/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2004 Ferdinando Ametrano Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl 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 yieldtermstructure.hpp \brief Interest-rate term structure */ #ifndef quantlib_yield_term_structure_hpp #define quantlib_yield_term_structure_hpp #include <ql/termstructure.hpp> #include <ql/interestrate.hpp> #include <vector> namespace QuantLib { //! Interest-rate term structure /*! This abstract class defines the interface of concrete rate structures which will be derived from this one. Rates are assumed to be annual continuous compounding. \todo add derived class ParSwapTermStructure similar to ZeroYieldTermStructure, DiscountStructure, ForwardRateStructure \ingroup yieldtermstructures \test observability against evaluation date changes is checked. */ 00048 class YieldTermStructure : public TermStructure { public: /*! \name Constructors See the TermStructure documentation for issues regarding constructors. */ //@{ //! default constructor /*! \warning term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method. */ YieldTermStructure(const DayCounter& dc = Actual365Fixed()); //! initialize with a fixed reference date YieldTermStructure(const Date& referenceDate, const Calendar& cal = Calendar(), const DayCounter& dc = Actual365Fixed()); //! calculate the reference date based on the global evaluation date YieldTermStructure(Natural settlementDays, const Calendar&, const DayCounter& dc = Actual365Fixed()); //@} virtual ~YieldTermStructure() {} /*! \name zero-yield rates These methods return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date. */ //@{ /*! The resulting interest rate has the required daycounting rule. */ InterestRate zeroRate(const Date& d, const DayCounter& resultDayCounter, Compounding comp, Frequency freq = Annual, bool extrapolate = false) const; /*! The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed time t. */ InterestRate zeroRate(Time t, Compounding comp, Frequency freq = Annual, bool extrapolate = false) const; //@} /*! \name discount factors These methods return the discount factor for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date. */ //@{ DiscountFactor discount(const Date&, bool extrapolate = false) const; /*! The same day-counting rule used by the term structure should be used for calculating the passed time t. */ DiscountFactor discount(Time, bool extrapolate = false) const; //@} /*! \name forward rates These methods returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. */ //@{ /*! The resulting interest rate has the required day-counting rule. */ InterestRate forwardRate(const Date& d1, const Date& d2, const DayCounter& resultDayCounter, Compounding comp, Frequency freq = Annual, bool extrapolate = false) const; /*! The resulting interest rate has the required day-counting rule. \warning dates are not adjusted for holidays */ InterestRate forwardRate(const Date& d, const Period& p, const DayCounter& resultDayCounter, Compounding comp, Frequency freq = Annual, bool extrapolate = false) const; /*! The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for the calculating the passed times t1 and t2. */ InterestRate forwardRate(Time t1, Time t2, Compounding comp, Frequency freq = Annual, bool extrapolate = false) const; //@} /*! \name par rates These methods returns the implied par rate for a given sequence of payments at the given dates or times. In the former case, times are calculated as fractions of year from the reference date. \warning though somewhat related to a swap rate, this method is not to be used for the fair rate of a real swap, since it does not take into account all the market conventions' details. The correct way to evaluate such rate is to instantiate a SimpleSwap with the correct conventions, pass it the term structure and call the swap's fairRate() method. */ //@{ Rate parRate(Integer tenor, const Date& startDate, Frequency freq = Annual, bool extrapolate = false) const; /*! the first date in the vector must equal the start date; the following dates must equal the payment dates. */ Rate parRate(const std::vector<Date>& dates, Frequency freq = Annual, bool extrapolate = false) const; /*! the first