DiscountFactor(1.0 / (1.0 + R * t));
}
template <class T>
InterpolatedSimpleZeroCurve<T>::InterpolatedSimpleZeroCurve(const DayCounter &dayCounter, const T &interpolator)
: YieldTermStructure(dayCounter), InterpolatedCurve<T>(interpolator) {}
template <class T>
InterpolatedSimpleZeroCurve<T>::InterpolatedSimpleZeroCurve(const Date &referenceDate, const DayCounter &dayCounter,
const std::vector<Handle<Quote> > &jumps,
const std::vector<Date> &jumpDates, const T &interpolator)
: YieldTermStructure(referenceDate, Calendar(), dayCounter, jumps, jumpDates), InterpolatedCurve<T>(interpolator) {}
template <class T>
InterpolatedSimpleZeroCurve<T>::InterpolatedSimpleZeroCurve(Natural settlementDays, const Calendar &calendar,
const DayCounter &dayCounter,
const std::vector<Handle<Quote> > &jumps,
const std::vector<Date> &jumpDates, const T &interpolator)
: YieldTermStructure(settlementDays, calendar, dayCounter, jumps, jumpDates), InterpolatedCurve<T>(interpolator) {}
template <class T>
InterpolatedSimpleZeroCurve<T>::InterpolatedSimpleZeroCurve(const std::vector<Date> &dates,
const std::vector<Rate> &yields,
const DayCounter &dayCounter, const Calendar &calendar,
const std::vector<Handle<Quote> > &jumps,
const std::vector<Date> &jumpDates, const T &interpolator)
: YieldTermStructure(dates.at(0), calendar, dayCounter, jumps, jumpDates),
InterpolatedCurve<T>(std::vector<Time>(), yields, interpolator), dates_(dates) {
initialize();
}
template <class T>
InterpolatedSimpleZeroCurve<T>::InterpolatedSimpleZeroCurve(const std::vector<Date> &dates,
const std::vector<Rate> &yields,
const DayCounter &dayCounter, const Calendar &calendar,
const T &interpolator)
: YieldTermStructure(dates.at(0), calendar, dayCounter), InterpolatedCurve<T>(std::vector<Time>(), yields,
interpolator),
dates_(dates) {
initialize();
}
template <class T>
InterpolatedSimpleZeroCurve<T>::InterpolatedSimpleZeroCurve(const std::vector<Date> &dates,
const std::vector<Rate> &yields,
const DayCounter &dayCounter, const T &interpolator)
: YieldTermStructure(dates.at(0), Calendar(), dayCounter), InterpolatedCurve<T>(std::vector<Time>(), yields,
interpolator),
dates_(dates) {
initialize();
}
#endif
template <class T> void InterpolatedSimpleZeroCurve<T>::initialize() {
QL_REQUIRE(dates_.size() >= T::requiredPoints,
"not enough input dates given");
QL_REQUIRE(this->data_.size() == dates_.size(),
"dates/data count mismatch");
this->setupTimes(dates_, dates_[0], dayCounter());
this->setupInterpolation();
this->interpolation_.update();
}
} // namespace QuantLib
#endif
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