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yieldtermstructures.cpp
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yieldtermstructures.cpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Aurelien Chanudet
Copyright (C) 2005 Plamen Neykov
Copyright (C) 2005, 2006 Eric Ehlers
Copyright (C) 2006, 2007 Ferdinando Ametrano
Copyright (C) 2016 Stefano Fondi
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
<[email protected]>. 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.
*/
#ifdef HAVE_CONFIG_H
#include <qlo/config.hpp>
#endif
#include <qlo/yieldtermstructures.hpp>
#include <qlo/ratehelpers.hpp>
#include <ql/time/date.hpp>
#include <ql/termstructures/yield/discountcurve.hpp>
#include <ql/termstructures/yield/forwardcurve.hpp>
#include <ql/termstructures/yield/zerocurve.hpp>
#include <ql/termstructures/yield/impliedtermstructure.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/termstructures/yield/forwardspreadedtermstructure.hpp>
#include <ql/math/interpolations/cubicinterpolation.hpp>
#include <ql/math/interpolations/forwardflatinterpolation.hpp>
#include <ql/math/interpolations/backwardflatinterpolation.hpp>
#include <ql/math/interpolations/mixedinterpolation.hpp>
#include <boost/algorithm/string/case_conv.hpp>
using boost::algorithm::to_upper_copy;
using boost::shared_ptr;
using ObjectHandler::ValueObject;
using QuantLib::CubicInterpolation;
using QuantLib::InterpolatedDiscountCurve;
using QuantLib::InterpolatedZeroCurve;
using QuantLib::InterpolatedForwardCurve;
namespace QuantLibAddin {
DiscountCurve::DiscountCurve(
const shared_ptr<ValueObject>& prop,
const std::vector<QuantLib::Date>& dates,
const std::vector<QuantLib::DiscountFactor>& dfs,
const QuantLib::DayCounter& dayCounter,
bool perm) : YieldTermStructure(prop, perm)
{
QL_REQUIRE(!dates.empty(), "no input dates given");
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
QuantLib::DiscountCurve(dates, dfs, dayCounter));
}
ZeroCurve::ZeroCurve(const shared_ptr<ValueObject>& prop,
const std::vector<QuantLib::Date>& dates,
const std::vector<QuantLib::Rate>& zeroRates,
const QuantLib::DayCounter& dayCounter,
bool perm) : YieldTermStructure(prop, perm)
{
QL_REQUIRE(!dates.empty(), "no input dates given");
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
QuantLib::ZeroCurve(dates, zeroRates, dayCounter));
}
ForwardCurve::ForwardCurve(const shared_ptr<ValueObject>& prop,
const std::vector<QuantLib::Date>& dates,
const std::vector<QuantLib::Rate>& fwdRates,
const QuantLib::DayCounter& dayCounter,
bool perm) : YieldTermStructure(prop, perm)
{
QL_REQUIRE(!dates.empty(), "no input dates given");
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
QuantLib::ForwardCurve(dates, fwdRates, dayCounter));
}
FlatForward::FlatForward(const shared_ptr<ValueObject>& prop,
QuantLib::Natural nDays,
const QuantLib::Calendar& calendar,
const QuantLib::Handle<QuantLib::Quote>& forward,
const QuantLib::DayCounter& dayCounter,
QuantLib::Compounding compounding,
QuantLib::Frequency frequency,
bool perm)
: YieldTermStructure(prop, perm)
{
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
QuantLib::FlatForward(nDays, calendar, forward, dayCounter,
compounding, frequency));
}
ForwardSpreadedTermStructure::ForwardSpreadedTermStructure(
const shared_ptr<ValueObject>& prop,
const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS,
const QuantLib::Handle<QuantLib::Quote>& spread,
bool perm) : YieldTermStructure(prop, perm) {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
QuantLib::ForwardSpreadedTermStructure(hYTS, spread));
}
ImpliedTermStructure::ImpliedTermStructure(
const shared_ptr<ValueObject>& prop,
const QuantLib::Handle<QuantLib::YieldTermStructure>& hYTS,
const QuantLib::Date& referenceDate,
bool perm)
: YieldTermStructure(prop, perm)
{
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
QuantLib::ImpliedTermStructure(hYTS, referenceDate));
}
InterpolatedYieldCurve::InterpolatedYieldCurve(
const shared_ptr<ValueObject>& prop,
const std::vector<QuantLib::Date>& dates,
const std::vector<QuantLib::Real>& data,
const QuantLib::Calendar& calendar,
const QuantLib::DayCounter& dayCounter,
const std::vector<QuantLib::Handle<QuantLib::Quote> >& jumps,
const std::vector<QuantLib::Date>& jumpDates,
const std::string& traitsID,
const std::string& interpolatorID,
const QuantLib::MixedInterpolation::Behavior behavior,
const QuantLib::Size n,
bool perm)
: YieldTermStructure(prop, perm),
traitsID_(to_upper_copy(traitsID)),
interpolatorID_(to_upper_copy(interpolatorID))
{
if (traitsID_=="DISCOUNT") {
if (interpolatorID_=="BACKWARDFLAT") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedDiscountCurve<QuantLib::BackwardFlat>(
dates, data, dayCounter, calendar, jumps, jumpDates));
} else if (interpolatorID_=="FORWARDFLAT") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedDiscountCurve<QuantLib::ForwardFlat>(
dates, data, dayCounter, calendar, jumps, jumpDates));
} else if (interpolatorID_=="LINEAR") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedDiscountCurve<QuantLib::Linear>(
dates, data, dayCounter, calendar, jumps, jumpDates));
} else if (interpolatorID_=="LOGLINEAR") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedDiscountCurve<QuantLib::LogLinear>(
dates, data, dayCounter, calendar, jumps, jumpDates));
} else if (interpolatorID_=="CUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedDiscountCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::Spline, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_=="LOGCUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedDiscountCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::Spline, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_=="MONOTONICCUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedDiscountCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::Spline, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_=="MONOTONICLOGCUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedDiscountCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::Spline, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_=="KRUGERCUBIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedDiscountCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::Kruger)));
