DateGrid Class Reference

Simulation Date Grid. More...

#include <ored/utilities/dategrid.hpp>

Collaboration diagram for DateGrid:

Public Member Functions
	DateGrid ()
	Build a date grid with a single date equal to Settings::instance().evaluationDate() More...
	DateGrid (const std::string &grid, const QuantLib::Calendar &gridCalendar=QuantLib::TARGET(), const QuantLib::DayCounter &dayCounter=QuantLib::ActualActual(QuantLib::ActualActual::ISDA))
	DateGrid (const std::vector< QuantLib::Period > &tenors, const QuantLib::Calendar &gridCalendar=QuantLib::TARGET(), const QuantLib::DayCounter &dayCounter=QuantLib::ActualActual(QuantLib::ActualActual::ISDA))
	Build a date grid from the given vector of tenors. More...
	DateGrid (const std::vector< QuantLib::Date > &dates, const QuantLib::Calendar &gridCalendar=QuantLib::TARGET(), const QuantLib::DayCounter &dayCounter=QuantLib::ActualActual(QuantLib::ActualActual::ISDA))
	Build a date grid from an explicit set of dates, sorted in ascending order. More...
QuantLib::Size	size () const
	The size of the date grid. More...
void	truncate (const QuantLib::Date &d, bool overrun=true)
	Truncate the grid up to the given date. More...
void	truncate (QuantLib::Size length)
	Truncate the grid to the given length. More...
void	addCloseOutDates (const QuantLib::Period &p=QuantLib::Period(2, QuantLib::Weeks))

Inspectors
QuantLib::Calendar	calendar_
QuantLib::DayCounter	dayCounter_
std::vector< QuantLib::Date >	dates_
std::map< QuantLib::Date, QuantLib::Date >	valuationCloseOutMap_
std::vector< QuantLib::Period >	tenors_
std::vector< QuantLib::Time >	times_
QuantLib::TimeGrid	timeGrid_
std::vector< bool >	isValuationDate_
std::vector< bool >	isCloseOutDate_
const std::vector< QuantLib::Period > &	tenors () const
const std::vector< QuantLib::Date > &	dates () const
const std::vector< bool > &	isValuationDate () const
const std::vector< bool > &	isCloseOutDate () const
std::vector< QuantLib::Date >	valuationDates () const
std::vector< QuantLib::Date >	closeOutDates () const
const QuantLib::Calendar &	calendar () const
const QuantLib::DayCounter &	dayCounter () const
const std::vector< QuantLib::Time > &	times () const
	Returns the times from Settings::instance().evaluationDate to each Date using the day counter. More...
const QuantLib::TimeGrid &	timeGrid () const
	Returns the time grid associated with the vector of times (plus t=0) More...
QuantLib::TimeGrid	valuationTimeGrid () const
	Returns the time grid associated with the vector of valuation times (plus t=0) More...
QuantLib::TimeGrid	closeOutTimeGrid () const
	Returns the time grid associated with the vector of close-out times (plus t=0) More...
QuantLib::Date	closeOutDateFromValuationDate (const QuantLib::Date &d) const
const QuantLib::Date &	operator[] (QuantLib::Size i) const
	Accessor methods. More...
void	buildDates (const QuantLib::Calendar &cal, const QuantLib::DayCounter &dc)
void	log ()

Detailed Description

Simulation Date Grid.

Utility for building a simulation date grid.

Definition at line 38 of file dategrid.hpp.

Constructor & Destructor Documentation

DateGrid() [1/4]

DateGrid

(

)

Build a date grid with a single date equal to Settings::instance().evaluationDate()

Definition at line 32 of file dategrid.cpp.

    : dates_(1, Settings::instance().evaluationDate()), tenors_(1, 0 * Days), times_(1, 0.0),
      timeGrid_(times_.begin(), times_.end()), isValuationDate_(1, true), isCloseOutDate_(1, false) {}

DateGrid() [2/4]

DateGrid	(	const std::string &	grid,
		const QuantLib::Calendar &	gridCalendar = QuantLib::TARGET(),
		const QuantLib::DayCounter &	dayCounter = QuantLib::ActualActual(QuantLib::ActualActual::ISDA)
	)

Build a date grid from a string which can be of the form 40,1M or 1D,2D,1W,2W,3Y,5Y or a fixed name (ALPHA, BETA) indicating a hard coded grid structure

Definition at line 36 of file dategrid.cpp.

