19787828006

Committed 29 Nov 2025 06:42PM UTC coverage: 74.352% (+0.4%) from 73.914%

Build # 19787828006

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Pull #2344

github

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web-flow

Commit Message

Merge e103123e2 into 08ef06893

Pull Request Pull Request #2344: add multicurve bootstrap

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80.65

/ql/termstructures/yield/zerospreadedtermstructure.hpp

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

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2007, 2008 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
 <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.
*/

/*! \file zerospreadedtermstructure.hpp
    \brief Zero spreaded term structure
*/

#ifndef quantlib_zero_spreaded_term_structure_hpp
#define quantlib_zero_spreaded_term_structure_hpp

#include <ql/quote.hpp>
#include <ql/termstructures/yield/zeroyieldstructure.hpp>
#include <utility>

namespace QuantLib {

    //! Term structure with an added spread on the zero yield rate
    /*! \note This term structure will remain linked to the original
              structure, i.e., any changes in the latter will be
              reflected in this structure as well.

        \ingroup yieldtermstructures

        \test
        - the correctness of the returned values is tested by
          checking them against numerical calculations.
        - observability against changes in the underlying term
          structure and in the added spread is checked.
    */
    class ZeroSpreadedTermStructure : public ZeroYieldStructure {
      public:
        ZeroSpreadedTermStructure(Handle<YieldTermStructure>,
                                  Handle<Quote> spread,
                                  Compounding comp = Continuous,
                                  Frequency freq = NoFrequency);

        /*! \deprecated Use the constructor without a day counter.
                        Deprecated in version 1.41.
        */
        [[deprecated("Use the constructor without DayCounter")]]
        ZeroSpreadedTermStructure(Handle<YieldTermStructure>,
                                  Handle<Quote> spread,
                                  Compounding comp,
                                  Frequency freq,
                                  const DayCounter& dc);
        //! \name YieldTermStructure interface
        //@{
        DayCounter dayCounter() const override;
        Calendar calendar() const override;
        Natural settlementDays() const override;
        const Date& referenceDate() const override;
        Date maxDate() const override;
        Time maxTime() const override;
        //@}
        //! \name Observer interface
        //@{
        void update() override;
        //@}
      protected:
        //! returns the spreaded zero yield rate
        Rate zeroYieldImpl(Time) const override;
        //! returns the spreaded forward rate
        /* This method must disappear should the spread become a curve */
        Rate forwardImpl(Time) const;
      private:
        Handle<YieldTermStructure> originalCurve_;
        Handle<Quote> spread_;
        Compounding comp_;
        Frequency freq_;
    };

    inline ZeroSpreadedTermStructure::ZeroSpreadedTermStructure(Handle<YieldTermStructure> h,
                                                                Handle<Quote> spread,
                                                                Compounding comp,
                                                                Frequency freq)
    : originalCurve_(std::move(h)), spread_(std::move(spread)), comp_(comp), freq_(freq) {
        if (!originalCurve_.empty())
            enableExtrapolation(originalCurve_->allowsExtrapolation());
        registerWith(originalCurve_);
        registerWith(spread_);
    }

    inline ZeroSpreadedTermStructure::ZeroSpreadedTermStructure(Handle<YieldTermStructure> h,
                                                                Handle<Quote> spread,
                                                                Compounding comp,
                                                                Frequency freq,
                                                                const DayCounter& dc)
    : ZeroSpreadedTermStructure(std::move(h), std::move(spread), comp, freq) {}

    inline DayCounter ZeroSpreadedTermStructure::dayCounter() const {
        return originalCurve_->dayCounter();
    }

    inline Calendar ZeroSpreadedTermStructure::calendar() const {
        return originalCurve_->calendar();
    }

    inline Natural ZeroSpreadedTermStructure::settlementDays() const {
        return originalCurve_->settlementDays();
    }

    inline const Date& ZeroSpreadedTermStructure::referenceDate() const {
        return originalCurve_->referenceDate();
    }