} else if (interpolatorID_=="KRUGERLOGCUBIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedDiscountCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::Kruger)));
} else if (interpolatorID_=="FRITSCHBUTLANDCUBIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedDiscountCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::FritschButland)));
} else if (interpolatorID_=="FRITSCHBUTLANDLOGCUBIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedDiscountCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::FritschButland)));
} else if (interpolatorID_=="PARABOLIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedDiscountCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::Parabolic, false)));
} else if (interpolatorID_=="LOGPARABOLIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedDiscountCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::Parabolic, false)));
} else if (interpolatorID_=="MONOTONICPARABOLIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedDiscountCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::Parabolic, true)));
} else if (interpolatorID_=="MONOTONICLOGPARABOLIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedDiscountCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::Parabolic, true)));
} else if (interpolatorID_ == "MIXEDLINEARCUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::MixedLinearCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::MixedLinearCubic(n, behavior,
CubicInterpolation::Spline, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_ == "LOGMIXEDLINEARCUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::LogMixedLinearCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogMixedLinearCubic(n, behavior,
CubicInterpolation::Spline, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_ == "MIXEDLINEARMONOTONICCUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::MixedLinearCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::MixedLinearCubic(n, behavior,
CubicInterpolation::Spline, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_ == "LOGMIXEDLINEARMONOTONICCUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::LogMixedLinearCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogMixedLinearCubic(n, behavior,
CubicInterpolation::Spline, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_ == "MIXEDLINEARKRUGERCUBIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::MixedLinearCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::MixedLinearCubic(n, behavior,
CubicInterpolation::Kruger, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_ == "LOGMIXEDLINEARKRUGERCUBIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::LogMixedLinearCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogMixedLinearCubic(n, behavior,
CubicInterpolation::Kruger, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else
QL_FAIL("unknown interpolatorID: " << interpolatorID_);
} else if (traitsID_=="ZEROYIELD") {
if (interpolatorID_=="BACKWARDFLAT") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::BackwardFlat>(
dates, data, dayCounter, calendar, jumps, jumpDates));
} else if (interpolatorID_=="FORWARDFLAT") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::ForwardFlat>(
dates, data, dayCounter, calendar, jumps, jumpDates));
} else if (interpolatorID_=="LINEAR") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::Linear>(
dates, data, dayCounter, calendar, jumps, jumpDates));
} else if (interpolatorID_=="LOGLINEAR") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::LogLinear>(
dates, data, dayCounter, calendar, jumps, jumpDates));
} else if (interpolatorID_=="CUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::Spline, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_=="LOGCUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::Spline, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_=="MONOTONICCUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::Spline, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_=="MONOTONICLOGCUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::Spline, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_=="KRUGERCUBIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::Kruger)));
} else if (interpolatorID_=="KRUGERLOGCUBIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::Kruger)));
} else if (interpolatorID_=="FRITSCHBUTLANDCUBIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::FritschButland)));
} else if (interpolatorID_=="FRITSCHBUTLANDLOGCUBIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::FritschButland)));
} else if (interpolatorID_=="PARABOLIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::Parabolic, false)));
} else if (interpolatorID_=="LOGPARABOLIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::Parabolic, false)));
} else if (interpolatorID_=="MONOTONICPARABOLIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::Parabolic, true)));
} else if (interpolatorID_=="MONOTONICLOGPARABOLIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::Parabolic, true)));
} else if (interpolatorID_ == "MIXEDLINEARCUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::MixedLinearCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::MixedLinearCubic(n, behavior,
CubicInterpolation::Spline, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_ == "LOGMIXEDLINEARCUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::LogMixedLinearCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogMixedLinearCubic(n, behavior,
CubicInterpolation::Spline, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_ == "MIXEDLINEARMONOTONICCUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::MixedLinearCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::MixedLinearCubic(n, behavior,