    : calendar_(gridCalendar), dayCounter_(dayCounter) {
 
    if (grid == "ALPHA") {
        // ALPHA is
        // quarterly up to 10Y,
        // annual up to 30Y,
        // quinquennial up to 100Y
        for (Size i = 1; i < 40; i++) { // 3M up to 39*3M = 117M = 9Y9M
            Period p(i * 3, Months);
            p.normalize();
            tenors_.push_back(p);
        }
        for (Size i = 10; i < 30; i++) // 10Y up to 29Y
            tenors_.push_back(Period(i, Years));
        for (Size i = 30; i < 105; i += 5) // 30Y up to 100Y
            tenors_.push_back(Period(i, Years));
    } else if (grid == "BETA") {
        // BETA is
        // monthly up to 10Y,
        // quarterly up to 20Y,
        // annually up to 50Y,
        // quinquennial up to 100Y
        for (Size i = 1; i < 119; i++) {
            Period p = i * Months;
            p.normalize();
            tenors_.push_back(p);
        }
        for (Size i = 40; i < 80; i++) {
            Period p = i * 3 * Months;
            p.normalize();
            tenors_.push_back(p);
        }
        for (Size i = 20; i < 50; i++)
            tenors_.push_back(i * Years);
        for (Size i = 50; i <= 100; i += 5)
            tenors_.push_back(i * Years);
    } else { // uniform grid of format "numPillars,spacing" (e.g. 40,1M)
        vector<string> tokens;
        boost::split(tokens, grid, boost::is_any_of(","));
        if (tokens.size() <= 2) {
            // uniform grid of format "numPillars,spacing" (e.g. 40,1M)
            Period gridTenor = 1 * Years; // default
            Size gridSize = atoi(tokens[0].c_str());
            QL_REQUIRE(gridSize > 0, "Invalid DateGrid string " << grid);
            if (tokens.size() == 2)
                gridTenor = data::parsePeriod(tokens[1]);
            if (gridTenor == Period(1, Days)) {
                // we have a daily grid. Period and Calendar are not consistent with
                // working & actual days, so we set the tenor grid
                Date today = Settings::instance().evaluationDate();
                Date d = today;
                for (Size i = 0; i < gridSize; i++) {
                    d = gridCalendar.advance(d, Period(1, Days), Following); // next working day
                    Size n = d - today;
                    tenors_.push_back(Period(n, Days));
                }
            } else {
                for (Size i = 0; i < gridSize; i++)
                    tenors_.push_back((i + 1) * gridTenor);
            }
        } else {
            // New style : 1D,2D,1W,2W,3Y,5Y,....
            for (Size i = 0; i < tokens.size(); i++)
                tenors_.push_back(data::parsePeriod(tokens[i]));
        }
    }
    buildDates(gridCalendar, dayCounter);
}

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DateGrid() [3/4]

DateGrid	(	const std::vector< QuantLib::Period > &	tenors,
		const QuantLib::Calendar &	gridCalendar = QuantLib::TARGET(),
		const QuantLib::DayCounter &	dayCounter = QuantLib::ActualActual(QuantLib::ActualActual::ISDA)
	)

Build a date grid from the given vector of tenors.

DateGrid() [4/4]

DateGrid	(	const std::vector< QuantLib::Date > &	dates,
		const QuantLib::Calendar &	gridCalendar = QuantLib::TARGET(),
		const QuantLib::DayCounter &	dayCounter = QuantLib::ActualActual(QuantLib::ActualActual::ISDA)
	)

Build a date grid from an explicit set of dates, sorted in ascending order.

Member Function Documentation

size()

QuantLib::Size size

(

)

const

The size of the date grid.

Definition at line 58 of file dategrid.hpp.

{ return dates_.size(); }

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truncate() [1/2]

void truncate	(	const QuantLib::Date &	d,
		bool	overrun = true
	)

Truncate the grid up to the given date.

If overrun is true, we make sure the last date in the grid is greater than the portfolio maturity, even though every scenario portfolio NPV will be 0 at this point we may need the market data. If overrun is false, the last date in the grid is the last date where the portfolio is live.

truncate() [2/2]

void truncate

(

QuantLib::Size

length

)

Truncate the grid to the given length.

addCloseOutDates()

void addCloseOutDates

(

const QuantLib::Period &

p = QuantLib::Period(2, QuantLib::Weeks)

)

Add close out dates. If 0D is given, the valuation dates itself are treated as close out dates. The first date is a valuation date only and the last date is a close out date only then, all other dates are both valuation and close out dates.

Definition at line 207 of file dategrid.cpp.

