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
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
#ifndef quantlib_spread_discount_curve_hpp
#define quantlib_spread_discount_curve_hpp
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/interpolatedcurve.hpp>
#include <ql/math/interpolations/loginterpolation.hpp>
#include <utility>
namespace QuantLib {
//! Yield curve based on interpolation of discount factors applied as
//! a multiplicative spread to the base YieldTermStructure
/*! The discount factors 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 InterpolatedSpreadDiscountCurve
: public YieldTermStructure,
protected InterpolatedCurve<Interpolator> {
public:
InterpolatedSpreadDiscountCurve(
Handle<YieldTermStructure> baseCurve,
std::vector<Date> dates,
std::vector<DiscountFactor> dfs,
const Interpolator& 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;
//@}
//@}
//! \name other inspectors
//@{
const Handle<YieldTermStructure>& baseCurve() const;
const std::vector<Time>& times() const;
const std::vector<Date>& dates() const;
const std::vector<Real>& data() const;
std::vector<std::pair<Date, Real>> nodes() const;
//@}
protected:
InterpolatedSpreadDiscountCurve(
Handle<YieldTermStructure> baseCurve,
const Interpolator& interpolator);
//! \name YieldTermStructure implementation
//@{
DiscountFactor discountImpl(Time) const override;
//@}
void update() override;
mutable std::vector<Date> dates_;
private:
void updateInterpolation();
DiscountFactor calcSpread(Time t) const;
Handle<YieldTermStructure> baseCurve_;
DayCounter prevDayCount_;
};
//! Spread yield curve based on log-linear interpolation of discount factors
/*! Log-linear interpolation guarantees piecewise-constant spreads.
\ingroup yieldtermstructures
*/
typedef InterpolatedSpreadDiscountCurve<LogLinear> SpreadDiscountCurve;
// inline definitions
#ifndef __DOXYGEN__
template <class T>
inline InterpolatedSpreadDiscountCurve<T>::InterpolatedSpreadDiscountCurve(
Handle<YieldTermStructure> baseCurve,
std::vector<Date> dates,
std::vector<DiscountFactor> dfs,
const T& interpolator)
: InterpolatedCurve<T>({}, std::move(dfs), interpolator),
dates_(std::move(dates)), baseCurve_(std::move(baseCurve)) {
QL_REQUIRE(dates_.size() >= T::requiredPoints,
"not enough input dates given");
QL_REQUIRE(this->data_.size() == dates_.size(),
"dates/data count mismatch");
QL_REQUIRE(this->data_[0] == 1.0,
"the first discount must be == 1.0 "
"to flag the corresponding date as reference date");
for (Size i = 1; i < dates_.size(); ++i) {
QL_REQUIRE(this->data_[i] > 0.0, "negative discount");
}
registerWith(baseCurve_);
if (!baseCurve_.empty())
updateInterpolation();
}
template <class T>
inline InterpolatedSpreadDiscountCurve<T>::InterpolatedSpreadDiscountCurve(
Handle<YieldTermStructure> baseCurve,
const T& interpolator)
: InterpolatedCurve<T>(interpolator), baseCurve_(std::move(baseCurve))
{
registerWith(baseCurve_);
}
#endif
template <class T>
inline DayCounter InterpolatedSpreadDiscountCurve<T>::dayCounter() const {
return baseCurve_->dayCounter();
}
template <class T>
inline Calendar InterpolatedSpreadDiscountCurve<T>::calendar() const {
return baseCurve_->calendar();
}
template <class T>
inline Natural InterpolatedSpreadDiscountCurve<T>::settlementDays() const {
return baseCurve_->settlementDays();
}
template <class T>
inline const Date& InterpolatedSpreadDiscountCurve<T>::referenceDate() const {
return baseCurve_->referenceDate();
}
template <class T>
inline Date InterpolatedSpreadDiscountCurve<T>::maxDate() const {
Date maxDate = this->maxDate_ != Date() ? this->maxDate_ : dates_.back();
return std::min(baseCurve_->maxDate(), maxDate);
}
template <class T>
inline const Handle<YieldTermStructure>&
InterpolatedSpreadDiscountCurve<T>::baseCurve() const {
return baseCurve_;
}
template <class T>
inline const std::vector<Time>&
InterpolatedSpreadDiscountCurve<T>::times() const {
return this->times_;
}
template <class T>
inline const std::vector<Date>&
InterpolatedSpreadDiscountCurve<T>::dates() const {
return dates_;
}
template <class T>
inline const std::vector<Real>&
InterpolatedSpreadDiscountCurve<T>::data() const {
return this->data_;
}
template <class T>
inline std::vector<std::pair<Date, Real>>
InterpolatedSpreadDiscountCurve<T>::nodes() const {
std::vector<std::pair<Date, Real>> results(dates_.size());
for (Size i = 0, size = dates_.size(); i < size; ++i)
results[i] = {dates_[i], this->data_[i]};
return results;
}
template <class T>
inline DiscountFactor
InterpolatedSpreadDiscountCurve<T>::discountImpl(Time t) const {
return baseCurve_->discount(t) * calcSpread(t);
}
template <class T>
inline DiscountFactor
InterpolatedSpreadDiscountCurve<T>::calcSpread(Time t) const {
if (t <= this->times_.back())
return this->interpolation_(t, true);
// flat fwd extrapolation
Time tMax = this->times_.back();
DiscountFactor dMax = this->data_.back();
Rate instFwdMax = - this->interpolation_.derivative(tMax) / dMax;
return dMax * std::exp(- instFwdMax * (t-tMax));
}
template <class T>
inline void InterpolatedSpreadDiscountCurve<T>::update() {
if (!baseCurve_.empty()) {
if (!dates_.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 InterpolatedSpreadDiscountCurve<T>::updateInterpolation() {
QL_REQUIRE(dates_[0] == referenceDate(),
"the first date should be the same as in the original curve");
// Since dates_ are fixed and dates_[0] must be equal to referenceDate(),
// the only thing that can change is dayCounter().
auto dc = dayCounter();
if (prevDayCount_ != dc) {
this->setupTimes(dates_, dates_[0], dc);
this->setupInterpolation();
this->interpolation_.update();
prevDayCount_ = dc;
}
}
}
#endif
|
