InterpolatedDiscountCurve2 as in QuantLib, but with floating discount quotes and floating reference date. More...

#include <qle/termstructures/interpolateddiscountcurve2.hpp>

Inheritance diagram for InterpolatedDiscountCurve2:

Collaboration diagram for InterpolatedDiscountCurve2:

Public Types
enum class	Interpolation { logLinear , linearZero }

enum class	Extrapolation { flatFwd , flatZero }

Constructors
std::vector< Time >	times_

std::vector< Handle< Quote > >	quotes_

Interpolation	interpolation_

Extrapolation	extrapolation_

std::vector< Real >	data_

Date	today_

QuantLib::ext::shared_ptr< QuantLib::Interpolation >	dataInterpolation_

	InterpolatedDiscountCurve2 (const std::vector< Time > &times, const std::vector< Handle< Quote > > &quotes, const DayCounter &dc, const Interpolation interpolation=Interpolation::logLinear, const Extrapolation extrapolation=Extrapolation::flatFwd)
	times based constructor, note that times should be consistent with day counter dc passed More...

	InterpolatedDiscountCurve2 (const std::vector< Date > &dates, const std::vector< Handle< Quote > > &quotes, const DayCounter &dc, const Interpolation interpolation=Interpolation::logLinear, const Extrapolation extrapolation=Extrapolation::flatFwd)
	date based constructor More...

Date	maxDate () const override

void	update () override

const Date &	referenceDate () const override

Calendar	calendar () const override

Natural	settlementDays () const override

void	performCalculations () const override

DiscountFactor	discountImpl (Time t) const override

Detailed Description

InterpolatedDiscountCurve2 as in QuantLib, but with floating discount quotes and floating reference date.

InterpolatedDiscountCurve2 as in QuantLib, but with floating discount quotes and floating reference date, reference date is always the global evaluation date, i.e. settlement days are zero and calendar is NullCalendar()

\ingroup termstructures

Definition at line 44 of file interpolateddiscountcurve2.hpp.

Member Enumeration Documentation

◆ Interpolation

enum class Interpolation

strong

Enumerator
logLinear
linearZero

Definition at line 46 of file interpolateddiscountcurve2.hpp.

46{ logLinear, linearZero };

QuantExt::InterpolatedDiscountCurve2::Interpolation::logLinear

@ logLinear

QuantExt::InterpolatedDiscountCurve2::Interpolation::linearZero

@ linearZero

◆ Extrapolation

enum class Extrapolation

strong

Enumerator
flatFwd
flatZero

Definition at line 47 of file interpolateddiscountcurve2.hpp.

47{ flatFwd, flatZero };

QuantExt::InterpolatedDiscountCurve2::Extrapolation::flatZero

@ flatZero

QuantExt::InterpolatedDiscountCurve2::Extrapolation::flatFwd

@ flatFwd

Constructor & Destructor Documentation

◆ InterpolatedDiscountCurve2() [1/2]

InterpolatedDiscountCurve2	(	const std::vector< Time > &	times,
		const std::vector< Handle< Quote > > &	quotes,
		const DayCounter &	dc,
		const Interpolation	interpolation = `Interpolation::logLinear`,
		const Extrapolation	extrapolation = `Extrapolation::flatFwd`
	)

times based constructor, note that times should be consistent with day counter dc passed

Definition at line 51 of file interpolateddiscountcurve2.hpp.

        : YieldTermStructure(dc), times_(times), quotes_(quotes), interpolation_(interpolation),
          extrapolation_(extrapolation), data_(times_.size(), 1.0), today_(Settings::instance().evaluationDate()) {
        for (Size i = 0; i < quotes.size(); ++i) {
            QL_REQUIRE(times_.size() > 1, "at least two times required");
            QL_REQUIRE(times_.size() == quotes.size(), "size of time and quote vectors do not match");
            QL_REQUIRE(times_[0] == 0.0, "First time must be 0, got " << times_[0]);
            QL_REQUIRE(!quotes[i].empty(), "quote at index " << i << " is empty");
            registerWith(quotes_[i]);
        }
        if (interpolation_ == Interpolation::logLinear) {
            dataInterpolation_ =
                QuantLib::ext::make_shared<LogLinearInterpolation>(times_.begin(), times_.end(), data_.begin());
        } else {
            dataInterpolation_ = QuantLib::ext::make_shared<LinearInterpolation>(times_.begin(), times_.end(), data_.begin());
        }
        registerWith(Settings::instance().evaluationDate());
    }

◆ InterpolatedDiscountCurve2() [2/2]

InterpolatedDiscountCurve2	(	const std::vector< Date > &	dates,
		const std::vector< Handle< Quote > > &	quotes,
		const DayCounter &	dc,
		const Interpolation	interpolation = `Interpolation::logLinear`,
		const Extrapolation	extrapolation = `Extrapolation::flatFwd`
	)

date based constructor

Definition at line 72 of file interpolateddiscountcurve2.hpp.

