29653052760

Committed 18 Jul 2026 04:59PM UTC coverage: 74.95% (-0.004%) from 74.954%

Build # 29653052760

Build Type

Pull #2667

github

Committed by

web-flow

Commit Message

Merge 309a8d49b into 3baff1f70

Pull Request Pull Request #2667: gh-2172 fix compounding

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7 of 9 new or added lines in 1 file covered. (77.78%)

6 existing lines in 1 file now uncovered.

59548 of 79450 relevant lines covered (74.95%)

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51.85

/ql/interestrate.cpp

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

/*
 Copyright (C) 2004 Ferdinando Ametrano

 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/interestrate.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <iomanip>
#include <sstream>
#include <utility>

namespace QuantLib {

    // constructors

    InterestRate::InterestRate()
    : r_(Null<Real>()) {}

    InterestRate::InterestRate(Rate r, DayCounter dc, Compounding comp, Frequency freq)
    : r_(r), dc_(std::move(dc)), comp_(comp), freqMakesSense_(false) {

        if (comp_==Compounded || comp_==SimpleThenCompounded || comp_==CompoundedThenSimple) {
            freqMakesSense_ = true;
            QL_REQUIRE(freq!=Once && freq!=NoFrequency,
                       "frequency not allowed for this interest rate");
            freq_ = Real(freq);
        }
    }

    Real InterestRate::compoundFactor(Time t) const {

        QL_REQUIRE(t>=0.0, "negative time (" << t << ") not allowed");
        QL_REQUIRE(r_ != Null<Rate>(), "null interest rate");
        switch (comp_) {
          case Simple:
            return 1.0 + r_*t;
          case Compounded:
          case SimpleThenCompounded:
          case CompoundedThenSimple:
            return std::pow(1.0+r_/freq_, freq_*t);
          case Continuous:
            return std::exp(r_*t);
          default:
            QL_FAIL("unknown compounding convention");
        }
    }

    InterestRate InterestRate::impliedRate(Real compound,
                                           const DayCounter& resultDC,
                                           Compounding comp,
                                           Frequency freq,
                                           Time t) {

        QL_REQUIRE(compound>0.0, "positive compound factor required");

        Rate r;
        if (compound==1.0) {
            QL_REQUIRE(t>=0.0, "non negative time (" << t << ") required");
            r = 0.0;
        } else {
            QL_REQUIRE(t>0.0, "positive time (" << t << ") required");
            switch (comp) {
              case Simple:
                r = (compound - 1.0)/t;
                break;
              case Compounded:
                r = (std::pow(compound, 1.0/(Real(freq)*t))-1.0)*Real(freq);
                break;
              case Continuous:
                r = std::log(compound)/t;
                break;
              case SimpleThenCompounded:
                if (t<=1.0/Real(freq))
                    r = (compound - 1.0)/t;
                else
                    r = (std::pow(compound, 1.0/(Real(freq)*t))-1.0)*Real(freq);
                break;
              case CompoundedThenSimple:
                if (t>1.0/Real(freq))
                    r = (compound - 1.0)/t;
                else
                    r = (std::pow(compound, 1.0/(Real(freq)*t))-1.0)*Real(freq);
                break;
              default:
                QL_FAIL("unknown compounding convention ("
                        << Integer(comp) << ")");
            }
        }
        return InterestRate(r, resultDC, comp, freq);
    }


    std::ostream& operator<<(std::ostream& out, const InterestRate& ir) {
        if (ir.rate() == Null<Rate>())
            return out << "null interest rate";

        out << io::rate(ir.rate()) << " " << ir.dayCounter().name() << " ";
        switch (ir.compounding()) {
          case Simple:
            out << "simple compounding";
            break;
          case Compounded:
            switch (ir.frequency()) {
              case NoFrequency:
              case Once:
                QL_FAIL(ir.frequency() << " frequency not allowed "
                        "for this interest rate");
              default:
                out << ir.frequency() <<" compounding";
            }
            break;
          case Continuous:
            out << "continuous compounding";
            break;
          case SimpleThenCompounded:
            switch (ir.frequency()) {
              case NoFrequency:
              case Once:
                QL_FAIL(ir.frequency() << " frequency not allowed "
                        "for this interest rate");
              default:
                out << "simple compounding up to "
                    << Integer(12/ir.frequency()) << " months, then "
                    << ir.frequency() << " compounding";
            }
            break;
          case CompoundedThenSimple:
            switch (ir.frequency()) {
              case NoFrequency:
              case Once:
                QL_FAIL(ir.frequency() << " frequency not allowed "
                        "for this interest rate");
              default:
                out << "compounding up to "
                    << Integer(12/ir.frequency()) << " months, then "
                    << ir.frequency() << " simple compounding";
            }
            break;
          default:
            QL_FAIL("unknown compounding convention ("
                    << Integer(ir.compounding()) << ")");
        }
        return out;
    }

