31125815801

Committed 06 Aug 2026 05:59PM UTC coverage: 75.159% (+0.02%) from 75.142%

Build # 31125815801

Build Type

Pull #2715

github

Committed by

web-flow

Commit Message

Merge 18be57286 into 5608e3543

Pull Request Pull Request #2715: Add DerivedTermStructure helper classes

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4 existing lines in 2 files now uncovered.

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76.25

/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;
        try {
            newReference = referenceDate();
        } catch (Error&) {
            // 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;
        }
        if (newReference != latestReference_)
            setJumps(newReference);
    }

}

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,	524,555✔
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),	524,555✔
41	jumpTimes_(jumpDates.size()), nJumps_(jumps_.size()) {	1,573,665✔
42	setJumps(YieldTermStructure::referenceDate());	524,555✔
43	for (Size i=0; i<nJumps_; ++i)	524,555✔
44	registerWith(jumps_[i]);	×
45	}	524,555✔
46
47	YieldTermStructure::YieldTermStructure(Natural settlementDays,	3,327✔
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),	3,327✔
53	jumpTimes_(jumpDates.size()), nJumps_(jumps_.size()) {	9,981✔
54	setJumps(YieldTermStructure::referenceDate());	3,327✔
55	for (Size i=0; i<nJumps_; ++i)	3,327✔
56	registerWith(jumps_[i]);	×
57	}	3,327✔
58
59	void YieldTermStructure::setJumps(const Date& referenceDate) {	600,067✔
60	if (jumpDates_.empty() && !jumps_.empty()) { // turn of year dates	600,067✔
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_,	600,067✔
68	"mismatch between number of jumps (" << nJumps_ <<
69	") and jump dates (" << jumpDates_.size() << ")");
70	}
71	for (Size i=0; i<nJumps_; ++i)	600,067✔
72	jumpTimes_[i] = timeFromReference(jumpDates_[i]);	×
73	latestReference_ = referenceDate;	600,067✔
74	}	600,067✔
75
76	DiscountFactor YieldTermStructure::discount(Time t,	1,572,205,818✔
77	bool extrapolate) const {
78	checkRange(t, extrapolate);	1,572,205,818✔
79
80	if (jumps_.empty())	1,572,205,813✔
81	return discountImpl(t);	1,572,205,813✔
82
83	DiscountFactor jumpEffect = 1.0;
84	for (Size i=0; i<nJumps_; ++i) {	×
85	if (jumpTimes_[i]>0 && jumpTimes_[i]<t) {	×
86	QL_REQUIRE(jumps_[i]->isValid(),	×
87	"invalid " << io::ordinal(i+1) << " jump quote");
88	DiscountFactor thisJump = jumps_[i]->value();	×
89	QL_REQUIRE(thisJump > 0.0,	×
90	"invalid " << io::ordinal(i+1) << " jump value: " <<
91	thisJump);
92	jumpEffect *= thisJump;	×
93	}
94	}
95	return jumpEffect * discountImpl(t);	×
96	}
97
98	InterestRate YieldTermStructure::zeroRate(const Date& d,	409,655✔
99	const DayCounter& dayCounter,
100	Compounding comp,
101	Frequency freq,
102	bool extrapolate) const {
103	Time t = timeFromReference(d);	409,655✔
104	if (t == 0) {	409,655✔
105	Real compound = 1.0/discount(dt, extrapolate);	1,102✔
106	// t has been calculated with a possibly different daycounter
107	// but the difference should not matter for very small times
108	return InterestRate::impliedRate(compound,
109	dayCounter, comp, freq,
110	dt);	1,102✔
111	}
112	Real compound = 1.0/discount(t, extrapolate);	408,553✔
113	return InterestRate::impliedRate(compound,
114	dayCounter, comp, freq,
115	referenceDate(), d);	408,553✔
116	}
117
118	InterestRate YieldTermStructure::zeroRate(Time t,	910,221✔
119	Compounding comp,
120	Frequency freq,
121	bool extrapolate) const {
122	if (t==0.0) t = dt;	910,221✔
123	Real compound = 1.0/discount(t, extrapolate);	910,221✔
124	return InterestRate::impliedRate(compound,
125	dayCounter(), comp, freq,	910,221✔
126	t);	1,820,442✔
127	}
128
129	InterestRate YieldTermStructure::forwardRate(const Date& d1,	752,885✔
130	const Date& d2,
131	const DayCounter& dayCounter,
132	Compounding comp,
133	Frequency freq,
134	bool extrapolate) const {
135	if (d1==d2) {	752,885✔
136	checkRange(d1, extrapolate);	430✔
137	Time t1 = std::max(timeFromReference(d1) - dt/2.0, 0.0);	430✔
138	Time t2 = t1 + dt;	430✔
139	Real compound =
140	discount(t1, true)/discount(t2, true);	430✔
141	// times have been calculated with a possibly different daycounter
142	// but the difference should not matter for very small times
143	return InterestRate::impliedRate(compound,
144	dayCounter, comp, freq,
145	dt);	430✔
146	}
147	QL_REQUIRE(d1 < d2, d1 << " later than " << d2);	752,455✔
148	Real compound = discount(d1, extrapolate)/discount(d2, extrapolate);	752,455✔
149	return InterestRate::impliedRate(compound,
150	dayCounter, comp, freq,
151	d1, d2);	752,455✔
152	}
153
154	InterestRate YieldTermStructure::forwardRate(Time t1,	626,584,743✔
155	Time t2,
156	Compounding comp,
157	Frequency freq,
158	bool extrapolate) const {
159	Real compound;
160	if (t2==t1) {	626,584,743✔
161	checkRange(t1, extrapolate);	140,397,632✔
162	t1 = std::max(t1 - dt/2.0, 0.0);	140,397,632✔
163	t2 = t1 + dt;	140,397,632✔
164	compound = discount(t1, true)/discount(t2, true);	140,397,632✔
165	} else {
166	QL_REQUIRE(t2>t1, "t1 (" << t1 << ") >= t2 (" << t2 << ")");	486,187,111✔
167	compound = discount(t1, extrapolate)/discount(t2, extrapolate);	486,187,111✔
168	}
169	return InterestRate::impliedRate(compound,
170	dayCounter(), comp, freq,	1,253,169,486✔
171	t2-t1);	1,253,169,486✔
172	}
173
174	void YieldTermStructure::update() {	222,085✔
175	TermStructure::update();	222,085✔
176	Date newReference;	222,085✔
177	try {
178	newReference = referenceDate();	222,085✔
UNCOV 179	} catch (Error&) {	×
180	// the curve couldn't calculate the reference
181	// date. Most of the times, this is because some
182	// underlying handle wasn't set, so we can just absorb
183	// the exception and continue; the jumps will be set
184	// correctly when a valid underlying is set.
185	return;
UNCOV 186	}	×
187	if (newReference != latestReference_)	222,085✔
188	setJumps(newReference);	72,185✔
189	}
190
191	}

lballabio / QuantLib / 31125815801

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