Interpolated price curve. More...

#include <qle/termstructures/pricecurve.hpp>

Inheritance diagram for InterpolatedPriceCurve< Interpolator >:

Collaboration diagram for InterpolatedPriceCurve< Interpolator >:

Public Member Functions
Constructors
	InterpolatedPriceCurve (const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &prices, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Curve constructed from periods and prices. No conventions are applied in getting to a date from a period. More...

	InterpolatedPriceCurve (const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Handle< QuantLib::Quote > > &quotes, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Curve constructed from periods and quotes. No conventions are applied in getting to a date from a period. More...

	InterpolatedPriceCurve (const QuantLib::Date &referenceDate, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &prices, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Curve constructed from dates and prices. More...

	InterpolatedPriceCurve (const QuantLib::Date &referenceDate, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Handle< QuantLib::Quote > > &quotes, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Curve constructed from dates and quotes. More...

Observer interface
void	update () override

TermStructure interface
QuantLib::Date	maxDate () const override

QuantLib::Time	maxTime () const override

PriceTermStructure interface
QuantLib::Time	minTime () const override
	The minimum time for which the curve can return values. More...

std::vector< QuantLib::Date >	pillarDates () const override
	The pillar dates for the PriceTermStructure. More...

const QuantLib::Currency &	currency () const override
	The currency in which prices are expressed. More...

Public Member Functions inherited from PriceTermStructure
	PriceTermStructure (const QuantLib::DayCounter &dc=QuantLib::DayCounter())

	PriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal=QuantLib::Calendar(), const QuantLib::DayCounter &dc=QuantLib::DayCounter())

	PriceTermStructure (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, const QuantLib::DayCounter &dc=QuantLib::DayCounter())

QuantLib::Real	price (QuantLib::Time t, bool extrapolate=false) const

QuantLib::Real	price (const QuantLib::Date &d, bool extrapolate=false) const

void	update () override

Protected Member Functions
LazyObject interface
void	performCalculations () const override

Protected Member Functions inherited from PriceTermStructure
void	checkRange (QuantLib::Time t, bool extrapolate) const
	Extra time range check for minimum time, then calls TermStructure::checkRange. More...

PriceTermStructure implementation
std::vector< QuantLib::Date >	dates_

const QuantLib::Currency	currency_

std::vector< QuantLib::Handle< QuantLib::Quote > >	quotes_

std::vector< QuantLib::Period >	tenors_

QuantLib::Real	priceImpl (QuantLib::Time t) const override
	Price calculation. More...

void	initialise ()

void	populateDatesFromTenors () const

void	convertDatesToTimes ()

void	getPricesFromQuotes () const

Inspectors
const std::vector< QuantLib::Time > &	times () const

const std::vector< QuantLib::Real > &	prices () const

	InterpolatedPriceCurve (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Used by PiecewisePriceCurve. More...

Detailed Description

template<class Interpolator>
class QuantExt::InterpolatedPriceCurve< Interpolator >

Interpolated price curve.

Class representing a curve of projected prices in the future.

Warning:: for consistency, if curve is constructed by inferring times from dates using a given day counter, pass the same day counter to the constructor

Definition at line 48 of file pricecurve.hpp.

Constructor & Destructor Documentation

◆ InterpolatedPriceCurve() [1/5]

InterpolatedPriceCurve	(	const std::vector< QuantLib::Period > &	tenors,
		const std::vector< QuantLib::Real > &	prices,
		const QuantLib::DayCounter &	dc,
		const QuantLib::Currency &	currency,
		const Interpolator &	interpolator = `Interpolator()`
	)

Curve constructed from periods and prices. No conventions are applied in getting to a date from a period.

Definition at line 131 of file pricecurve.hpp.

    : PriceTermStructure(0, QuantLib::NullCalendar(), dc), QuantLib::InterpolatedCurve<Interpolator>(
                                                               std::vector<QuantLib::Time>(tenors.size()), prices,
                                                               interpolator),
      dates_(tenors.size()), currency_(currency), tenors_(tenors) {
 
    QL_REQUIRE(boost::algorithm::is_sorted(tenors_.begin(), tenors_.end()), "Tenors must be sorted");
    populateDatesFromTenors();
    initialise();
}

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◆ InterpolatedPriceCurve() [2/5]

InterpolatedPriceCurve	(	const std::vector< QuantLib::Period > &	tenors,
		const std::vector< QuantLib::Handle< QuantLib::Quote > > &	quotes,
		const QuantLib::DayCounter &	dc,
		const QuantLib::Currency &	currency,
		const Interpolator &	interpolator = `Interpolator()`
	)

Curve constructed from periods and quotes. No conventions are applied in getting to a date from a period.

Definition at line 147 of file pricecurve.hpp.

