26158000839

Committed 20 May 2026 10:55AM UTC coverage: 74.637% (-0.001%) from 74.638%

Build # 26158000839

Build Type

Pull #2593

github

Committed by

web-flow

Commit Message

Merge 64ef5a544 into 8d6014303

Pull Request Pull Request #2593: Fix yield term structure time error message

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73.75

/ql/termstructures/yieldtermstructure.cpp

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

/*
 Copyright (C) 2004, 2009 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
 <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/termstructures/yieldtermstructure.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <utility>

namespace QuantLib {

    namespace {
        // time interval used in finite differences
        const Time dt = 0.0001;
    }

    YieldTermStructure::YieldTermStructure(const DayCounter& dc) : TermStructure(dc) {}

    YieldTermStructure::YieldTermStructure(const Date& referenceDate,
                                           const Calendar& cal,
                                           const DayCounter& dc,
                                           std::vector<Handle<Quote>> jumps,
                                           const std::vector<Date>& jumpDates)
    : TermStructure(referenceDate, cal, dc), jumps_(std::move(jumps)), jumpDates_(jumpDates),
      jumpTimes_(jumpDates.size()), nJumps_(jumps_.size()) {
        setJumps(YieldTermStructure::referenceDate());
        for (Size i = 0; i < nJumps_; ++i)
            registerWith(jumps_[i]);
    }

    YieldTermStructure::YieldTermStructure(Natural settlementDays,
                                           const Calendar& cal,
                                           const DayCounter& dc,
                                           std::vector<Handle<Quote>> jumps,
                                           const std::vector<Date>& jumpDates)
    : TermStructure(settlementDays, cal, dc), jumps_(std::move(jumps)), jumpDates_(jumpDates),
      jumpTimes_(jumpDates.size()), nJumps_(jumps_.size()) {
        setJumps(YieldTermStructure::referenceDate());
        for (Size i = 0; i < nJumps_; ++i)
            registerWith(jumps_[i]);
    }

    void YieldTermStructure::setJumps(const Date& referenceDate) {
        if (jumpDates_.empty() && !jumps_.empty()) { // turn of year dates
            jumpDates_.resize(nJumps_);
            jumpTimes_.resize(nJumps_);
            Year y = referenceDate.year();
            for (Size i = 0; i < nJumps_; ++i)
                jumpDates_[i] = Date(31, December, y + i);
        } else { // fixed dates
            QL_REQUIRE(jumpDates_.size() == nJumps_, "mismatch between number of jumps ("
                                                         << nJumps_ << ") and jump dates ("
                                                         << jumpDates_.size() << ")");
        }
        for (Size i = 0; i < nJumps_; ++i)
            jumpTimes_[i] = timeFromReference(jumpDates_[i]);
        latestReference_ = referenceDate;
    }

    DiscountFactor YieldTermStructure::discount(Time t, bool extrapolate) const {
        checkRange(t, extrapolate);

        if (jumps_.empty())
            return discountImpl(t);

        DiscountFactor jumpEffect = 1.0;
        for (Size i = 0; i < nJumps_; ++i) {
            if (jumpTimes_[i] > 0 && jumpTimes_[i] < t) {
                QL_REQUIRE(jumps_[i]->isValid(), "invalid " << io::ordinal(i + 1) << " jump quote");
                DiscountFactor thisJump = jumps_[i]->value();
                QL_REQUIRE(thisJump > 0.0,
                           "invalid " << io::ordinal(i + 1) << " jump value: " << thisJump);
                jumpEffect *= thisJump;
            }
        }
        return jumpEffect * discountImpl(t);
    }

    InterestRate YieldTermStructure::zeroRate(const Date& d,
                                              const DayCounter& dayCounter,
                                              Compounding comp,
                                              Frequency freq,
                                              bool extrapolate) const {
        Time t = timeFromReference(d);
        if (t == 0) {
            Real compound = 1.0 / discount(dt, extrapolate);
            // t has been calculated with a possibly different daycounter
            // but the difference should not matter for very small times
            return InterestRate::impliedRate(compound, dayCounter, comp, freq, dt);
        }
        Real compound = 1.0 / discount(t, extrapolate);
        return InterestRate::impliedRate(compound, dayCounter, comp, freq, referenceDate(), d);
    }

    InterestRate
    YieldTermStructure::zeroRate(Time t, Compounding comp, Frequency freq, bool extrapolate) const {
        if (t == 0.0)
            t = dt;
        Real compound = 1.0 / discount(t, extrapolate);
        return InterestRate::impliedRate(compound, dayCounter(), comp, freq, t);
    }

    InterestRate YieldTermStructure::forwardRate(const Date& d1,
                                                 const Date& d2,
                                                 const DayCounter& dayCounter,
                                                 Compounding comp,
                                                 Frequency freq,
                                                 bool extrapolate) const {
        if (d1 == d2) {
            checkRange(d1, extrapolate);
            Time t1 = std::max(timeFromReference(d1) - dt / 2.0, 0.0);
            Time t2 = t1 + dt;
            Real compound = discount(t1, true) / discount(t2, true);
            // times have been calculated with a possibly different daycounter
            // but the difference should not matter for very small times
            return InterestRate::impliedRate(compound, dayCounter, comp, freq, dt);
        }
        QL_REQUIRE(d1 < d2, d1 << " later than " << d2);
        Real compound = discount(d1, extrapolate) / discount(d2, extrapolate);
        return InterestRate::impliedRate(compound, dayCounter, comp, freq, d1, d2);
    }

