Discount curve fitted to a set of fixed-coupon bonds. More...

#include <fittedbonddiscountcurve.hpp>

Inheritance diagram for FittedBondDiscountCurve:

Collaboration diagram for FittedBondDiscountCurve:

Classes
class	FittingMethod
	Base fitting method used to construct a fitted bond discount curve. More...

Public Member Functions
Constructors
	FittedBondDiscountCurve (Natural settlementDays, const Calendar &calendar, std::vector< ext::shared_ptr< BondHelper > > bonds, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size maxEvaluations=10000, Array guess=Array(), Real simplexLambda=1.0, Size maxStationaryStateIterations=100)
	reference date based on current evaluation date More...

	FittedBondDiscountCurve (const Date &referenceDate, std::vector< ext::shared_ptr< BondHelper > > bonds, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size maxEvaluations=10000, Array guess=Array(), Real simplexLambda=1.0, Size maxStationaryStateIterations=100)
	curve reference date fixed for life of curve More...

Inspectors
Size	numberOfBonds () const
	total number of bonds used to fit the yield curve More...

Date	maxDate () const override
	the latest date for which the curve can return values More...

const FittingMethod &	fitResults () const
	class holding the results of the fit More...

Public Member Functions inherited from YieldTermStructure
	YieldTermStructure (const DayCounter &dc=DayCounter())

	YieldTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})

	YieldTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})

DiscountFactor	discount (const Date &d, bool extrapolate=false) const

DiscountFactor	discount (Time t, bool extrapolate=false) const

InterestRate	zeroRate (const Date &d, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const

InterestRate	zeroRate (Time t, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const

InterestRate	forwardRate (const Date &d1, const Date &d2, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const

InterestRate	forwardRate (const Date &d, const Period &p, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const

InterestRate	forwardRate (Time t1, Time t2, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const

const std::vector< Date > &	jumpDates () const

const std::vector< Time > &	jumpTimes () const

void	update () override

Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor More...

	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date More...

	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

	~TermStructure () override=default

virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion More...

Time	timeFromReference (const Date &date) const
	date/time conversion More...

virtual Time	maxTime () const
	the latest time for which the curve can return values More...

virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0 More...

virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation More...

virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation More...

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Extrapolator
	Extrapolator ()=default

virtual	~Extrapolator ()=default

void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls More...

void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls More...

bool	allowsExtrapolation () const
	tells whether extrapolation is enabled More...

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

Observer interface
Real	accuracy_

Size	maxEvaluations_

Real	simplexLambda_

Size	maxStationaryStateIterations_

Array	guessSolution_

Date	maxDate_

std::vector< ext::shared_ptr< BondHelper > >	bondHelpers_

Clone< FittingMethod >	fittingMethod_

void	update () override

void	setup ()

void	performCalculations () const override

DiscountFactor	discountImpl (Time) const override
	discount factor calculation More...

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from YieldTermStructure
Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check More...

void	checkRange (Time t, bool extrapolate) const
	time-range check More...

Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

Discount curve fitted to a set of fixed-coupon bonds.

This class fits a discount function $d(t)$ over a set of bonds, using a user defined fitting method. The discount function is fit in such a way so that all cashflows of all input bonds, when discounted using $d(t)$ , will reproduce the set of input bond prices in an optimized sense. Minimized price errors are weighted by the inverse of their respective bond duration.

The FittedBondDiscountCurve class acts as a generic wrapper, while its inner class FittingMethod provides the implementation details. Developers thus need only derive new fitting methods from the latter.

Warning:: The method can be slow if there are many bonds to fit. Speed also depends on the particular choice of fitting method chosen and its convergence properties under optimization. See also todo list for BondDiscountCurveFittingMethod.

Definition at line 80 of file fittedbonddiscountcurve.hpp.

Constructor & Destructor Documentation

◆ FittedBondDiscountCurve() [1/2]

FittedBondDiscountCurve	(	Natural	settlementDays,
		const Calendar &	calendar,
		std::vector< ext::shared_ptr< BondHelper > >	bonds,
		const DayCounter &	dayCounter,
		const FittingMethod &	fittingMethod,
		Real	accuracy = `1.0e-10`,
		Size	maxEvaluations = `10000`,
		Array	guess = `Array()`,
		Real	simplexLambda = `1.0`,
		Size	maxStationaryStateIterations = `100`
	)

reference date based on current evaluation date

Definition at line 49 of file fittedbonddiscountcurve.cpp.

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◆ FittedBondDiscountCurve() [2/2]

FittedBondDiscountCurve	(	const Date &	referenceDate,
		std::vector< ext::shared_ptr< BondHelper > >	bonds,
		const DayCounter &	dayCounter,
		const FittingMethod &	fittingMethod,
		Real	accuracy = `1.0e-10`,
		Size	maxEvaluations = `10000`,
		Array	guess = `Array()`,
		Real	simplexLambda = `1.0`,
		Size	maxStationaryStateIterations = `100`
	)

curve reference date fixed for life of curve

Definition at line 69 of file fittedbonddiscountcurve.cpp.

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Member Function Documentation

◆ numberOfBonds()

Size numberOfBonds ( ) const

total number of bonds used to fit the yield curve

Definition at line 260 of file fittedbonddiscountcurve.hpp.

◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 264 of file fittedbonddiscountcurve.hpp.

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◆ fitResults()

const FittedBondDiscountCurve::FittingMethod & fitResults ( ) const

class holding the results of the fit

Definition at line 270 of file fittedbonddiscountcurve.hpp.

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◆ update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from LazyObject.

Definition at line 275 of file fittedbonddiscountcurve.hpp.

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