    : PriceTermStructure(0, QuantLib::NullCalendar(), dc), QuantLib::InterpolatedCurve<Interpolator>(
                                                               std::vector<QuantLib::Time>(tenors.size()),
                                                               std::vector<QuantLib::Real>(quotes.size()),
                                                               interpolator),
      dates_(tenors.size()), currency_(currency), quotes_(quotes), tenors_(tenors) {
 
    QL_REQUIRE(boost::algorithm::is_sorted(tenors_.begin(), tenors_.end()), "Tenors must be sorted");
    populateDatesFromTenors();
    initialise();
 
    // Observe the quotes
    for (QuantLib::Size i = 0; i < quotes_.size(); ++i) {
        registerWith(quotes[i]);
    }
}

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◆ InterpolatedPriceCurve() [3/5]

InterpolatedPriceCurve	(	const QuantLib::Date &	referenceDate,
		const std::vector< QuantLib::Date > &	dates,
		const std::vector< QuantLib::Real > &	prices,
		const QuantLib::DayCounter &	dc,
		const QuantLib::Currency &	currency,
		const Interpolator &	interpolator = `Interpolator()`
	)

Curve constructed from dates and prices.

Definition at line 167 of file pricecurve.hpp.

    : PriceTermStructure(referenceDate, QuantLib::NullCalendar(), dc), QuantLib::InterpolatedCurve<Interpolator>(
                                                                           std::vector<QuantLib::Time>(dates.size()),
                                                                           prices, interpolator),
      dates_(dates), currency_(currency) {
 
    convertDatesToTimes();
    initialise();
}

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◆ InterpolatedPriceCurve() [4/5]

InterpolatedPriceCurve	(	const QuantLib::Date &	referenceDate,
		const std::vector< QuantLib::Date > &	dates,
		const std::vector< QuantLib::Handle< QuantLib::Quote > > &	quotes,
		const QuantLib::DayCounter &	dc,
		const QuantLib::Currency &	currency,
		const Interpolator &	interpolator = `Interpolator()`
	)

Curve constructed from dates and quotes.

Definition at line 183 of file pricecurve.hpp.

    : PriceTermStructure(referenceDate, QuantLib::NullCalendar(), dc), QuantLib::InterpolatedCurve<Interpolator>(
                                                                           std::vector<QuantLib::Time>(dates.size()),
                                                                           std::vector<QuantLib::Real>(quotes.size()),
                                                                           interpolator),
      dates_(dates), currency_(currency), quotes_(quotes) {
 
    convertDatesToTimes();
    initialise();
 
    // Observe the quotes
    for (QuantLib::Size i = 0; i < quotes_.size(); ++i) {
        registerWith(quotes[i]);
    }
}

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◆ InterpolatedPriceCurve() [5/5]

InterpolatedPriceCurve	(	const QuantLib::Date &	referenceDate,
		const QuantLib::DayCounter &	dc,
		const QuantLib::Currency &	currency,
		const Interpolator &	interpolator = `Interpolator()`
	)

protected

Used by PiecewisePriceCurve.

Definition at line 203 of file pricecurve.hpp.

206 : PriceTermStructure(referenceDate, QuantLib::NullCalendar(), dc),

207 QuantLib::InterpolatedCurve<Interpolator>(interpolator), currency_(currency) {}

Member Function Documentation

◆ update()

void update

override

Definition at line 209 of file pricecurve.hpp.

                                                                                {
 
    QuantLib::LazyObject::update();
 
    // TermStructure::update() update part
    if (moving_) {
        updated_ = false;
    }
}

◆ maxDate()

QuantLib::Date maxDate

override

Definition at line 233 of file pricecurve.hpp.

                                                                                               {
    calculate();
    return dates_.back();
}

◆ maxTime()

QuantLib::Time maxTime

override

Definition at line 238 of file pricecurve.hpp.

                                                                                               {
    calculate();
    return this->times_.back();
}

◆ minTime()

QuantLib::Time minTime

overridevirtual

The minimum time for which the curve can return values.

Reimplemented from PriceTermStructure.

Definition at line 243 of file pricecurve.hpp.

                                                                                               {
    calculate();
    return this->times_.front();
}

◆ pillarDates()

std::vector< QuantLib::Date > pillarDates ( ) const

overridevirtual

The pillar dates for the PriceTermStructure.

Implements PriceTermStructure.

Definition at line 248 of file pricecurve.hpp.

                                                                                                              {
    calculate();
    return dates_;
}

◆ currency()

const QuantLib::Currency & currency ( ) const

overridevirtual

The currency in which prices are expressed.

Implements PriceTermStructure.

Definition at line 92 of file pricecurve.hpp.