    inline Date ZeroSpreadedTermStructure::maxDate() const {
        return originalCurve_->maxDate();
    }

    inline Time ZeroSpreadedTermStructure::maxTime() const {
        return originalCurve_->maxTime();
    }

    inline void ZeroSpreadedTermStructure::update() {
        if (!originalCurve_.empty()) {
            YieldTermStructure::update();
            enableExtrapolation(originalCurve_->allowsExtrapolation());
        } else {
            /* The implementation inherited from YieldTermStructure
               asks for our reference date, which we don't have since
               the original curve is still not set. Therefore, we skip
               over that and just call the base-class behavior. */
            // NOLINTNEXTLINE(bugprone-parent-virtual-call)
            TermStructure::update();
        }
    }

    inline Rate ZeroSpreadedTermStructure::zeroYieldImpl(Time t) const {
        // to be fixed: user-defined daycounter should be used
        InterestRate zeroRate =
            originalCurve_->zeroRate(t, comp_, freq_, true);
        InterestRate spreadedRate(zeroRate + spread_->value(),
                                  zeroRate.dayCounter(),
                                  zeroRate.compounding(),
                                  zeroRate.frequency());
        return spreadedRate.equivalentRate(Continuous, NoFrequency, t);
    }

    inline Rate ZeroSpreadedTermStructure::forwardImpl(Time t) const {
        return originalCurve_->forwardRate(t, t, comp_, freq_, true)
            + spread_->value();
    }