    InterestRate YieldTermStructure::forwardRate(
        Time t1, Time t2, Compounding comp, Frequency freq, bool extrapolate) const {
        Real compound;
        if (t2 == t1) {
            checkRange(t1, extrapolate);
            t1 = std::max(t1 - dt / 2.0, 0.0);
            t2 = t1 + dt;
            compound = discount(t1, true) / discount(t2, true);
        } else {
            QL_REQUIRE(t2 > t1, "t1 (" << t1 << ") >= t2 (" << t2 << ")");
            compound = discount(t1, extrapolate) / discount(t2, extrapolate);
        }
        return InterestRate::impliedRate(compound, dayCounter(), comp, freq, t2 - t1);
    }

    void YieldTermStructure::update() {
        TermStructure::update();
        Date newReference = Date();
        try {
            newReference = referenceDate();
            if (newReference != latestReference_)
                setJumps(newReference);
        } catch (Error&) {
            if (newReference == Date()) {
                // the curve couldn't calculate the reference
                // date. Most of the times, this is because some
                // underlying handle wasn't set, so we can just absorb
                // the exception and continue; the jumps will be set
                // correctly when a valid underlying is set.
                return;
            } else {
                // something else happened during the call to
                // setJumps(), so we let the exception bubble up.
                throw;
            }
        }
    }

