24251916648

Committed 10 Apr 2026 03:59PM UTC coverage: 74.434% (+0.003%) from 74.431%

Build # 24251916648

Build Type

Pull #2533

github

Committed by

web-flow

Commit Message

Merge bdf0848aa into 148aff0ac

Pull Request Pull Request #2533: Cache invariants in ImpliedTermStructure

Coverage Stats

11 of 11 new or added lines in 1 file covered. (100.0%)

4 existing lines in 1 file now uncovered.

58265 of 78277 relevant lines covered (74.43%)

8764995.42 hits per line

Source File
Press 'n' to go to next uncovered line, 'b' for previous

84.62

/ql/termstructures/yield/impliedtermstructure.hpp

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

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 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 impliedtermstructure.hpp
    \brief Implied term structure
*/

#ifndef quantlib_implied_term_structure_hpp
#define quantlib_implied_term_structure_hpp

#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/utilities/null.hpp>
#include <utility>

namespace QuantLib {

    //! Implied term structure at a given date in the future
    /*! The given date will be the implied reference date.

        \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 is checked.
    */
    class ImpliedTermStructure : public YieldTermStructure {
      public:
        ImpliedTermStructure(Handle<YieldTermStructure>, const Date& referenceDate);
        //! \name YieldTermStructure interface
        //@{
        DayCounter dayCounter() const override;
        Calendar calendar() const override;
        Natural settlementDays() const override;
        Date maxDate() const override;

      protected:
        DiscountFactor discountImpl(Time) const override;
        //@}
        //! \name Observer interface
        //@{
        void update() override;
        //@}
      private:
        Handle<YieldTermStructure> originalCurve_;
        mutable DiscountFactor refDf_ = 0;
        mutable Time refTime_ = Null<Time>();
    };


    // inline definitions

    inline ImpliedTermStructure::ImpliedTermStructure(Handle<YieldTermStructure> h,
                                                      const Date& referenceDate)
    : YieldTermStructure(referenceDate), originalCurve_(std::move(h)) {
        registerWith(originalCurve_);
    }

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

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

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

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

    inline void ImpliedTermStructure::update() {
        refDf_ = 0;
        refTime_ = Null<Time>();
        if (!originalCurve_.empty())
            enableExtrapolation(originalCurve_->allowsExtrapolation());
        YieldTermStructure::update();
    }

    inline DiscountFactor ImpliedTermStructure::discountImpl(Time t) const {
        /* t is relative to the current reference date
           and needs to be converted to the time relative
           to the reference date of the original curve */
        if (refDf_ == 0) {
            const Date ref = referenceDate();
            refTime_ = dayCounter().yearFraction(originalCurve_->referenceDate(), ref);
            refDf_ = originalCurve_->discount(ref, true);
        }
        return originalCurve_->discount(t + refTime_, true) / refDf_;
    }

}


#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) 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 impliedtermstructure.hpp
22	\brief Implied term structure
23	*/
24
25	#ifndef quantlib_implied_term_structure_hpp
26	#define quantlib_implied_term_structure_hpp
27
28	#include <ql/termstructures/yieldtermstructure.hpp>
29	#include <ql/utilities/null.hpp>
30	#include <utility>
31
32	namespace QuantLib {
33
34	//! Implied term structure at a given date in the future
35	/*! The given date will be the implied reference date.
36
37	\note This term structure will remain linked to the original
38	structure, i.e., any changes in the latter will be
39	reflected in this structure as well.
40
41	\ingroup yieldtermstructures
42
43	\test
44	- the correctness of the returned values is tested by
45	checking them against numerical calculations.
46	- observability against changes in the underlying term
47	structure is checked.
48	*/
49	class ImpliedTermStructure : public YieldTermStructure {
50	public:
51	ImpliedTermStructure(Handle<YieldTermStructure>, const Date& referenceDate);
52	//! \name YieldTermStructure interface
53	//@{
54	DayCounter dayCounter() const override;
55	Calendar calendar() const override;
56	Natural settlementDays() const override;
57	Date maxDate() const override;
58
59	protected:
60	DiscountFactor discountImpl(Time) const override;
61	//@}
62	//! \name Observer interface
63	//@{
64	void update() override;
65	//@}
66	private:
67	Handle<YieldTermStructure> originalCurve_;
68	mutable DiscountFactor refDf_ = 0;
69	mutable Time refTime_ = Null<Time>();
70	};
71
72
73	// inline definitions
74
75	inline ImpliedTermStructure::ImpliedTermStructure(Handle<YieldTermStructure> h,	86,962✔
76	const Date& referenceDate)	86,962✔
77	: YieldTermStructure(referenceDate), originalCurve_(std::move(h)) {	173,924✔
78	registerWith(originalCurve_);	86,962✔
79	}	86,962✔
80
81	inline DayCounter ImpliedTermStructure::dayCounter() const {	434,812✔
82	return originalCurve_->dayCounter();	434,812✔
83	}
84
UNCOV 85	inline Calendar ImpliedTermStructure::calendar() const {	×
UNCOV 86	return originalCurve_->calendar();	×
87	}
88
UNCOV 89	inline Natural ImpliedTermStructure::settlementDays() const {	×
UNCOV 90	return originalCurve_->settlementDays();	×
91	}
92
93	inline Date ImpliedTermStructure::maxDate() const {	130,444✔
94	return originalCurve_->maxDate();	130,444✔
95	}
96
97	inline void ImpliedTermStructure::update() {	31,250✔
98	refDf_ = 0;	31,250✔
99	refTime_ = Null<Time>();	31,250✔
100	if (!originalCurve_.empty())	31,250✔
101	enableExtrapolation(originalCurve_->allowsExtrapolation());	31,250✔
102	YieldTermStructure::update();	31,250✔
103	}	31,250✔
104
105	inline DiscountFactor ImpliedTermStructure::discountImpl(Time t) const {	130,448✔
106	/* t is relative to the current reference date
107	and needs to be converted to the time relative
108	to the reference date of the original curve */
109	if (refDf_ == 0) {	130,448✔
110	const Date ref = referenceDate();	86,963✔
111	refTime_ = dayCounter().yearFraction(originalCurve_->referenceDate(), ref);	86,963✔
112	refDf_ = originalCurve_->discount(ref, true);	86,963✔
113	}
114	return originalCurve_->discount(t + refTime_, true) / refDf_;	130,448✔
115	}
116
117	}
118
119
120	#endif

lballabio / QuantLib / 24251916648

Source File Press 'n' to go to next uncovered line, 'b' for previous

Source File
Press 'n' to go to next uncovered line, 'b' for previous