18902330216

Committed 29 Oct 2025 08:56AM UTC coverage: 74.321% (+0.4%) from 73.914%

Build # 18902330216

Build Type

Pull #2344

github

Committed by

web-flow

Commit Message

Merge a8095fd90 into d823f4ecb

Pull Request Pull Request #2344: add multicurve bootstrap

Run Details

100 of 104 new or added lines in 8 files covered. (96.15%)

216 existing lines in 13 files now uncovered.

57073 of 76793 relevant lines covered (74.32%)

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85.11

/ql/experimental/inflation/yoycapfloortermpricesurface.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2009 Chris Kenyon

 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
 <https://www.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.
*/

#include <ql/experimental/inflation/yoycapfloortermpricesurface.hpp>
#include <utility>

namespace QuantLib {

    YoYCapFloorTermPriceSurface::YoYCapFloorTermPriceSurface(
        Natural fixingDays,
        const Period& lag,
        const ext::shared_ptr<YoYInflationIndex>& yii,
        CPI::InterpolationType interpolation,
        Handle<YieldTermStructure> nominal,
        const DayCounter& dc,
        const Calendar& cal,
        const BusinessDayConvention& bdc,
        const std::vector<Rate>& cStrikes,
        const std::vector<Rate>& fStrikes,
        const std::vector<Period>& cfMaturities,
        const Matrix& cPrice,
        const Matrix& fPrice)
    : TermStructure(0, cal, dc),
      fixingDays_(fixingDays), bdc_(bdc), yoyIndex_(yii), observationLag_(lag), nominalTS_(std::move(nominal)),
      cStrikes_(cStrikes), fStrikes_(fStrikes), cfMaturities_(cfMaturities), cPrice_(cPrice),
      fPrice_(fPrice), indexIsInterpolated_(detail::CPI::isInterpolated(interpolation, yoyIndex_)) {

        // data consistency checking, enough data?
        QL_REQUIRE(fStrikes_.size() > 1, "not enough floor strikes");
        QL_REQUIRE(cStrikes_.size() > 1, "not enough cap strikes");
        QL_REQUIRE(cfMaturities_.size() > 1, "not enough maturities");
        QL_REQUIRE(fStrikes_.size() == fPrice.rows(),
                   "floor strikes vs floor price rows not equal");
        QL_REQUIRE(cStrikes_.size() == cPrice.rows(),
                   "cap strikes vs cap price rows not equal");
        QL_REQUIRE(cfMaturities_.size() == fPrice.columns(),
                   "maturities vs floor price columns not equal");
        QL_REQUIRE(cfMaturities_.size() == cPrice.columns(),
                   "maturities vs cap price columns not equal");

        // data has correct properties (positive, monotonic)?
        for(Size j = 0; j <cfMaturities_.size(); j++) {
            QL_REQUIRE( cfMaturities[j] > Period(0,Days), "non-positive maturities");
            if(j>0) {
                QL_REQUIRE( cfMaturities[j] > cfMaturities[j-1],
                            "non-increasing maturities");
            }
            for(Size i = 0; i <fPrice_.rows(); i++) {
                QL_REQUIRE( fPrice_[i][j] > 0.0,
                            "non-positive floor price: " << fPrice_[i][j] );
                if(i>0) {
                    QL_REQUIRE( fPrice_[i][j] >= fPrice_[i-1][j],
                                "non-increasing floor prices");
                }
            }
            for(Size i = 0; i <cPrice_.rows(); i++) {
                QL_REQUIRE( cPrice_[i][j] > 0.0,
                            "non-positive cap price: " << cPrice_[i][j] );
                if(i>0) {
                    QL_REQUIRE( cPrice_[i][j] <= cPrice_[i-1][j],
                                "non-decreasing cap prices");
                }
            }
        }


        // Get the set of strikes, noting that repeats, overlaps are
        // expected between caps and floors but that no overlap in the
        // output is allowed so no repeats or overlaps are used
        cfStrikes_ = std::vector<Rate>();
        for(Size i = 0; i <fStrikes_.size(); i++)
            cfStrikes_.push_back( fStrikes[i] );
        Real eps = 0.0000001;
        Rate maxFstrike = fStrikes_.back();
        for(Size i = 0; i < cStrikes_.size(); i++) {
            Rate k = cStrikes[i];
            if (k > maxFstrike + eps) cfStrikes_.push_back(k);
        }

