/usr/include/ql/termstructures/yield/discountcurve.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 | /* -*- 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 Ferdinando Ametrano
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.
*/
/*! \file discountcurve.hpp
\brief interpolated discount factor structure
*/
#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 {
//! YieldTermStructure based on interpolation of discount factors
/*! \ingroup yieldtermstructures */
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 = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>(),
const Interpolator& 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);
//! \name TermStructure interface
//@{
Date maxDate() const;
//@}
//! \name other inspectors
//@{
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:
InterpolatedDiscountCurve(
const DayCounter&,
const std::vector<Handle<Quote> >& jumps = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>(),
const Interpolator& interpolator = Interpolator());
InterpolatedDiscountCurve(
const Date& referenceDate,
const DayCounter&,
const std::vector<Handle<Quote> >& jumps = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>(),
const Interpolator& interpolator = Interpolator());
InterpolatedDiscountCurve(
Natural settlementDays,
const Calendar&,
const DayCounter&,
const std::vector<Handle<Quote> >& jumps = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>(),
const Interpolator& interpolator = Interpolator());
//! \name YieldTermStructure implementation
//@{
DiscountFactor discountImpl(Time) const;
//@}
mutable std::vector<Date> dates_;
private:
void initialize();
};
//! Term structure based on log-linear interpolation of discount factors
/*! Log-linear interpolation guarantees piecewise-constant forward
rates.
\ingroup yieldtermstructures
*/
typedef InterpolatedDiscountCurve<LogLinear> DiscountCurve;
// inline definitions
template <class T>
inline Date InterpolatedDiscountCurve<T>::maxDate() const {
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 std::vector<Handle<Quote> >& jumps,
const std::vector<Date>& jumpDates,
const T& interpolator)
: YieldTermStructure(dayCounter, jumps, jumpDates),
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");
this->times_.resize(dates_.size());
this->times_[0] = 0.0;
for (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] = dayCounter().yearFraction(dates_[0], dates_[i]);
QL_REQUIRE(!close(this->times_[i],this->times_[i-1]),
"two dates correspond to the same time "
"under this curve's day count convention");
QL_REQUIRE(this->data_[i] > 0.0, "negative discount");
#if !defined(QL_NEGATIVE_RATES)
QL_REQUIRE(this->data_[i] <= this->data_[i-1],
"negative forward rate implied by the discount " <<
this->data_[i] << " at " << dates_[i] <<
" (t=" << this->times_[i] << ") after the discount " <<
this->data_[i-1] << " at " << dates_[i-1] <<
" (t=" << this->times_[i-1] << ")");
#endif
}
this->interpolation_ =
this->interpolator_.interpolate(this->times_.begin(),
this->times_.end(),
this->data_.begin());
this->interpolation_.update();
}
}
#endif
|