InterpolatedDiscountCurve Class Reference

InterpolatedDiscountCurve based on loglinear interpolation of DiscountFactors. More...

#include <qle/termstructures/interpolateddiscountcurve.hpp>

Inheritance diagram for InterpolatedDiscountCurve:

Collaboration diagram for InterpolatedDiscountCurve:

Public Types
enum class	Interpolation { logLinear , linearZero }
enum class	Extrapolation { flatFwd , flatZero }

TermStructure interface
std::vector< Time >	times_
std::vector< Time >	timeDiffs_
std::vector< QuantLib::ext::shared_ptr< Quote > >	quotes_
Interpolation	interpolation_
Extrapolation	extrapolation_
Date	maxDate () const override
DiscountFactor	discountImpl (Time t) const override

Constructors
	InterpolatedDiscountCurve (const std::vector< Time > &times, const std::vector< Handle< Quote > > &quotes, const Natural settlementDays, const Calendar &cal, const DayCounter &dc, const Interpolation interpolation=Interpolation::logLinear, const Extrapolation extrapolation=Extrapolation::flatFwd)
	default constructor More...
	InterpolatedDiscountCurve (const std::vector< Date > &dates, const std::vector< Handle< Quote > > &quotes, const Natural settlementDays, const Calendar &cal, const DayCounter &dc, const Interpolation interpolation=Interpolation::logLinear, const Extrapolation extrapolation=Extrapolation::flatFwd)
	constructor that takes a vector of dates More...
void	initalise (const std::vector< Handle< Quote > > &quotes)

Detailed Description

InterpolatedDiscountCurve based on loglinear interpolation of DiscountFactors.

InterpolatedDiscountCurve based on loglinear interpolation of DiscountFactors, flat fwd extrapolation is always enabled, the term structure has always a floating reference date

\ingroup termstructures

Definition at line 41 of file interpolateddiscountcurve.hpp.

Member Enumeration Documentation

Interpolation

enum class Interpolation

strong

Enumerator
logLinear
linearZero

Definition at line 43 of file interpolateddiscountcurve.hpp.

{ logLinear, linearZero };

Extrapolation

enum class Extrapolation

strong

Enumerator
flatFwd
flatZero

Definition at line 44 of file interpolateddiscountcurve.hpp.

{ flatFwd, flatZero };

Constructor & Destructor Documentation

InterpolatedDiscountCurve() [1/2]

InterpolatedDiscountCurve	(	const std::vector< Time > &	times,
		const std::vector< Handle< Quote > > &	quotes,
		const Natural	settlementDays,
		const Calendar &	cal,
		const DayCounter &	dc,
		const Interpolation	interpolation = Interpolation::logLinear,
		const Extrapolation	extrapolation = Extrapolation::flatFwd
	)

default constructor

Definition at line 48 of file interpolateddiscountcurve.hpp.

        : YieldTermStructure(settlementDays, cal, dc), times_(times), interpolation_(interpolation),
          extrapolation_(extrapolation) {
        initalise(quotes);
    }

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InterpolatedDiscountCurve() [2/2]

InterpolatedDiscountCurve	(	const std::vector< Date > &	dates,
		const std::vector< Handle< Quote > > &	quotes,
		const Natural	settlementDays,
		const Calendar &	cal,
		const DayCounter &	dc,
		const Interpolation	interpolation = Interpolation::logLinear,
		const Extrapolation	extrapolation = Extrapolation::flatFwd
	)

constructor that takes a vector of dates

Definition at line 58 of file interpolateddiscountcurve.hpp.

        : YieldTermStructure(settlementDays, cal, dc), times_(dates.size()), interpolation_(interpolation),
          extrapolation_(extrapolation) {
        for (Size i = 0; i < dates.size(); ++i)
            times_[i] = timeFromReference(dates[i]);
        initalise(quotes);
    }

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Member Function Documentation

initalise()

void initalise ( const std::vector< Handle< Quote > > &  quotes )

private

Definition at line 71 of file interpolateddiscountcurve.hpp.

                                                           {
        QL_REQUIRE(times_.size() > 1, "at least two times required");
        QL_REQUIRE(times_[0] == 0.0, "First time must be 0, got " << times_[0]); // or date=asof
        QL_REQUIRE(times_.size() == quotes.size(), "size of time and quote vectors do not match");
        for (Size i = 0; i < quotes.size(); ++i) {
            quotes_.push_back(QuantLib::ext::make_shared<LogQuote>(quotes[i]));
        }
        for (Size i = 0; i < times_.size() - 1; ++i)
            timeDiffs_.push_back(times_[i + 1] - times_[i]);
    }

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maxDate()

Date maxDate ( ) const

overrideprivate

Definition at line 84 of file interpolateddiscountcurve.hpp.

{ return Date::maxDate(); } // flat fwd extrapolation

discountImpl()

DiscountFactor discountImpl ( Time  t ) const

overrideprotected

Definition at line 88 of file interpolateddiscountcurve.hpp.

                                                       {
        if (t > this->times_.back() && extrapolation_ == Extrapolation::flatZero) {
            Real tMax = this->times_.back();
            Real dMax = std::exp(quotes_.back()->value());
            return std::pow(dMax, t / tMax);
        }
        std::vector<Time>::const_iterator it = std::upper_bound(times_.begin(), times_.end(), t);
        Size i = std::min<Size>(it - times_.begin(), times_.size() - 1);
        Real weight = (times_[i] - t) / timeDiffs_[i - 1];
        if (interpolation_ == Interpolation::logLinear || t > this->times_.back()) {
            // this handles flat fwd extrapolation (t > times.back()) as well
            Real value = (1.0 - weight) * quotes_[i]->value() + weight * quotes_[i - 1]->value();
            return ::exp(value);
        } else {
            Real value =
                (1.0 - weight) * quotes_[i]->value() / times_[i] + weight * quotes_[i - 1]->value() / times_[i - 1];
            return ::exp(t * value);
        }
    }

Member Data Documentation

times_

std::vector<Time> times_

private

Definition at line 109 of file interpolateddiscountcurve.hpp.

timeDiffs_

std::vector<Time> timeDiffs_

private

Definition at line 110 of file interpolateddiscountcurve.hpp.

quotes_

std::vector<QuantLib::ext::shared_ptr<Quote> > quotes_

private

Definition at line 111 of file interpolateddiscountcurve.hpp.

interpolation_

Interpolation interpolation_

private

Definition at line 112 of file interpolateddiscountcurve.hpp.

extrapolation_

Extrapolation extrapolation_

private

Definition at line 113 of file interpolateddiscountcurve.hpp.