CubicInterpolation::Spline, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_ == "LOGMIXEDLINEARMONOTONICCUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::LogMixedLinearCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogMixedLinearCubic(n, behavior,
CubicInterpolation::Spline, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
}
else if (interpolatorID_ == "MIXEDLINEARKRUGERCUBIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::MixedLinearCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::MixedLinearCubic(n, behavior,
CubicInterpolation::Kruger, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
}
else if (interpolatorID_ == "LOGMIXEDLINEARKRUGERCUBIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedZeroCurve<QuantLib::LogMixedLinearCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogMixedLinearCubic(n, behavior,
CubicInterpolation::Kruger, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else
QL_FAIL("unknown interpolatorID: " << interpolatorID_);
} else if (traitsID_=="FORWARDRATE") {
if (interpolatorID_=="BACKWARDFLAT") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedForwardCurve<QuantLib::BackwardFlat>(
dates, data, dayCounter, calendar, jumps, jumpDates));
} else if (interpolatorID_=="FORWARDFLAT") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedForwardCurve<QuantLib::ForwardFlat>(
dates, data, dayCounter, calendar, jumps, jumpDates));
} else if (interpolatorID_=="LINEAR") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedForwardCurve<QuantLib::Linear>(
dates, data, dayCounter, calendar, jumps, jumpDates));
} else if (interpolatorID_=="LOGLINEAR") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedForwardCurve<QuantLib::LogLinear>(
dates, data, dayCounter, calendar, jumps, jumpDates));
} else if (interpolatorID_=="CUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedForwardCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::Spline, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_=="LOGCUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedForwardCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::Spline, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_=="MONOTONICCUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedForwardCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::Spline, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_=="MONOTONICLOGCUBICNATURALSPLINE") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedForwardCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::Spline, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0)));
} else if (interpolatorID_=="KRUGERCUBIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedForwardCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::Kruger)));
} else if (interpolatorID_=="KRUGERLOGCUBIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedForwardCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::Kruger)));
} else if (interpolatorID_=="FRITSCHBUTLANDCUBIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedForwardCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::FritschButland)));
} else if (interpolatorID_=="FRITSCHBUTLANDLOGCUBIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedForwardCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::FritschButland)));
} else if (interpolatorID_=="PARABOLIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedForwardCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::Parabolic)));
} else if (interpolatorID_=="LOGPARABOLIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedForwardCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::Parabolic, false)));
} else if (interpolatorID_=="MONOTONICPARABOLIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedForwardCurve<QuantLib::Cubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::Cubic(CubicInterpolation::Parabolic, true)));
} else if (interpolatorID_=="MONOTONICLOGPARABOLIC") {
libraryObject_ = shared_ptr<QuantLib::Extrapolator>(new
InterpolatedForwardCurve<QuantLib::LogCubic>(
dates, data, dayCounter, calendar, jumps, jumpDates,
QuantLib::LogCubic(CubicInterpolation::Parabolic, true)));
} else
QL_FAIL("unknown interpolatorID: " << interpolatorID_);
} else
QL_FAIL("unknown traitsID: " << traitsID_);
}
#define RESOLVE_TEMPLATE(NAME) \
if (traitsID_=="DISCOUNT") { \
if (interpolatorID_=="BACKWARDFLAT") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::BackwardFlat> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="FORWARDFLAT") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::ForwardFlat> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LINEAR") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::Linear> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LOGLINEAR") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::LogLinear> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="CUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LOGCUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MONOTONICCUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MONOTONICLOGCUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="KRUGERCUBIC") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="KRUGERLOGCUBIC") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="FRITSCHBUTLANDCUBIC") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="FRITSCHBUTLANDLOGCUBIC") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="PARABOLIC") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LOGPARABOLIC") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MONOTONICPARABOLIC") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MONOTONICLOGPARABOLIC") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MIXEDLINEARCUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::MixedLinearCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LOGMIXEDLINEARCUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::LogMixedLinearCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MIXEDLINEARMONOTONICCUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::MixedLinearCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LOGMIXEDLINEARMONOTONICCUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::LogMixedLinearCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MIXEDLINEARKRUGERCUBIC") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::MixedLinearCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LOGMIXEDLINEARKRUGERCUBIC") { \