}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2004, 2009 Ferdinando Ametrano
5	Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
6	Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
7
8	This file is part of QuantLib, a free-software/open-source library
9	for financial quantitative analysts and developers - http://quantlib.org/
10
11	QuantLib is free software: you can redistribute it and/or modify it
12	under the terms of the QuantLib license. You should have received a
13	copy of the license along with this program; if not, please email
14	<quantlib-dev@lists.sf.net>. The license is also available online at
15	<https://www.quantlib.org/license.shtml>.
16
17	This program is distributed in the hope that it will be useful, but WITHOUT
18	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19	FOR A PARTICULAR PURPOSE. See the license for more details.
20	*/
21
22	#include <ql/termstructures/yieldtermstructure.hpp>
23	#include <ql/utilities/dataformatters.hpp>
24	#include <utility>
25
26	namespace QuantLib {
27
28	namespace {
29	// time interval used in finite differences
30	const Time dt = 0.0001;
31	}
32
33	YieldTermStructure::YieldTermStructure(const DayCounter& dc) : TermStructure(dc) {}	127,218✔
34
35	YieldTermStructure::YieldTermStructure(const Date& referenceDate,	524,323✔
36	const Calendar& cal,
37	const DayCounter& dc,
38	std::vector<Handle<Quote>> jumps,
39	const std::vector<Date>& jumpDates)	×
40	: TermStructure(referenceDate, cal, dc), jumps_(std::move(jumps)), jumpDates_(jumpDates),	524,323✔
41	jumpTimes_(jumpDates.size()), nJumps_(jumps_.size()) {	1,572,969✔
42	setJumps(YieldTermStructure::referenceDate());	524,323✔
43	for (Size i = 0; i < nJumps_; ++i)	524,323✔
44	registerWith(jumps_[i]);	×
45	}	524,323✔
46
47	YieldTermStructure::YieldTermStructure(Natural settlementDays,	3,306✔
48	const Calendar& cal,
49	const DayCounter& dc,
50	std::vector<Handle<Quote>> jumps,
51	const std::vector<Date>& jumpDates)	×
52	: TermStructure(settlementDays, cal, dc), jumps_(std::move(jumps)), jumpDates_(jumpDates),	3,306✔
53	jumpTimes_(jumpDates.size()), nJumps_(jumps_.size()) {	9,918✔
54	setJumps(YieldTermStructure::referenceDate());	3,306✔
55	for (Size i = 0; i < nJumps_; ++i)	3,306✔
56	registerWith(jumps_[i]);	×
57	}	3,306✔
58
59	void YieldTermStructure::setJumps(const Date& referenceDate) {	599,814✔
60	if (jumpDates_.empty() && !jumps_.empty()) { // turn of year dates	599,814✔
61	jumpDates_.resize(nJumps_);	×
62	jumpTimes_.resize(nJumps_);	×
63	Year y = referenceDate.year();	×
64	for (Size i = 0; i < nJumps_; ++i)	×
65	jumpDates_[i] = Date(31, December, y + i);	×
66	} else { // fixed dates
67	QL_REQUIRE(jumpDates_.size() == nJumps_, "mismatch between number of jumps ("	599,814✔
68	<< nJumps_ << ") and jump dates ("
69	<< jumpDates_.size() << ")");
70	}
71	for (Size i = 0; i < nJumps_; ++i)	599,814✔
72	jumpTimes_[i] = timeFromReference(jumpDates_[i]);	×
73	latestReference_ = referenceDate;	599,814✔
74	}	599,814✔
75
76	DiscountFactor YieldTermStructure::discount(Time t, bool extrapolate) const {	1,489,675,941✔
77	checkRange(t, extrapolate);	1,489,675,941✔
78
79	if (jumps_.empty())	1,489,675,936✔
80	return discountImpl(t);	1,489,675,936✔
81
82	DiscountFactor jumpEffect = 1.0;
83	for (Size i = 0; i < nJumps_; ++i) {	×
84	if (jumpTimes_[i] > 0 && jumpTimes_[i] < t) {	×
85	QL_REQUIRE(jumps_[i]->isValid(), "invalid " << io::ordinal(i + 1) << " jump quote");	×
86	DiscountFactor thisJump = jumps_[i]->value();	×
87	QL_REQUIRE(thisJump > 0.0,	×
88	"invalid " << io::ordinal(i + 1) << " jump value: " << thisJump);
89	jumpEffect *= thisJump;	×
90	}
91	}
92	return jumpEffect * discountImpl(t);	×
93	}
94
95	InterestRate YieldTermStructure::zeroRate(const Date& d,	409,573✔
96	const DayCounter& dayCounter,
97	Compounding comp,
98	Frequency freq,
99	bool extrapolate) const {
100	Time t = timeFromReference(d);	409,573✔
101	if (t == 0) {	409,573✔
102	Real compound = 1.0 / discount(dt, extrapolate);	1,102✔
103	// t has been calculated with a possibly different daycounter
104	// but the difference should not matter for very small times
105	return InterestRate::impliedRate(compound, dayCounter, comp, freq, dt);	1,102✔
106	}
107	Real compound = 1.0 / discount(t, extrapolate);	408,471✔
108	return InterestRate::impliedRate(compound, dayCounter, comp, freq, referenceDate(), d);	408,471✔
109	}
110
111	InterestRate
112	YieldTermStructure::zeroRate(Time t, Compounding comp, Frequency freq, bool extrapolate) const {	897,572✔
113	if (t == 0.0)	897,572✔
114	t = dt;
115	Real compound = 1.0 / discount(t, extrapolate);	897,572✔
116	return InterestRate::impliedRate(compound, dayCounter(), comp, freq, t);	1,795,144✔
117	}
118
119	InterestRate YieldTermStructure::forwardRate(const Date& d1,	751,526✔
120	const Date& d2,
121	const DayCounter& dayCounter,
122	Compounding comp,
123	Frequency freq,
124	bool extrapolate) const {
125	if (d1 == d2) {	751,526✔
126	checkRange(d1, extrapolate);	492✔
127	Time t1 = std::max(timeFromReference(d1) - dt / 2.0, 0.0);	492✔
128	Time t2 = t1 + dt;	492✔
129	Real compound = discount(t1, true) / discount(t2, true);	492✔
130	// times have been calculated with a possibly different daycounter
131	// but the difference should not matter for very small times
132	return InterestRate::impliedRate(compound, dayCounter, comp, freq, dt);	492✔
133	}
134	QL_REQUIRE(d1 < d2, d1 << " later than " << d2);	751,034✔
135	Real compound = discount(d1, extrapolate) / discount(d2, extrapolate);	751,034✔
136	return InterestRate::impliedRate(compound, dayCounter, comp, freq, d1, d2);	751,034✔
137	}
138
139	InterestRate YieldTermStructure::forwardRate(	626,609,328✔
140	Time t1, Time t2, Compounding comp, Frequency freq, bool extrapolate) const {
141	Real compound;
142	if (t2 == t1) {	626,609,328✔
143	checkRange(t1, extrapolate);	140,416,293✔
144	t1 = std::max(t1 - dt / 2.0, 0.0);	140,416,293✔
145	t2 = t1 + dt;	140,416,293✔
146	compound = discount(t1, true) / discount(t2, true);	140,416,293✔
147	} else {
148	QL_REQUIRE(t2 > t1, "t1 (" << t1 << ") >= t2 (" << t2 << ")");	486,193,035✔
149	compound = discount(t1, extrapolate) / discount(t2, extrapolate);	486,193,035✔
150	}
151	return InterestRate::impliedRate(compound, dayCounter(), comp, freq, t2 - t1);	1,253,218,656✔
152	}
153
154	void YieldTermStructure::update() {	221,597✔
155	TermStructure::update();	221,597✔
156	Date newReference = Date();	221,597✔
157	try {
158	newReference = referenceDate();	221,597✔
159	if (newReference != latestReference_)	221,597✔
160	setJumps(newReference);	72,185✔
161	} catch (Error&) {	×
162	if (newReference == Date()) {	×
163	// the curve couldn't calculate the reference
164	// date. Most of the times, this is because some
165	// underlying handle wasn't set, so we can just absorb
166	// the exception and continue; the jumps will be set
167	// correctly when a valid underlying is set.
168	return;
169	} else {
170	// something else happened during the call to
171	// setJumps(), so we let the exception bubble up.
172	throw;	×
173	}
174	}	×
175	}
176
177	}

lballabio / QuantLib / 26158000839

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