time in the vector must equal the start time; the following times must equal the payment times. */ Rate parRate(const std::vector<Time>& times, Frequency freq = Annual, bool extrapolate = false) const; protected: /*! \name Calculations These methods must be implemented in derived classes to perform the actual discount and rate calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. */ //@{ //! discount calculation virtual DiscountFactor discountImpl(Time) const = 0; //@} }; // inline definitions 00204 inline YieldTermStructure::YieldTermStructure(const DayCounter& dc) : TermStructure(dc) {} 00207 inline YieldTermStructure::YieldTermStructure(const Date& referenceDate, const Calendar& cal, const DayCounter& dc) : TermStructure(referenceDate, cal, dc) {} 00212 inline YieldTermStructure::YieldTermStructure(Natural settlementDays, const Calendar& cal, const DayCounter& dc) : TermStructure(settlementDays, cal, dc) {} 00218 inline InterestRate YieldTermStructure::zeroRate( const Date& d, const DayCounter& dayCounter, Compounding comp, Frequency freq, bool extrapolate) const { if(d==referenceDate()) { Time t = 0.0001; Real compound = 1.0/discount(t, extrapolate); return InterestRate::impliedRate(compound, t, dayCounter, comp, freq); } Real compound = 1.0/discount(d, extrapolate); return InterestRate::impliedRate(compound, referenceDate(), d, dayCounter, comp, freq); } 00235 inline InterestRate YieldTermStructure::zeroRate(Time t, Compounding comp, Frequency freq, bool extrapolate) const { if (t==0.0) t = 0.0001; Real compound = 1.0/discount(t, extrapolate); return InterestRate::impliedRate(compound, t, dayCounter(), comp, freq); } 00247 inline InterestRate YieldTermStructure::forwardRate( const Date& d1, const Date& d2, const DayCounter& dayCounter, Compounding comp, Frequency freq, bool extrapolate) const { if (d1==d2) { Time t1 = timeFromReference(d1); Time t2 = t1 + 0.0001; Real compound = discount(t1, extrapolate)/discount(t2, extrapolate); return InterestRate::impliedRate(compound, t2-t1, dayCounter, comp, freq); } QL_REQUIRE(d1 < d2, d1 << " later than " << d2); Real compound = discount(d1, extrapolate)/discount(d2, extrapolate); return InterestRate::impliedRate(compound, d1, d2, dayCounter, comp, freq); } 00269 inline InterestRate YieldTermStructure::forwardRate( const Date& d, const Period& p, const DayCounter& dayCounter, Compounding comp, Frequency freq, bool extrapolate) const { return forwardRate(d, d+p, dayCounter, comp, freq, extrapolate); } 00279 inline InterestRate YieldTermStructure::forwardRate( Time t1, Time t2, Compounding comp, Frequency freq, bool extrapolate) const { if (t2==t1) t2=t1+0.0001; QL_REQUIRE(t2>t1, "t2 (" << t2 << ") < t1 (" << t2 << ")"); Real compound = discount(t1, extrapolate)/discount(t2, extrapolate); return InterestRate::impliedRate(compound, t2-t1, dayCounter(), comp, freq); } inline Rate YieldTermStructure::parRate(Integer tenor, const Date& startDate, Frequency freq, bool extrapolate) const { std::vector<Date> dates(1, startDate); dates.reserve(tenor+1); for (Integer i=1; i<=tenor; ++i) dates.push_back(startDate + i*Years); return parRate(dates, freq, extrapolate); } 00305 inline Rate YieldTermStructure::parRate(const std::vector<Date>& dates, Frequency freq, bool extrapolate) const { std::vector<Time> times(dates.size()); for (Size i=0; i<dates.size(); i++) times[i] = timeFromReference(dates[i]); return parRate(times,freq,extrapolate); } 00314 inline Rate YieldTermStructure::parRate(const std::vector<Time>& times, Frequency freq, bool extrapolate) const { QL_REQUIRE(times.size() >= 2, "at least two times are required"); checkRange(times.back(), extrapolate); Real sum = 0.0; for (Size i=1; i<times.size(); i++) sum += discountImpl(times[i]); Real result = discountImpl(times.front())-discountImpl(times.back()); result *= Real(freq)/sum; return result; } inline DiscountFactor YieldTermStructure::discount(const Date& d, bool extrapolate) const { checkRange(d, extrapolate); return discountImpl(timeFromReference(d)); } 00336 inline DiscountFactor YieldTermStructure::discount(Time t, bool extrapolate) const { checkRange(t, extrapolate); return discountImpl(t); } } #endif

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