unconstrainedBootstrapperExample.cpp

This example show how to build curve using unconstrained bootstrapper (UnconstrainedBootstrapper). Programme uses data files stored as csv in ./data directory Plots below presents the interest rate curves build using different smoothing parameters

Here we present the calibration of the curve. We see that for larger value of smooth parameters the calibration is worth but curve is smoother.

#include <juliant.hpp>
#include "factoryInit.hpp"

using namespace julian;


int main(int argc, char *argv[]) {
  RunTimeMeasurment timer;
  //
  // Setting the calendar and the today date
  //
  
  Date today(2018, JUN, 20);
  PLNHoliday holiday;
  Calendar calendar = BuildCalendar()
    .withConvention(MODIFIEDFOLLOWING)
    .addHoliday(holiday)
    .withSpotLag(2);

  //
  // Reading the command line arguments; If not provided, program uses default names
  //
  auto args =  catchDataAndSettingFileNames(argc, argv);
  auto data_file     = args.first.empty() ? "../data/curve_data.csv" : args.first;
  auto settings_file = args.second.empty() ? "../data/curve_settings.csv" : args.second;

  //
  // Creating benchmark instruments
  //
  DataFrame df_instruments(data_file, ';', true);
  auto df_depo = df_instruments.filter("Type",   [](std::string x)->bool{return x == "Deposit";} );
  auto df_fra  = df_instruments.filter("Type",   [](std::string x)->bool{return x == "FRA";} );
  auto df_irs  = df_instruments.filter("Type",   [](std::string x)->bool{return x == "IRS";} );

  SHOW(df_instruments);
  
  std::vector<Deposit> deposits = ir::readDeposit(df_depo, today, calendar);
  std::vector<FRA> fras     = ir::readFRA(df_fra, today, calendar);
  std::vector<IRS> swaps    = ir::readIRS(df_irs, today, calendar);

  std::vector<SmartPointer<ir::BuildingBlock> > benchmarks;
  benchmarks.insert(benchmarks.end(), deposits.begin(), deposits.end());
  benchmarks.insert(benchmarks.end(), fras.begin(), fras.end());
  benchmarks.insert(benchmarks.end(), swaps.begin(), swaps.end());

  //
  // Reading curve settings
  //
  DataFrame df_settings(settings_file, ';', true);
  df_settings = df_settings.filter("Estimator",[](std::string x)->bool{return x == "unconstrained";} );

  SHOW(df_settings);
  //
  // Constructing the curve
  //
  DataFrame estimation_resuts;
  DataFrame calibration_results;
  for (int r = 1; r <=df_settings.getNumberOfRows(); r++) {
    auto set_name = df_settings("Id", r);
    auto interpolation = df_settings.getObject<Interpolation>("Interpolation", r);
    auto inputs        = df_settings.getObject<ir::InterpolationInput>("InterpolationInput", r);
    auto compounding   = df_settings.getObject<Compounding>("Compounding", r);
    auto yf            = df_settings.getObject<YearFraction>("YF", r);

    auto smoothing_param = df_settings.getDouble("SmoothingParam", r);

    SmartPointer<ir::SmootherCostFunction> scf = df_settings.getObject<ir::SmootherCostFunction>("SmoothingInput",r);

    if (df_settings.getDouble("FirstDerivative", r)) {
      scf = ir::FirstDerivativeCostFunction(scf);
    }
    if (df_settings.getDouble("SecondDerivative", r)) {
      scf = ir::SecondDerivativeCostFunction(scf);
    }

    InterestRate rate(compounding, yf);
    ir::CompoundedInterpolator interpolator(interpolation, inputs);
    auto estimator = ir::UnconstrainedSmoother(scf, smoothing_param);

    ir::InterpolatedCurve curve = ir::BuildCurve()
      .asOfDate(today)
      .withCalendar(calendar)
      .withInterestRate(rate)
      .withInterpolator(interpolator)
      .withSetOfInstruments(benchmarks)
      .usingEstimator(estimator);

    auto calib      = ir::getCalibration(curve, benchmarks, set_name);
    auto curve_data = ir::getCurves(curve, 1*WEEK, 15*YEAR, set_name);
    calibration_results.append(calib);
    estimation_resuts.append(curve_data);

    //
    // Print one curve as example
    //
    if (set_name == "Set30") {
      SHOW(curve);
    }
  }

  //
  // Saving results
  //
  calibration_results.printToCsv("unconstrained_calibration");
  estimation_resuts.printToCsv("unconstrained_results");
}