        : YieldTermStructure(dc), times_(dates.size(), 0.0), quotes_(quotes), interpolation_(interpolation),
          extrapolation_(extrapolation), data_(dates.size(), 1.0), today_(Settings::instance().evaluationDate()) {
        for (Size i = 0; i < dates.size(); ++i)
            times_[i] = dc.yearFraction(today_, dates[i]);
        for (Size i = 0; i < quotes.size(); ++i) {
            QL_REQUIRE(times_.size() > 1, "at least two times required");
            QL_REQUIRE(times_.size() == quotes.size(), "size of time and quote vectors do not match");
            QL_REQUIRE(times_[0] == 0.0, "First time must be 0, got " << times_[0]);
            QL_REQUIRE(!quotes[i].empty(), "quote at index " << i << " is empty");
            registerWith(quotes_[i]);
        }
        if (interpolation_ == Interpolation::logLinear) {
            dataInterpolation_ =
                QuantLib::ext::make_shared<LogLinearInterpolation>(times_.begin(), times_.end(), data_.begin());
        } else {
            dataInterpolation_ = QuantLib::ext::make_shared<LinearInterpolation>(times_.begin(), times_.end(), data_.begin());
        }
        registerWith(Settings::instance().evaluationDate());
    }

Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

override

Definition at line 96 of file interpolateddiscountcurve2.hpp.

96{ return Date::maxDate(); }

◆ update()

void update ( )

override

Definition at line 97 of file interpolateddiscountcurve2.hpp.

                           {
        LazyObject::update();
        TermStructure::update();
    }

◆ referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 101 of file interpolateddiscountcurve2.hpp.

                                               {
        calculate();
        return today_;
    }

◆ calendar()

Calendar calendar ( ) const

override

Definition at line 106 of file interpolateddiscountcurve2.hpp.

106{ return NullCalendar(); }

◆ settlementDays()

Natural settlementDays ( ) const

override

Definition at line 107 of file interpolateddiscountcurve2.hpp.

107{ return 0; }

◆ performCalculations()

void performCalculations ( ) const

overrideprotected

Definition at line 110 of file interpolateddiscountcurve2.hpp.

                                              {
        today_ = Settings::instance().evaluationDate();
        for (Size i = 0; i < times_.size(); ++i) {
            data_[i] = quotes_[i]->value();
            QL_REQUIRE(data_[i] > 0, "InterpolatedDiscountCurve2: invalid value " << data_[i] << " at index " << i);
        }
        if (interpolation_ == Interpolation::linearZero) {
            for (Size i = 0; i < times_.size(); ++i) {
                data_[i] = -std::log(data_[std::max<Size>(i, 1)]) / times_[std::max<Size>(i, 1)];
            }
        }
        dataInterpolation_->update();
    }

◆ discountImpl()

DiscountFactor discountImpl ( Time t ) const

overrideprotected

Definition at line 124 of file interpolateddiscountcurve2.hpp.

                                                       {
        calculate();
        if (t <= this->times_.back()) {
            Real tmp = (*dataInterpolation_)(t, true);
            if (interpolation_ == Interpolation::logLinear)
                return tmp;
            else
                return std::exp(-tmp * t);
        }
        Time tMax = this->times_.back();
        DiscountFactor dMax =
            interpolation_ == Interpolation::logLinear ? this->data_.back() : std::exp(-this->data_.back() * tMax);
        if (extrapolation_ == Extrapolation::flatFwd) {
            Rate instFwdMax = -(*dataInterpolation_).derivative(tMax) / dMax;
            return dMax * std::exp(-instFwdMax * (t - tMax));
        } else {
            return std::pow(dMax, t / tMax);
        }
    }

Member Data Documentation

◆ times_

std::vector<Time> times_

private

Definition at line 145 of file interpolateddiscountcurve2.hpp.

◆ quotes_

std::vector<Handle<Quote> > quotes_

private

Definition at line 146 of file interpolateddiscountcurve2.hpp.

◆ interpolation_

Interpolation interpolation_

private

Definition at line 147 of file interpolateddiscountcurve2.hpp.

◆ extrapolation_

Extrapolation extrapolation_

private

Definition at line 148 of file interpolateddiscountcurve2.hpp.

◆ data_

std::vector<Real> data_

mutableprivate

Definition at line 149 of file interpolateddiscountcurve2.hpp.

◆ today_

Date today_

mutableprivate

Definition at line 150 of file interpolateddiscountcurve2.hpp.

◆ dataInterpolation_

QuantLib::ext::shared_ptr<QuantLib::Interpolation> dataInterpolation_

private

Definition at line 151 of file interpolateddiscountcurve2.hpp.

Public Types

Constructors

Detailed Description

Member Enumeration Documentation

◆ Interpolation

◆ Extrapolation

Constructor & Destructor Documentation

◆ InterpolatedDiscountCurve2() [1/2]

◆ InterpolatedDiscountCurve2() [2/2]

Member Function Documentation

◆ maxDate()

◆ update()

◆ referenceDate()

◆ calendar()

◆ settlementDays()

◆ performCalculations()

◆ discountImpl()

Member Data Documentation

◆ times_

◆ quotes_

◆ interpolation_

◆ extrapolation_

◆ data_

◆ today_

◆ dataInterpolation_