discountcurve.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2002, 2003 Decillion Pty(Ltd)
 Copyright (C) 2005, 2006, 2008, 2009 StatPro Italia srl
 Copyright (C) 2009, 2015 Ferdinando Ametrano
 Copyright (C) 2015 Paolo Mazzocchi
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_discount_curve_hpp
#define quantlib_discount_curve_hpp
 
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/interpolatedcurve.hpp>
#include <ql/math/interpolations/loginterpolation.hpp>
#include <ql/math/comparison.hpp>
#include <utility>
 
namespace QuantLib {
 
 
    template <class Interpolator>
    class InterpolatedDiscountCurve
        : public YieldTermStructure,
          protected InterpolatedCurve<Interpolator> {
      public:
        InterpolatedDiscountCurve(
            const std::vector<Date>& dates,
            const std::vector<DiscountFactor>& dfs,
            const DayCounter& dayCounter,
            const Calendar& cal = Calendar(),
            const std::vector<Handle<Quote> >& jumps = {},
            const std::vector<Date>& jumpDates = {},
            const Interpolator& interpolator = {});
        InterpolatedDiscountCurve(
            const std::vector<Date>& dates,
            const std::vector<DiscountFactor>& dfs,
            const DayCounter& dayCounter,
            const Calendar& calendar,
            const Interpolator& interpolator);
        InterpolatedDiscountCurve(
            const std::vector<Date>& dates,
            const std::vector<DiscountFactor>& dfs,
            const DayCounter& dayCounter,
            const Interpolator& interpolator);
 
        Date maxDate() const override;
 
        const std::vector<Time>& times() const;
        const std::vector<Date>& dates() const;
        const std::vector<Real>& data() const;
        const std::vector<DiscountFactor>& discounts() const;
        std::vector<std::pair<Date, Real> > nodes() const;
 
      protected:
        explicit InterpolatedDiscountCurve(
            const DayCounter&,
            const Interpolator& interpolator = {});
        InterpolatedDiscountCurve(
            const Date& referenceDate,
            const DayCounter&,
            const std::vector<Handle<Quote> >& jumps = {},
            const std::vector<Date>& jumpDates = {},
            const Interpolator& interpolator = {});
        InterpolatedDiscountCurve(
            Natural settlementDays,
            const Calendar&,
            const DayCounter&,
            const std::vector<Handle<Quote> >& jumps = {},
            const std::vector<Date>& jumpDates = {},
            const Interpolator& interpolator = {});
 
 
        DiscountFactor discountImpl(Time) const override;
        mutable std::vector<Date> dates_;
      private:
        void initialize();
    };
 
 
    typedef InterpolatedDiscountCurve<LogLinear> DiscountCurve;
 
 
    // inline definitions
 
    template <class T>
    inline Date InterpolatedDiscountCurve<T>::maxDate() const {
        if (this->maxDate_ != Date())
            return this->maxDate_;
        return dates_.back();
    }
 
    template <class T>
    inline const std::vector<Time>&
    InterpolatedDiscountCurve<T>::times() const {
        return this->times_;
    }
 
    template <class T>
    inline const std::vector<Date>&
    InterpolatedDiscountCurve<T>::dates() const {
        return dates_;
    }
 
    template <class T>
    inline const std::vector<Real>&
    InterpolatedDiscountCurve<T>::data() const {
        return this->data_;
    }
 
    template <class T>
    inline const std::vector<DiscountFactor>&
    InterpolatedDiscountCurve<T>::discounts() const {
        return this->data_;
    }
 
    template <class T>
    inline std::vector<std::pair<Date, Real> >
    InterpolatedDiscountCurve<T>::nodes() const {
        std::vector<std::pair<Date, Real> > results(dates_.size());
        for (Size i=0; i<dates_.size(); ++i)
            results[i] = std::make_pair(dates_[i], this->data_[i]);
        return results;
    }
 
    #ifndef __DOXYGEN__
 
    // template definitions
    
    template <class T>
    DiscountFactor InterpolatedDiscountCurve<T>::discountImpl(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>
    InterpolatedDiscountCurve<T>::InterpolatedDiscountCurve(
                                    const DayCounter& dayCounter,
                                    const T& interpolator)
    : YieldTermStructure(dayCounter),
      InterpolatedCurve<T>(interpolator) {}
 
    template <class T>
    InterpolatedDiscountCurve<T>::InterpolatedDiscountCurve(
                                    const Date& referenceDate,
                                    const DayCounter& dayCounter,
                                    const std::vector<Handle<Quote> >& jumps,
                                    const std::vector<Date>& jumpDates,
                                    const T& interpolator)
    : YieldTermStructure(referenceDate, Calendar(), dayCounter, jumps, jumpDates),
      InterpolatedCurve<T>(interpolator) {}
 
    template <class T>
    InterpolatedDiscountCurve<T>::InterpolatedDiscountCurve(
                                    Natural settlementDays,
                                    const Calendar& calendar,
                                    const DayCounter& dayCounter,
                                    const std::vector<Handle<Quote> >& jumps,
                                    const std::vector<Date>& jumpDates,
                                    const T& interpolator)
    : YieldTermStructure(settlementDays, calendar, dayCounter, jumps, jumpDates),
      InterpolatedCurve<T>(interpolator) {}
 
    template <class T>
    InterpolatedDiscountCurve<T>::InterpolatedDiscountCurve(
                                 const std::vector<Date>& dates,
                                 const std::vector<DiscountFactor>& discounts,
                                 const DayCounter& dayCounter,
                                 const Calendar& calendar,
                                 const std::vector<Handle<Quote> >& jumps,
                                 const std::vector<Date>& jumpDates,
                                 const T& interpolator)
    : YieldTermStructure(dates.at(0), calendar, dayCounter, jumps, jumpDates),
      InterpolatedCurve<T>(std::vector<Time>(), discounts, interpolator),
      dates_(dates)
    {
        initialize();
    }
 
    template <class T>
    InterpolatedDiscountCurve<T>::InterpolatedDiscountCurve(
                                 const std::vector<Date>& dates,
                                 const std::vector<DiscountFactor>& discounts,
                                 const DayCounter& dayCounter,
                                 const Calendar& calendar,
                                 const T& interpolator)
    : YieldTermStructure(dates.at(0), calendar, dayCounter),
      InterpolatedCurve<T>(std::vector<Time>(), discounts, interpolator),
      dates_(dates)
    {
        initialize();
    }
 
    template <class T>
    InterpolatedDiscountCurve<T>::InterpolatedDiscountCurve(
                                 const std::vector<Date>& dates,
                                 const std::vector<DiscountFactor>& discounts,
                                 const DayCounter& dayCounter,
                                 const T& interpolator)
    : YieldTermStructure(dates.at(0), Calendar(), dayCounter),
      InterpolatedCurve<T>(std::vector<Time>(), discounts, interpolator),
      dates_(dates)
    {
        initialize();
    }
 
    #endif
 
    template <class T>
    void InterpolatedDiscountCurve<T>::initialize()
    {
        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");
        }
 
        this->setupTimes(dates_, dates_[0], dayCounter());
        this->setupInterpolation();
        this->interpolation_.update();
    }
 
}
 
#endif