return boost::dynamic_pointer_cast<InterpolatedDiscountCurve<QuantLib::LogMixedLinearCubic> >(libraryObject_)->NAME(); \
} else \
QL_FAIL("unknown interpolatorID: " << interpolatorID_); \
} else if (traitsID_=="ZEROYIELD") { \
if (interpolatorID_=="BACKWARDFLAT") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::BackwardFlat> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="FORWARDFLAT") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::ForwardFlat> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LINEAR") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::Linear> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LOGLINEAR") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::LogLinear> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="CUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LOGCUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MONOTONICCUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MONOTONICLOGCUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="KRUGERCUBIC") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="KRUGERLOGCUBIC") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="FRITSCHBUTLANDCUBIC") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="FRITSCHBUTLANDLOGCUBIC") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="PARABOLIC") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LOGPARABOLIC") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MONOTONICPARABOLIC") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MONOTONICLOGPARABOLIC") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MIXEDLINEARCUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::MixedLinearCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LOGMIXEDLINEARCUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::LogMixedLinearCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MIXEDLINEARMONOTONICCUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::MixedLinearCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LOGMIXEDLINEARMONOTONICCUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::LogMixedLinearCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MIXEDLINEARKRUGERCUBIC") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::MixedLinearCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LOGMIXEDLINEARKRUGERCUBIC") { \
return boost::dynamic_pointer_cast<InterpolatedZeroCurve<QuantLib::LogMixedLinearCubic> >(libraryObject_)->NAME(); \
} else \
QL_FAIL("unknown interpolatorID: " << interpolatorID_); \
} else if (traitsID_=="FORWARDRATE") { \
if (interpolatorID_=="BACKWARDFLAT") { \
return boost::dynamic_pointer_cast<InterpolatedForwardCurve<QuantLib::BackwardFlat> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="FORWARDFLAT") { \
return boost::dynamic_pointer_cast<InterpolatedForwardCurve<QuantLib::ForwardFlat> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LINEAR") { \
return boost::dynamic_pointer_cast<InterpolatedForwardCurve<QuantLib::Linear> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LOGLINEAR") { \
return boost::dynamic_pointer_cast<InterpolatedForwardCurve<QuantLib::LogLinear> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="CUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedForwardCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LOGCUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedForwardCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MONOTONICCUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedForwardCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MONOTONICLOGCUBICNATURALSPLINE") { \
return boost::dynamic_pointer_cast<InterpolatedForwardCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="KRUGERCUBIC") { \
return boost::dynamic_pointer_cast<InterpolatedForwardCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="KRUGERLOGCUBIC") { \
return boost::dynamic_pointer_cast<InterpolatedForwardCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="FRITSCHBUTLANDCUBIC") { \
return boost::dynamic_pointer_cast<InterpolatedForwardCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="FRITSCHBUTLANDLOGCUBIC") { \
return boost::dynamic_pointer_cast<InterpolatedForwardCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="PARABOLIC") { \
return boost::dynamic_pointer_cast<InterpolatedForwardCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="LOGPARABOLIC") { \
return boost::dynamic_pointer_cast<InterpolatedForwardCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MONOTONICPARABOLIC") { \
return boost::dynamic_pointer_cast<InterpolatedForwardCurve<QuantLib::Cubic> >(libraryObject_)->NAME(); \
} else if (interpolatorID_=="MONOTONICLOGPARABOLIC") { \
return boost::dynamic_pointer_cast<InterpolatedForwardCurve<QuantLib::LogCubic> >(libraryObject_)->NAME(); \
} else \
QL_FAIL("unknown interpolatorID: " << interpolatorID_); \
} else \
QL_FAIL("unknown traitsID: " << traitsID_);
const std::vector<QuantLib::Time>& InterpolatedYieldCurve::times() const {
RESOLVE_TEMPLATE(times)
}
const std::vector<QuantLib::Date>& InterpolatedYieldCurve::dates() const {
RESOLVE_TEMPLATE(dates)
}
const std::vector<QuantLib::Real>& InterpolatedYieldCurve::data() const {
RESOLVE_TEMPLATE(data)
}
const std::vector<QuantLib::Time>& InterpolatedYieldCurve::jumpTimes() const {
RESOLVE_TEMPLATE(jumpTimes)
}
const std::vector<QuantLib::Date>& InterpolatedYieldCurve::jumpDates() const {
RESOLVE_TEMPLATE(jumpDates)
}
InterpolatedYieldCurve::InterpolatedYieldCurve(
const shared_ptr<ValueObject>& prop,
const std::string& traitsID,
const std::string& interpolatorID,
bool perm)
: YieldTermStructure(prop, perm),
traitsID_(to_upper_copy(traitsID)),
interpolatorID_(to_upper_copy(interpolatorID))
{
}
// Stream operator to write a InterpolatedYieldCurvePair to a stream - for logging / error handling.