}

#endif

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5	Copyright (C) 2007, 2008 StatPro Italia srl
6
7	This file is part of QuantLib, a free-software/open-source library
8	for financial quantitative analysts and developers - http://quantlib.org/
9
10	QuantLib is free software: you can redistribute it and/or modify it
11	under the terms of the QuantLib license. You should have received a
12	copy of the license along with this program; if not, please email
13	<quantlib-dev@lists.sf.net>. The license is also available online at
14	<https://www.quantlib.org/license.shtml>.
15
16	This program is distributed in the hope that it will be useful, but WITHOUT
17	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18	FOR A PARTICULAR PURPOSE. See the license for more details.
19	*/
20
21	/*! \file zerospreadedtermstructure.hpp
22	\brief Zero spreaded term structure
23	*/
24
25	#ifndef quantlib_zero_spreaded_term_structure_hpp
26	#define quantlib_zero_spreaded_term_structure_hpp
27
28	#include <ql/quote.hpp>
29	#include <ql/termstructures/yield/zeroyieldstructure.hpp>
30	#include <utility>
31
32	namespace QuantLib {
33
34	//! Term structure with an added spread on the zero yield rate
35	/*! \note This term structure will remain linked to the original
36	structure, i.e., any changes in the latter will be
37	reflected in this structure as well.
38
39	\ingroup yieldtermstructures
40
41	\test
42	- the correctness of the returned values is tested by
43	checking them against numerical calculations.
44	- observability against changes in the underlying term
45	structure and in the added spread is checked.
46	*/
47	class ZeroSpreadedTermStructure : public ZeroYieldStructure {
48	public:
49	ZeroSpreadedTermStructure(Handle<YieldTermStructure>,
50	Handle<Quote> spread,
51	Compounding comp = Continuous,
52	Frequency freq = NoFrequency);
53
54	/*! \deprecated Use the constructor without a day counter.
55	Deprecated in version 1.41.
56	*/
57	[[deprecated("Use the constructor without DayCounter")]]
58	ZeroSpreadedTermStructure(Handle<YieldTermStructure>,
59	Handle<Quote> spread,
60	Compounding comp,
61	Frequency freq,
62	const DayCounter& dc);
63	//! \name YieldTermStructure interface
64	//@{
65	DayCounter dayCounter() const override;
66	Calendar calendar() const override;
67	Natural settlementDays() const override;
68	const Date& referenceDate() const override;
69	Date maxDate() const override;
70	Time maxTime() const override;
71	//@}
72	//! \name Observer interface
73	//@{
74	void update() override;
75	//@}
76	protected:
77	//! returns the spreaded zero yield rate
78	Rate zeroYieldImpl(Time) const override;
79	//! returns the spreaded forward rate
80	/* This method must disappear should the spread become a curve */
81	Rate forwardImpl(Time) const;
82	private:
83	Handle<YieldTermStructure> originalCurve_;
84	Handle<Quote> spread_;
85	Compounding comp_;
86	Frequency freq_;
87	};
88
89	inline ZeroSpreadedTermStructure::ZeroSpreadedTermStructure(Handle<YieldTermStructure> h,	10,838✔
90	Handle<Quote> spread,
91	Compounding comp,
92	Frequency freq)	10,838✔
93	: originalCurve_(std::move(h)), spread_(std::move(spread)), comp_(comp), freq_(freq) {	21,676✔
94	if (!originalCurve_.empty())	10,838✔
95	enableExtrapolation(originalCurve_->allowsExtrapolation());	10,826✔
96	registerWith(originalCurve_);	21,676✔
97	registerWith(spread_);	10,838✔
98	}	10,838✔
99
100	inline ZeroSpreadedTermStructure::ZeroSpreadedTermStructure(Handle<YieldTermStructure> h,
101	Handle<Quote> spread,
102	Compounding comp,
103	Frequency freq,
104	const DayCounter& dc)
105	: ZeroSpreadedTermStructure(std::move(h), std::move(spread), comp, freq) {}
106
107	inline DayCounter ZeroSpreadedTermStructure::dayCounter() const {	469,836✔
108	return originalCurve_->dayCounter();	469,836✔
109	}
110
111	inline Calendar ZeroSpreadedTermStructure::calendar() const {	×
UNCOV 112	return originalCurve_->calendar();	×
113	}
114
UNCOV 115	inline Natural ZeroSpreadedTermStructure::settlementDays() const {	×
UNCOV 116	return originalCurve_->settlementDays();	×
117	}
118
119	inline const Date& ZeroSpreadedTermStructure::referenceDate() const {	488,736✔
120	return originalCurve_->referenceDate();	488,736✔
121	}
122
UNCOV 123	inline Date ZeroSpreadedTermStructure::maxDate() const {	×
UNCOV 124	return originalCurve_->maxDate();	×
125	}
126
127	inline Time ZeroSpreadedTermStructure::maxTime() const {	470,040✔
128	return originalCurve_->maxTime();	470,040✔
129	}
130
131	inline void ZeroSpreadedTermStructure::update() {	18,369✔
132	if (!originalCurve_.empty()) {	18,369✔
133	YieldTermStructure::update();	18,368✔
134	enableExtrapolation(originalCurve_->allowsExtrapolation());	18,368✔
135	} else {
136	/* The implementation inherited from YieldTermStructure
137	asks for our reference date, which we don't have since
138	the original curve is still not set. Therefore, we skip
139	over that and just call the base-class behavior. */
140	// NOLINTNEXTLINE(bugprone-parent-virtual-call)
141	TermStructure::update();	1✔
142	}
143	}	18,369✔
144
145	inline Rate ZeroSpreadedTermStructure::zeroYieldImpl(Time t) const {	468,590✔
146	// to be fixed: user-defined daycounter should be used
147	InterestRate zeroRate =
148	originalCurve_->zeroRate(t, comp_, freq_, true);	468,590✔
149	InterestRate spreadedRate(zeroRate + spread_->value(),	468,590✔
150	zeroRate.dayCounter(),
151	zeroRate.compounding(),
152	zeroRate.frequency());	468,590✔
153	return spreadedRate.equivalentRate(Continuous, NoFrequency, t);	1,405,770✔
154	}
155
156	inline Rate ZeroSpreadedTermStructure::forwardImpl(Time t) const {
157	return originalCurve_->forwardRate(t, t, comp_, freq_, true)
158	+ spread_->value();
159	}
160
161	}
162
163	#endif

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