}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2004 Ferdinando Ametrano
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/interestrate.hpp>
21	#include <ql/utilities/dataformatters.hpp>
22	#include <iomanip>
23	#include <sstream>
24	#include <utility>
25
26	namespace QuantLib {
27
28	// constructors
29
30	InterestRate::InterestRate()	522,657✔
31	: r_(Null<Real>()) {}	522,657✔
32
33	InterestRate::InterestRate(Rate r, DayCounter dc, Compounding comp, Frequency freq)	630,690,242✔
34	: r_(r), dc_(std::move(dc)), comp_(comp), freqMakesSense_(false) {	630,690,242✔
35
36	if (comp_==Compounded \|\| comp_==SimpleThenCompounded \|\| comp_==CompoundedThenSimple) {	630,690,242✔
37	freqMakesSense_ = true;	786,228✔
38	QL_REQUIRE(freq!=Once && freq!=NoFrequency,	786,228✔
39	"frequency not allowed for this interest rate");
40	freq_ = Real(freq);	786,228✔
41	}
42	}	630,690,242✔
43
44	Real InterestRate::compoundFactor(Time t) const {	1,449,275,031✔
45
46	QL_REQUIRE(t>=0.0, "negative time (" << t << ") not allowed");	1,449,275,031✔
47	QL_REQUIRE(r_ != Null<Rate>(), "null interest rate");	1,449,275,031✔
48	switch (comp_) {	1,449,275,031✔
49	case Simple:	1,413,223✔
50	return 1.0 + r_*t;	1,413,223✔
51	case Compounded:	2,321,758✔
52	case SimpleThenCompounded:
53	case CompoundedThenSimple:
54	return std::pow(1.0+r_/freq_, freq_*t);	2,321,758✔
55	case Continuous:	1,445,540,050✔
56	return std::exp(r_*t);	1,445,540,050✔
UNCOV 57	default:	×
UNCOV 58	QL_FAIL("unknown compounding convention");	×
59	}
60	}
61
62	InterestRate InterestRate::impliedRate(Real compound,	629,147,617✔
63	const DayCounter& resultDC,
64	Compounding comp,
65	Frequency freq,
66	Time t) {
67
68	QL_REQUIRE(compound>0.0, "positive compound factor required");	629,147,617✔
69
70	Rate r;
71	if (compound==1.0) {	629,147,617✔
72	QL_REQUIRE(t>=0.0, "non negative time (" << t << ") required");	195,540,081✔
73	r = 0.0;
74	} else {
75	QL_REQUIRE(t>0.0, "positive time (" << t << ") required");	433,607,536✔
76	switch (comp) {	433,607,536✔
77	case Simple:	696,562✔
78	r = (compound - 1.0)/t;	696,562✔
79	break;	696,562✔
80	case Compounded:	226,051✔
81	r = (std::pow(compound, 1.0/(Real(freq)t))-1.0)Real(freq);	226,051✔
82	break;	226,051✔
83	case Continuous:	432,684,923✔
84	r = std::log(compound)/t;	432,684,923✔
85	break;	432,684,923✔
UNCOV 86	case SimpleThenCompounded:	×
UNCOV 87	if (t<=1.0/Real(freq))	×
UNCOV 88	r = (compound - 1.0)/t;	×
89	else
UNCOV 90	r = (std::pow(compound, 1.0/(Real(freq)t))-1.0)Real(freq);	×
91	break;
92	case CompoundedThenSimple:	×
93	if (t>1.0/Real(freq))	×
94	r = (compound - 1.0)/t;	×
95	else
96	r = (std::pow(compound, 1.0/(Real(freq)t))-1.0)Real(freq);	×
97	break;
98	default:	×
99	QL_FAIL("unknown compounding convention ("	×
100	<< Integer(comp) << ")");
101	}
102	}
103	return InterestRate(r, resultDC, comp, freq);	1,258,295,234✔
104	}
105
106
107	std::ostream& operator<<(std::ostream& out, const InterestRate& ir) {	12✔
108	if (ir.rate() == Null<Rate>())	12✔
109	return out << "null interest rate";	×
110
111	out << io::rate(ir.rate()) << " " << ir.dayCounter().name() << " ";	36✔
112	switch (ir.compounding()) {	12✔
113	case Simple:	12✔
114	out << "simple compounding";	12✔
115	break;	12✔
116	case Compounded:
117	switch (ir.frequency()) {	×
118	case NoFrequency:	×
119	case Once:
120	QL_FAIL(ir.frequency() << " frequency not allowed "	×
121	"for this interest rate");
122	default:
123	out << ir.frequency() <<" compounding";	×
124	}
125	break;	×
126	case Continuous:	×
127	out << "continuous compounding";	×
128	break;	×
129	case SimpleThenCompounded:
130	switch (ir.frequency()) {	×
131	case NoFrequency:	×
132	case Once:
133	QL_FAIL(ir.frequency() << " frequency not allowed "	×
134	"for this interest rate");
135	default:	×
136	out << "simple compounding up to "	×
137	<< Integer(12/ir.frequency()) << " months, then "	×
138	<< ir.frequency() << " compounding";	×
139	}
140	break;	×
141	case CompoundedThenSimple:
142	switch (ir.frequency()) {	×
143	case NoFrequency:	×
144	case Once:
145	QL_FAIL(ir.frequency() << " frequency not allowed "	×
146	"for this interest rate");
147	default:	×
148	out << "compounding up to "	×
149	<< Integer(12/ir.frequency()) << " months, then "	×
150	<< ir.frequency() << " simple compounding";	×
151	}
152	break;	×
153	default:	×
154	QL_FAIL("unknown compounding convention ("	×
155	<< Integer(ir.compounding()) << ")");
156	}
157	return out;
158	}
159
160	}

lballabio / QuantLib / 29653052760

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