std::ostream &operator<<(std::ostream &out,
InterpolatedYieldCurvePair tokenPair)
{
out << "InterpolatedYieldCurve<";
switch (tokenPair.first) {
case InterpolatedYieldCurve::Discount:
out << "<Discount, ";
break;
case InterpolatedYieldCurve::ForwardRate:
out << "<ForwardRate, ";
break;
case InterpolatedYieldCurve::ZeroYield:
out << "<ZeroYield, ";
break;
default:
OH_FAIL("Unknown value for enumeration QuantLibAddin::InterpolatedYieldCurve::Traits");
}
switch (tokenPair.second) {
case InterpolatedYieldCurve::BackwardFlat:
out << "BackwardFlat>";
break;
case InterpolatedYieldCurve::ForwardFlat:
out << "ForwardFlat>";
break;
case InterpolatedYieldCurve::Linear:
out << "Linear>";
break;
case InterpolatedYieldCurve::LogLinear:
out << "LogLinear>";
break;
case InterpolatedYieldCurve::CubicNaturalSpline:
out << "CubicNaturalSpline>";
break;
case InterpolatedYieldCurve::LogCubicNaturalSpline:
out << "LogCubicNaturalSpline>";
break;
case InterpolatedYieldCurve::MonotonicCubicNaturalSpline:
out << "MonotonicCubicNaturalSpline>";
break;
case InterpolatedYieldCurve::MonotonicLogCubicNaturalSpline:
out << "MonotonicLogCubicNaturalSpline>";
break;
case InterpolatedYieldCurve::KrugerCubic:
out << "KrugerCubic>";
break;
case InterpolatedYieldCurve::KrugerLogCubic:
out << "KrugerLogCubic>";
break;
case InterpolatedYieldCurve::FritschButlandCubic:
out << "FritschButlandCubic>";
break;
case InterpolatedYieldCurve::FritschButlandLogCubic:
out << "FritschButlandLogCubic>";
break;
case InterpolatedYieldCurve::Parabolic:
out << "Parabolic>";
break;
case InterpolatedYieldCurve::LogParabolic:
out << "LogParabolic>";
break;
case InterpolatedYieldCurve::MonotonicParabolic:
out << "MonotonicParabolic>";
break;
case InterpolatedYieldCurve::MonotonicLogParabolic:
out << "MonotonicLogParabolic>";
break;
case InterpolatedYieldCurve::MixedLinearCubicNaturalSpline:
out << "MixedLinearCubicNaturalSpline>";
break;
case InterpolatedYieldCurve::LogMixedLinearCubicNaturalSpline:
out << "LogMixedLinearCubicNaturalSpline>";
break;
case InterpolatedYieldCurve::MixedLinearMonotonicCubicNaturalSpline:
out << "MixedLinearMonotonicCubicNaturalSpline>";
break;
case InterpolatedYieldCurve::LogMixedLinearMonotonicCubicNaturalSpline:
out << "LogMixedLinearMonotonicCubicNaturalSpline>";
break;
case InterpolatedYieldCurve::MixedLinearKrugerCubic:
out << "MixedLinearKrugerCubic>";
break;
case InterpolatedYieldCurve::LogMixedLinearKrugerCubic:
out << "LogMixedLinearKrugerCubic>";
break;
default:
OH_FAIL("Unknown value for enumeration QuantLibAddin::InterpolatedYieldCurve::Interpolator");
}
return out;
}
}