                                                       {
    valuationCloseOutMap_.clear();
    if (p == QuantLib::Period(0, QuantLib::Days)) {
        for (Size i = 0; i < dates_.size(); ++i) {
            if (i == 0) {
                isCloseOutDate_.front() = false;
                isValuationDate_.front() = true;
            } else if (i == dates_.size() - 1) {
                isCloseOutDate_.back() = true;
                isValuationDate_.back() = false;
            } else {
                isCloseOutDate_[i] = true;
                isValuationDate_[i] = true;
            }
            if (isCloseOutDate_[i] && i > 0)
                valuationCloseOutMap_[dates_[i-1]] = dates_[i];
        }
    } else {
        std::set<QuantLib::Date> tmpCloseOutDates;
        std::set<QuantLib::Date> tmpDates;
        std::set<QuantLib::Date> tmpValueDates;
        for (Size i = 0; i < dates_.size(); ++i) {
            Date c;
            if (p.units() == Days)
                c = calendar_.adjust(dates_[i] + p);
            else
                c = calendar_.advance(dates_[i], p, Following, false);
            tmpCloseOutDates.insert(c);
            valuationCloseOutMap_[dates_[i]] = c;
            tmpDates.insert(dates_[i]);
            tmpDates.insert(c);
            tmpValueDates.insert(dates_[i]);
        }
        dates_.clear();
        dates_.assign(tmpDates.begin(), tmpDates.end());
        isCloseOutDate_ = std::vector<bool>(dates_.size(), false);
        isValuationDate_ = std::vector<bool>(dates_.size(), true);
        for(size_t i = 0; i < dates_.size(); ++i){
            Date d = dates_[i];
            if (tmpCloseOutDates.count(d) == 1) {
                isCloseOutDate_[i] = true;
            }
            if(tmpValueDates.count(d) == 0){
                isValuationDate_[i] = false;
            }
        }
        // FIXME ... (is that needed anywhere ?)
        tenors_ = std::vector<QuantLib::Period>(dates_.size(), 0 * Days);
        times_.resize(dates_.size());
        Date today = Settings::instance().evaluationDate();
        for (Size i = 0; i < dates_.size(); i++)
            times_[i] = dayCounter_.yearFraction(today, dates_[i]);
        timeGrid_ = TimeGrid(times_.begin(), times_.end());
    }
    // Log Grid
    DLOG("Added Close Out Dates to DateGrid , size = " << size());
    log();
}

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tenors()

const std::vector< QuantLib::Period > & tenors

(

)

const

Definition at line 80 of file dategrid.hpp.

{ return tenors_; }

dates()

const std::vector< QuantLib::Date > & dates

(

)

const

Definition at line 81 of file dategrid.hpp.

{ return dates_; }

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isValuationDate()

const std::vector< bool > & isValuationDate

(

)

const

Definition at line 82 of file dategrid.hpp.

{ return isValuationDate_; }

isCloseOutDate()

const std::vector< bool > & isCloseOutDate

(

)

const

Definition at line 83 of file dategrid.hpp.

{ return isCloseOutDate_; }

valuationDates()

std::vector< QuantLib::Date > valuationDates

(

)

const

Definition at line 266 of file dategrid.cpp.

                                                       {
    std::vector<Date> res;
    for (Size i = 0; i < dates_.size(); ++i) {
        if (isValuationDate_[i])
            res.push_back(dates_[i]);
    }
    return res;
}

closeOutDates()

std::vector< QuantLib::Date > closeOutDates

(

)

const

Definition at line 275 of file dategrid.cpp.

                                                      {
    std::vector<Date> res;
    for (Size i = 0; i < dates_.size(); ++i) {
        if (isCloseOutDate_[i])
            res.push_back(dates_[i]);
    }
    return res;
}

calendar()

const QuantLib::Calendar & calendar

(

)

const

Definition at line 86 of file dategrid.hpp.

{ return calendar_; }

dayCounter()

const QuantLib::DayCounter & dayCounter

(

)

const

Definition at line 87 of file dategrid.hpp.

{ return dayCounter_; }

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times()

const std::vector< QuantLib::Time > & times

(

)

const

Returns the times from Settings::instance().evaluationDate to each Date using the day counter.

Definition at line 90 of file dategrid.hpp.

{ return times_; }

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timeGrid()

const QuantLib::TimeGrid & timeGrid

(

)

const

Returns the time grid associated with the vector of times (plus t=0)

Definition at line 93 of file dategrid.hpp.

{ return timeGrid_; }

valuationTimeGrid()

QuantLib::TimeGrid valuationTimeGrid

(

)

const

Returns the time grid associated with the vector of valuation times (plus t=0)

Definition at line 284 of file dategrid.cpp.