        // final consistency checking
        QL_REQUIRE(cfStrikes_.size() > 2, "overall not enough strikes");
        for (Size i = 1; i < cfStrikes_.size(); i++)
            QL_REQUIRE( cfStrikes_[i] > cfStrikes_[i-1],
                        "cfStrikes not increasing");
    }

    Date YoYCapFloorTermPriceSurface::yoyOptionDateFromTenor(const Period& p) const
    {
        return referenceDate() + p;
    }

    Real YoYCapFloorTermPriceSurface::price(const Period &d, const Rate k) const {
        return price(yoyOptionDateFromTenor(d), k);
    }

    Real YoYCapFloorTermPriceSurface::capPrice(const Period &d, const Rate k) const {
        return capPrice(yoyOptionDateFromTenor(d), k);
    }

    Real YoYCapFloorTermPriceSurface::floorPrice(const Period &d, const Rate k) const {
        return floorPrice(yoyOptionDateFromTenor(d), k);
    }

    Rate YoYCapFloorTermPriceSurface::atmYoYSwapRate(const Period &d,
                        bool extrapolate) const {
        return atmYoYSwapRate(yoyOptionDateFromTenor(d), extrapolate);
    }

    Rate YoYCapFloorTermPriceSurface::atmYoYRate(const Period &d,
                                                 const Period& obsLag,
                    bool extrapolate) const {
        return atmYoYRate(yoyOptionDateFromTenor(d), obsLag, extrapolate);
    }

