ratehelpers.cpp

有很多的函数库

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

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005, 2006, 2007 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
 <[e-mail]>. The license is also available online at
 <http://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/yieldcurves/ratehelpers.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/instruments/makevanillaswap.hpp>
#include <ql/quotes/simplequote.hpp>

namespace QuantLib {

    namespace {
        void no_deletion(YieldTermStructure*) {}
    }

    FuturesRateHelper::FuturesRateHelper(
                                     const Handle<Quote>& price,
                                     const Date& immDate,
                                     Size nMonths,
                                     const Calendar& calendar,
                                     BusinessDayConvention convention,
                                     const DayCounter& dayCounter,
                                     const Handle<Quote>& convexityAdjustment)
    : RateHelper(price), convAdj_(convexityAdjustment) {
        earliestDate_ = immDate;
        latestDate_ =
            calendar.advance(earliestDate_, nMonths, Months, convention);
        yearFraction_ = dayCounter.yearFraction(earliestDate_, latestDate_);
        registerWith(convexityAdjustment);
    }

    FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
                                         const Date& immDate,
                                         Size nMonths,
                                         const Calendar& calendar,
                                         BusinessDayConvention convention,
                                         const DayCounter& dayCounter,
                                         Rate convexityAdjustment)
    : RateHelper(price), convAdj_(Handle<Quote>(boost::shared_ptr<Quote>(
                                       new SimpleQuote(convexityAdjustment))))
    {
        earliestDate_ = immDate;
        latestDate_ =
            calendar.advance(earliestDate_, nMonths, Months, convention);
        yearFraction_ = dayCounter.yearFraction(earliestDate_, latestDate_);
    }

    FuturesRateHelper::FuturesRateHelper(Real price,
                                         const Date& immDate,
                                         Size nMonths,
                                         const Calendar& calendar,
                                         BusinessDayConvention convention,
                                         const DayCounter& dayCounter,
                                         Rate convexityAdjustment)
    : RateHelper(price), convAdj_(Handle<Quote>(boost::shared_ptr<Quote>(
                                       new SimpleQuote(convexityAdjustment))))
    {
        earliestDate_ = immDate;
        latestDate_ =
            calendar.advance(earliestDate_, nMonths, Months, convention);
        yearFraction_ = dayCounter.yearFraction(earliestDate_, latestDate_);
    }

    Real FuturesRateHelper::impliedQuote() const {
        QL_REQUIRE(termStructure_ != 0, "term structure not set");
        Rate forwardRate = (termStructure_->discount(earliestDate_) /
            termStructure_->discount(latestDate_)-1.0)/yearFraction_;
        Rate convAdj = convAdj_->value();
        QL_ENSURE(convAdj >= 0.0,
                  "Negative (" << convAdj <<
                  ") futures convexity adjustment");
        Rate futureRate = forwardRate + convAdj;
        return 100.0 * (1.0 - futureRate);
    }

    DiscountFactor FuturesRateHelper::discountGuess() const {
        QL_REQUIRE(termStructure_ != 0, "term structure not set");
        Rate futureRate = (100.0-quote_->value())/100.0;
        Rate convAdj = convAdj_->value();
        QL_ENSURE(convAdj >= 0.0,
                  "Negative (" << convAdj <<
                  ") futures convexity adjustment");
        Rate forwardRate = futureRate - convAdj;
        // extrapolation shouldn't be needed if the input makes sense
        // but we'll play it safe
        return termStructure_->discount(earliestDate_,true) /
            (1.0+forwardRate*yearFraction_);
    }



    RelativeDateRateHelper::RelativeDateRateHelper(const Handle<Quote>& quote)
    : RateHelper(quote) {
        registerWith(Settings::instance().evaluationDate());
        evaluationDate_ = Settings::instance().evaluationDate();
    }

    RelativeDateRateHelper::RelativeDateRateHelper(Real quote)
    : RateHelper(quote) {
        registerWith(Settings::instance().evaluationDate());
        evaluationDate_ = Settings::instance().evaluationDate();
    }

    void RelativeDateRateHelper::update() {
        if (evaluationDate_ != Settings::instance().evaluationDate()) {
            evaluationDate_ = Settings::instance().evaluationDate();
            initializeDates();
        }
        RateHelper::update();
    }

    DepositRateHelper::DepositRateHelper(
                       const Handle<Quote>& rate,
                       const Period& tenor,
                       Natural settlementDays,
                       const Calendar& calendar,
                       BusinessDayConvention convention,
                       bool endOfMonth,
                       Natural fixingDays,
                       const DayCounter& dayCounter)
    : RelativeDateRateHelper(rate), settlementDays_(settlementDays) {
        index_ = boost::shared_ptr<IborIndex>(new
            IborIndex("dummy", tenor, fixingDays,
                      Currency(), calendar, convention,
                      endOfMonth, dayCounter, termStructureHandle_));
        initializeDates();
    }

    DepositRateHelper::DepositRateHelper(
                       Rate rate,
                       const Period& tenor,
                       Natural settlementDays,
                       const Calendar& calendar,
                       BusinessDayConvention convention,
                       bool endOfMonth,
                       Natural fixingDays,
                       const DayCounter& dayCounter)
    : RelativeDateRateHelper(rate), settlementDays_(settlementDays) {
        index_ = boost::shared_ptr<IborIndex>(
                 new IborIndex("dummy", tenor, fixingDays,
                               Currency(), calendar, convention,
                               endOfMonth, dayCounter, termStructureHandle_));
        initializeDates();
    }

    Real DepositRateHelper::impliedQuote() const {
        QL_REQUIRE(termStructure_ != 0, "term structure not set");
        return index_->fixing(fixingDate_,true);
    }

    DiscountFactor DepositRateHelper::discountGuess() const {
        QL_REQUIRE(termStructure_ != 0, "term structure not set");
        // we'll play it safe - no extrapolation
        if (termStructure_->maxDate() < earliestDate_) {
            return Null<Real>();
        } else {
            Time T = index_->dayCounter().yearFraction(earliestDate_,
                                                       latestDate_);
            return termStructure_->discount(earliestDate_) /
                (1.0+quote_->value()*T);
        }
    }

    void DepositRateHelper::setTermStructure(YieldTermStructure* t) {
        // no need to register---the index is not lazy
        termStructureHandle_.linkTo(
                         boost::shared_ptr<YieldTermStructure>(t,no_deletion),
                         false);
        RelativeDateRateHelper::setTermStructure(t);
    }