                                                   {
    std::vector<Real> times;
    Date today = Settings::instance().evaluationDate();
    for (Size i = 0; i < dates_.size(); ++i) {
        if (isValuationDate_[i])
            times.push_back(dayCounter_.yearFraction(today, dates_[i]));
    }
    return TimeGrid(times.begin(), times.end());
}

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closeOutTimeGrid()

QuantLib::TimeGrid closeOutTimeGrid

(

)

const

Returns the time grid associated with the vector of close-out times (plus t=0)

Definition at line 294 of file dategrid.cpp.

                                                  {
    std::vector<Real> times;
    Date today = Settings::instance().evaluationDate();
    for (Size i = 0; i < dates_.size(); ++i) {
        if (isCloseOutDate_[i])
            times.push_back(dayCounter_.yearFraction(today, dates_[i]));
    }
    return TimeGrid(times.begin(), times.end());
}

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closeOutDateFromValuationDate()

QuantLib::Date closeOutDateFromValuationDate

(

const QuantLib::Date &

d

)

const

Definition at line 304 of file dategrid.cpp.

                                                                                {
    auto it = valuationCloseOutMap_.find(d);
    if(it == valuationCloseOutMap_.end()){
        return Date();
    } 
    return it->second;
}

operator[]()

const QuantLib::Date & operator[]

(

QuantLib::Size

i

)

const

Accessor methods.

Definition at line 107 of file dategrid.hpp.

{ return dates_[i]; };

buildDates()

void buildDates ( const QuantLib::Calendar &  cal, const QuantLib::DayCounter &  dc  )

private

Definition at line 139 of file dategrid.cpp.

                                                                                   {
    // build dates from tenors
    // this is called by both constructors
    dates_.resize(tenors_.size());
    Date today = Settings::instance().evaluationDate();
    for (Size i = 0; i < tenors_.size(); i++) {
        if (tenors_[i].units() == Days)
            dates_[i] = cal.adjust(today + tenors_[i]);
        else
            dates_[i] = cal.advance(today, tenors_[i], Following, false);
        if (i > 0) {
            QL_REQUIRE(dates_[i] >= dates_[i - 1], "DateGrid::buildDates(): tenors must be monotonic");
            if (dates_[i] == dates_[i - 1]) {
                dates_.erase(std::next(dates_.begin(), i));
                tenors_.erase(std::next(tenors_.begin(), i));
                --i;
            }
        }
    }
 
    // Build times
    times_.resize(dates_.size());
    for (Size i = 0; i < dates_.size(); i++)
        times_[i] = dc.yearFraction(today, dates_[i]);
 
    timeGrid_ = TimeGrid(times_.begin(), times_.end());
    isValuationDate_ = std::vector<bool>(dates_.size(), true);
    isCloseOutDate_ = std::vector<bool>(dates_.size(), false);
 
    // Log the date grid
    log();
}

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log()

void log ( )

private

Definition at line 172 of file dategrid.cpp.

                   {
    DLOG("DateGrid constructed, size = " << size());
    for (Size i = 0; i < tenors_.size(); i++)
        DLOG("[" << setw(2) << i << "] Tenor:" << tenors_[i] << ", Date:" << io::iso_date(dates_[i])
                 << ", Valuation:" << isValuationDate_[i] << ", CloseOut:" << isCloseOutDate_[i]);
}

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Member Data Documentation

calendar_

QuantLib::Calendar calendar_

private

Definition at line 114 of file dategrid.hpp.

dayCounter_

QuantLib::DayCounter dayCounter_

private

Definition at line 115 of file dategrid.hpp.

dates_

std::vector<QuantLib::Date> dates_

private

Definition at line 116 of file dategrid.hpp.

valuationCloseOutMap_

std::map<QuantLib::Date, QuantLib::Date> valuationCloseOutMap_

private

Definition at line 117 of file dategrid.hpp.

tenors_

std::vector<QuantLib::Period> tenors_

private

Definition at line 118 of file dategrid.hpp.

times_

std::vector<QuantLib::Time> times_

private

Definition at line 119 of file dategrid.hpp.

timeGrid_

QuantLib::TimeGrid timeGrid_

private

Definition at line 120 of file dategrid.hpp.

isValuationDate_

std::vector<bool> isValuationDate_

private

Definition at line 121 of file dategrid.hpp.

isCloseOutDate_

std::vector<bool> isCloseOutDate_

private

Definition at line 121 of file dategrid.hpp.