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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Roland Lichters
Copyright (C) 2006, 2008, 2014 StatPro Italia srl
Copyright (C) 2010 Robert Philipp
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 piecewiseforwardspreadedtermstructure.hpp
\brief Piecewise-forward-spreaded term structure
*/
#ifndef quantlib_piecewise_forward_spreaded_term_structure_hpp
#define quantlib_piecewise_forward_spreaded_term_structure_hpp
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/quote.hpp>
#include <ql/termstructures/yield/forwardstructure.hpp>
#include <utility>
#include <vector>
namespace QuantLib {
//! Term structure with an added vector of spreads on the instantaneous forward rate
/*! The forward rate spread at any given date is interpolated
between the input data.
\note This term structure will remain linked to the original
structure, i.e., any changes in the latter will be
reflected in this structure as well.
\ingroup yieldtermstructures
*/
template <class Interpolator>
class InterpolatedPiecewiseForwardSpreadedTermStructure : public ForwardRateStructure {
public:
InterpolatedPiecewiseForwardSpreadedTermStructure(Handle<YieldTermStructure>,
std::vector<Handle<Quote>> spreads,
std::vector<Date> dates,
Interpolator factory = Interpolator());
/*! \deprecated Use the constructor without a day counter.
Deprecated in version 1.41.
*/
[[deprecated("Use the constructor without DayCounter")]]
InterpolatedPiecewiseForwardSpreadedTermStructure(Handle<YieldTermStructure>,
std::vector<Handle<Quote>> spreads,
std::vector<Date> dates,
const DayCounter& dc,
Interpolator factory = Interpolator());
//! \name YieldTermStructure interface
//@{
DayCounter dayCounter() const override;
Natural settlementDays() const override;
Calendar calendar() const override;
const Date& referenceDate() const override;
Date maxDate() const override;
//@}
protected:
//! returns the spreaded zero yield rate
Rate zeroYieldImpl(Time) const override;
Rate forwardImpl(Time) const override;
void update() override;
private:
void updateInterpolation();
Real calcSpread(Time t) const;
Real calcSpreadPrimitive(Time t) const;
Handle<YieldTermStructure> originalCurve_;
std::vector<Handle<Quote> > spreads_;
std::vector<Date> dates_;
std::vector<Time> times_;
std::vector<Spread> spreadValues_;
Compounding comp_;
Frequency freq_;
Interpolator factory_;
Interpolation interpolator_;
};
// inline definitions
#ifndef __DOXYGEN__
template <class T>
inline InterpolatedPiecewiseForwardSpreadedTermStructure<
T>::InterpolatedPiecewiseForwardSpreadedTermStructure(Handle<YieldTermStructure> h,
std::vector<Handle<Quote>> spreads,
std::vector<Date> dates,
T factory)
: originalCurve_(std::move(h)), spreads_(std::move(spreads)), dates_(std::move(dates)),
times_(dates_.size()), spreadValues_(dates_.size()), factory_(std::move(factory)) {
QL_REQUIRE(!spreads_.empty(), "no spreads given");
QL_REQUIRE(spreads_.size() == dates_.size(),
"spread and date vector have different sizes");
registerWith(originalCurve_);
for (auto& spread : spreads_)
registerWith(spread);
if (!originalCurve_.empty())
updateInterpolation();
}
template <class T>
inline InterpolatedPiecewiseForwardSpreadedTermStructure<
T>::InterpolatedPiecewiseForwardSpreadedTermStructure(Handle<YieldTermStructure> h,
std::vector<Handle<Quote>> spreads,
std::vector<Date> dates,
const DayCounter& dc,
T factory)
: InterpolatedPiecewiseForwardSpreadedTermStructure(
std::move(h), std::move(spreads), std::move(dates), std::move(factory)
) {}
#endif
template <class T>
inline DayCounter InterpolatedPiecewiseForwardSpreadedTermStructure<T>::dayCounter() const {
return originalCurve_->dayCounter();
}
template <class T>
inline Calendar InterpolatedPiecewiseForwardSpreadedTermStructure<T>::calendar() const {
return originalCurve_->calendar();
}
template <class T>
inline Natural InterpolatedPiecewiseForwardSpreadedTermStructure<T>::settlementDays() const {
return originalCurve_->settlementDays();
}
template <class T>
inline const Date&
InterpolatedPiecewiseForwardSpreadedTermStructure<T>::referenceDate() const {
return originalCurve_->referenceDate();
}
template <class T>
inline Date InterpolatedPiecewiseForwardSpreadedTermStructure<T>::maxDate() const {
return std::min(originalCurve_->maxDate(), dates_.back());
}
template <class T>
inline Rate
InterpolatedPiecewiseForwardSpreadedTermStructure<T>::zeroYieldImpl(Time t) const {
Spread spreadPrimitive = calcSpreadPrimitive(t);
InterestRate zeroRate = originalCurve_->zeroRate(t, Continuous, NoFrequency, true);
return zeroRate + spreadPrimitive;
}
template <class T>
inline Rate
InterpolatedPiecewiseForwardSpreadedTermStructure<T>::forwardImpl(Time t) const {
Spread spread = calcSpread(t);
Rate forwardRate = originalCurve_->forwardRate(t, t, Continuous, NoFrequency, true);
return forwardRate + spread;
}
template <class T>
inline Spread
InterpolatedPiecewiseForwardSpreadedTermStructure<T>::calcSpread(Time t) const {
if (t <= times_.front()) {
return spreads_.front()->value();
} else if (t >= times_.back()) {
return spreads_.back()->value();
} else {
return interpolator_(t, true);
}
}
template <class T>
inline Spread
InterpolatedPiecewiseForwardSpreadedTermStructure<T>::calcSpreadPrimitive(Time t) const {
if (t == 0.0)
return calcSpread(0.0);
Real integral;
if (t <= this->times_.back()) {
integral = this->interpolator_.primitive(t, true);
} else {
integral = this->interpolator_.primitive(this->times_.back(), true)
+ this->spreads_.back()->value() * (t - this->times_.back());
}
return integral/t;
}
template <class T>
inline void InterpolatedPiecewiseForwardSpreadedTermStructure<T>::update() {
if (!originalCurve_.empty()) {
updateInterpolation();
YieldTermStructure::update();
} 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 T>
inline void InterpolatedPiecewiseForwardSpreadedTermStructure<T>::updateInterpolation() {
for (Size i = 0; i < dates_.size(); i++) {
times_[i] = timeFromReference(dates_[i]);
spreadValues_[i] = spreads_[i]->value();
}
interpolator_ = factory_.interpolate(times_.begin(),
times_.end(),
spreadValues_.begin());
}
}
#endif
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