}


1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2009 Chris Kenyon
5
6	This file is part of QuantLib, a free-software/open-source library
7	for financial quantitative analysts and developers - http://quantlib.org/
8
9	QuantLib is free software: you can redistribute it and/or modify it
10	under the terms of the QuantLib license. You should have received a
11	copy of the license along with this program; if not, please email
12	<quantlib-dev@lists.sf.net>. The license is also available online at
13	<https://www.quantlib.org/license.shtml>.
14
15	This program is distributed in the hope that it will be useful, but WITHOUT
16	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17	FOR A PARTICULAR PURPOSE. See the license for more details.
18	*/
19
20	#include <ql/experimental/inflation/yoycapfloortermpricesurface.hpp>
21	#include <utility>
22
23	namespace QuantLib {
24
25	YoYCapFloorTermPriceSurface::YoYCapFloorTermPriceSurface(	2✔
26	Natural fixingDays,
27	const Period& lag,
28	const ext::shared_ptr<YoYInflationIndex>& yii,
29	CPI::InterpolationType interpolation,
30	Handle<YieldTermStructure> nominal,
31	const DayCounter& dc,
32	const Calendar& cal,
33	const BusinessDayConvention& bdc,
34	const std::vector<Rate>& cStrikes,
35	const std::vector<Rate>& fStrikes,
36	const std::vector<Period>& cfMaturities,
37	const Matrix& cPrice,
38	const Matrix& fPrice)	×
39	: TermStructure(0, cal, dc),
40	fixingDays_(fixingDays), bdc_(bdc), yoyIndex_(yii), observationLag_(lag), nominalTS_(std::move(nominal)),	2✔
41	cStrikes_(cStrikes), fStrikes_(fStrikes), cfMaturities_(cfMaturities), cPrice_(cPrice),	2✔
42	fPrice_(fPrice), indexIsInterpolated_(detail::CPI::isInterpolated(interpolation, yoyIndex_)) {	8✔
43
44	// data consistency checking, enough data?
45	QL_REQUIRE(fStrikes_.size() > 1, "not enough floor strikes");	2✔
46	QL_REQUIRE(cStrikes_.size() > 1, "not enough cap strikes");	2✔
47	QL_REQUIRE(cfMaturities_.size() > 1, "not enough maturities");	2✔
48	QL_REQUIRE(fStrikes_.size() == fPrice.rows(),	2✔
49	"floor strikes vs floor price rows not equal");
50	QL_REQUIRE(cStrikes_.size() == cPrice.rows(),	2✔
51	"cap strikes vs cap price rows not equal");
52	QL_REQUIRE(cfMaturities_.size() == fPrice.columns(),	2✔
53	"maturities vs floor price columns not equal");
54	QL_REQUIRE(cfMaturities_.size() == cPrice.columns(),	2✔
55	"maturities vs cap price columns not equal");
56
57	// data has correct properties (positive, monotonic)?
58	for(Size j = 0; j <cfMaturities_.size(); j++) {	16✔
59	QL_REQUIRE( cfMaturities[j] > Period(0,Days), "non-positive maturities");	14✔
60	if(j>0) {	14✔
61	QL_REQUIRE( cfMaturities[j] > cfMaturities[j-1],	12✔
62	"non-increasing maturities");
63	}
64	for(Size i = 0; i <fPrice_.rows(); i++) {	98✔
65	QL_REQUIRE( fPrice_[i][j] > 0.0,	84✔
66	"non-positive floor price: " << fPrice_[i][j] );
67	if(i>0) {	84✔
68	QL_REQUIRE( fPrice_[i][j] >= fPrice_[i-1][j],	70✔
69	"non-increasing floor prices");
70	}
71	}
72	for(Size i = 0; i <cPrice_.rows(); i++) {	98✔
73	QL_REQUIRE( cPrice_[i][j] > 0.0,	84✔
74	"non-positive cap price: " << cPrice_[i][j] );
75	if(i>0) {	84✔
76	QL_REQUIRE( cPrice_[i][j] <= cPrice_[i-1][j],	70✔
77	"non-decreasing cap prices");
78	}
79	}
80	}
81
82
83	// Get the set of strikes, noting that repeats, overlaps are
84	// expected between caps and floors but that no overlap in the
85	// output is allowed so no repeats or overlaps are used
86	cfStrikes_ = std::vector<Rate>();	2✔
87	for(Size i = 0; i <fStrikes_.size(); i++)	14✔
88	cfStrikes_.push_back( fStrikes[i] );	12✔
89	Real eps = 0.0000001;
90	Rate maxFstrike = fStrikes_.back();	2✔
91	for(Size i = 0; i < cStrikes_.size(); i++) {	14✔
92	Rate k = cStrikes[i];	12✔
93	if (k > maxFstrike + eps) cfStrikes_.push_back(k);	12✔
94	}
95
96	// final consistency checking
97	QL_REQUIRE(cfStrikes_.size() > 2, "overall not enough strikes");	2✔
98	for (Size i = 1; i < cfStrikes_.size(); i++)	22✔
99	QL_REQUIRE( cfStrikes_[i] > cfStrikes_[i-1],	20✔
100	"cfStrikes not increasing");
101	}	2✔
102
103	Date YoYCapFloorTermPriceSurface::yoyOptionDateFromTenor(const Period& p) const	264✔
104	{
105	return referenceDate() + p;	264✔
106	}
107
UNCOV 108	Real YoYCapFloorTermPriceSurface::price(const Period &d, const Rate k) const {	×
UNCOV 109	return price(yoyOptionDateFromTenor(d), k);	×
110	}
111
112	Real YoYCapFloorTermPriceSurface::capPrice(const Period &d, const Rate k) const {	40✔
113	return capPrice(yoyOptionDateFromTenor(d), k);	40✔
114	}
115
116	Real YoYCapFloorTermPriceSurface::floorPrice(const Period &d, const Rate k) const {	48✔
117	return floorPrice(yoyOptionDateFromTenor(d), k);	48✔
118	}
119
UNCOV 120	Rate YoYCapFloorTermPriceSurface::atmYoYSwapRate(const Period &d,	×
121	bool extrapolate) const {
UNCOV 122	return atmYoYSwapRate(yoyOptionDateFromTenor(d), extrapolate);	×
123	}
124
125	Rate YoYCapFloorTermPriceSurface::atmYoYRate(const Period &d,	×
126	const Period& obsLag,
127	bool extrapolate) const {
UNCOV 128	return atmYoYRate(yoyOptionDateFromTenor(d), obsLag, extrapolate);	×
129	}
130
131	}
132

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