92{ return currency_; }

◆ times()

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

Definition at line 97 of file pricecurve.hpp.

97{ return this->times_; }

◆ prices()

const std::vector< QuantLib::Real > & prices ( ) const

Definition at line 98 of file pricecurve.hpp.

98{ return this->data_; }

◆ performCalculations()

void performCalculations

overrideprotected

Definition at line 219 of file pricecurve.hpp.

                                                                                                   {
    // Calculations need to be performed if the curve is tenor based
    if (!tenors_.empty()) {
        populateDatesFromTenors();
        this->interpolation_.update();
    }
 
    // Calculations need to be performed if the curve depends on quotes
    if (!quotes_.empty()) {
        getPricesFromQuotes();
        this->interpolation_.update();
    }
}

◆ priceImpl()

QuantLib::Real priceImpl ( QuantLib::Time ) const

overrideprotectedvirtual

Price calculation.

Implements PriceTermStructure.

Definition at line 253 of file pricecurve.hpp.

                                                                                                               {
    // Return interpolated/extrapolated price
    calculate();
    return this->interpolation_(t, true);
}

◆ initialise()

void initialise

private

Definition at line 259 of file pricecurve.hpp.

                                                                                    {
 
    QL_REQUIRE(this->data_.size() >= Interpolator::requiredPoints, "not enough times for the interpolation method");
 
    // If we are quotes based, get prices from quotes
    if (!quotes_.empty()) {
        getPricesFromQuotes();
    }
 
    QL_REQUIRE(this->data_.size() == this->times_.size(), "Number of times must equal number of prices");
 
    QuantLib::InterpolatedCurve<Interpolator>::setupInterpolation();
    this->interpolation_.update();
}

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◆ populateDatesFromTenors()

void populateDatesFromTenors

private

Definition at line 274 of file pricecurve.hpp.

                                                                                                       {
    QuantLib::Date asof = QuantLib::Settings::instance().evaluationDate();
    for (QuantLib::Size i = 0; i < dates_.size(); ++i) {
        dates_[i] = asof + tenors_[i];
        this->times_[i] = timeFromReference(dates_[i]);
    }
}

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◆ convertDatesToTimes()

void convertDatesToTimes

private

Definition at line 282 of file pricecurve.hpp.

                                                                                             {
 
    QL_REQUIRE(!dates_.empty(), "Dates cannot be empty for InterpolatedPriceCurve");
    this->times_[0] = timeFromReference(dates_[0]);
    for (QuantLib::Size i = 1; i < dates_.size(); ++i) {
        QL_REQUIRE(dates_[i] > dates_[i - 1], "invalid date (" << dates_[i] << ", vs " << dates_[i - 1] << ")");
        this->times_[i] = timeFromReference(dates_[i]);
        QL_REQUIRE(!QuantLib::close(this->times_[i], this->times_[i - 1]), "two dates correspond to the same time "
                                                                           "under this curve's day count convention");
    }
}

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◆ getPricesFromQuotes()

void getPricesFromQuotes

private

Definition at line 294 of file pricecurve.hpp.

                                                                                                   {
 
    for (QuantLib::Size i = 0; i < quotes_.size(); ++i) {
        QL_REQUIRE(!this->quotes_[i].empty(), "price quote at index " << i << " is empty");
        this->data_[i] = quotes_[i]->value();
    }
}

Member Data Documentation

◆ dates_

std::vector<QuantLib::Date> dates_

mutableprotected

Definition at line 117 of file pricecurve.hpp.

◆ currency_

const QuantLib::Currency currency_

private

Definition at line 120 of file pricecurve.hpp.

◆ quotes_

std::vector<QuantLib::Handle<QuantLib::Quote> > quotes_

private

Definition at line 121 of file pricecurve.hpp.

◆ tenors_

std::vector<QuantLib::Period> tenors_

private

Definition at line 122 of file pricecurve.hpp.

Public Member Functions

Protected Member Functions

PriceTermStructure implementation

Inspectors

Detailed Description

Constructor & Destructor Documentation

◆ InterpolatedPriceCurve() [1/5]

◆ InterpolatedPriceCurve() [2/5]

◆ InterpolatedPriceCurve() [3/5]

◆ InterpolatedPriceCurve() [4/5]

◆ InterpolatedPriceCurve() [5/5]

Member Function Documentation

◆ update()

◆ maxDate()

◆ maxTime()

◆ minTime()

◆ pillarDates()

◆ currency()

◆ times()

◆ prices()

◆ performCalculations()

◆ priceImpl()

◆ initialise()

◆ populateDatesFromTenors()

◆ convertDatesToTimes()

◆ getPricesFromQuotes()

Member Data Documentation

◆ dates_

◆ currency_

◆ quotes_

◆ tenors_