julian::ir::InterpolatedCurve Class Reference

The object models the interest rate curve. More...

#include <interpolatedCurve.hpp>

Inheritance diagram for julian::ir::InterpolatedCurve:

Public Member Functions
CurveSettings	getSettings () const
	Returns settings of curve. More...
double	getFxSpot () const
	get FxSpot More...
double	calculateYF (Date, Date) const
	calculate year fraction More...
virtual InterpolatedCurve *	clone () const override
	Virtual copy constructor. More...
Constructors
	InterpolatedCurve ()
	Default constructor. More...
	InterpolatedCurve (Date today, std::vector< Date > dates, std::vector< double > dfs, InterestRate rate_, SmartPointer< Interpolator > interpolator, SmartPointer< Extrapolator > extrapolator, Calendar calendar, double fx_spot)
	Constructor. More...
	InterpolatedCurve (CurveSettings settings, std::vector< Date > dates, std::vector< double > df)
	Constructor. More...
Output getters
double	DF (Date) const override
	get DF More...
double	DF (Date, Date) const override
	get forward DF More...
double	DF (Tenor) const override
	get DF More...
double	DF (Tenor, Tenor) const override
	get forward DF More...
double	capitalization (Date) const override
	get capitalization More...
double	capitalization (Tenor) const override
	get capitalization More...
double	capitalization (Date, Date) const override
	get forward capitalization More...
double	capitalization (Tenor, Tenor) const override
	get forward capitalization More...
double	coupon (Date) const override
	get coupon More...
double	coupon (Tenor) const override
	get coupon More...
double	coupon (Date, Date) const override
	get coupon More...
double	coupon (Tenor, Tenor) const override
	get coupon More...
double	rate (Date) const override
	get zero coupon rate More...
double	rate (Tenor) const override
	get zero coupon rate More...
double	rate (Date, InterestRate) const override
	get zero coupon rate More...
double	rate (Tenor, InterestRate) const override
	get zero coupon rate More...
double	fwdRate (Date, Date) const override
	get forward rate More...
double	fwdRate (Tenor, Tenor) const override
	get forward rate More...
double	fwdRate (Date, Tenor) const override
	get forward rate More...
double	fwdRate (Date, Date, InterestRate) const override
	get forward rate More...
double	fwdRate (Tenor, Tenor, InterestRate) const override
	get forward rate More...
double	fwdRate (Date, Tenor, InterestRate) const override
	get forward rate More...
std::vector< double >	getDFs () const
	get discount factors More...
std::vector< double >	getDFs (std::vector< Date >) const
	get discount factors for given dates More...
std::vector< double >	getRates () const
	get zero coupon rates More...
std::vector< double >	getRates (InterestRate) const
	get zero coupon rates More...
std::vector< double >	getFwdRates () const
	get forward rates More...
std::vector< double >	getFwdRates (InterestRate) const
	get forward rates More...
Calendar	getCalendar () const
	get calendar More...
SmartPointer< Interpolator >	getInterpolator () const
	get interpolator More...
SmartPointer< Extrapolator >	getExtrapolator () const
	get extrapolator More...
InterestRate	getInterestRate () const
	get interest rate convention More...
Getters
std::vector< Date >	getDates () const
	get dates vector More...
Date	getValuationDate () const override
	get today dates More...
Date	getSpotDate () const
	get spot date More...
int	getSize () const
	returns the number of nodal dates. More...
Setters
void	setDates (std::vector< Date >)
	change nodal dates of the curve More...
void	setDates (Tenor)
	change nodal dates of the curve More...
void	setDFs (std::vector< double >)
	set discount factors More...
void	setRates (std::vector< double >)
	set zero coupon rates More...
void	setFwdRates (std::vector< double >)
	set forward rate More...
void	setFxSpot (double)
	set fx spot for the curve More...
Public Member Functions inherited from julian::ir::Curve
	Curve ()
	Default constructor. More...
virtual	~Curve ()
	destructor More...

Private Member Functions
template<class Archive >
void	serialize (Archive &ar, const unsigned int)
	interface used by Boost serialization library More...

Private Attributes
Date	today_
	Today represent the date on which the curve is valid. More...
std::vector< Date >	dates_
	This vector represents grid dates of the curve. More...
std::vector< double >	dfs_
	InterpolatedCurve is represented by values of discount factors for each date. More...
InterestRate	rate_
	The rate encapsulates the concept interest rate (year fraction and compounding). More...
SmartPointer< Interpolator >	interpolator_
	The interpolator encapsulates the concept of interpolation - getting the DF for dates that are not nodes of the time grid. More...
SmartPointer< Extrapolator >	extrapolator_
	The extrapolator encapsulates the concept of extrapolating the curve outside the interval defined by last date of time grid. More...
Calendar	calendar_
	Thanks to calendar outputs of the curve (DFs, ZCRs, etc) can be calculated only on the basis of provided tenor. More...
double	fx_spot_
	Fx Spots allows to calculate two-currency instruments (Fx Forwards and CIRS). More...

Friends
class	boost::serialization::access
std::ostream &	operator<< (std::ostream &, InterpolatedCurve &)
	Overloads stream operator. More...

Detailed Description

The object models the interest rate curve.

A interest rate curve is a representation of the relationship of rates in the swap or bond markets and their maturity and is used for the valuations of bonds or swap-related instruments. It is usually constructed with benchmark instruments and certain related contracts: market instruments that represent the most liquid and dominant instruments for their respective time horizons. More information see [6] [10] [16] [20] and [41].

The InterpolatedCurve is defined by:

• set of pairs (dates, discount factor) - these represents the concept of time value of money.
• interpolation method - enables to calculate DF for any moment, not just those explicitly given in date grid (see InterestRateCurveInterpolator ).

Additionally, the curve class contains InterestRate object encapsulating the year fraction and compounding convention. The curve is also equipped with calendar and FX rate. Calendar enables to calculate DF, ZCR and Forward Rate on the given tenor. Fx Rate helps in calculating NPV of fx instruments (like FxForward).

It is recommended to build curve by interest rate curve builder ( BuildInterestRateCurve ). This class implements the builder design pattern and enables to build curve on the basis of adequate instruments or directly given discount factors/ zero coupon rates/ forward rates.

Examples:

algebraicBootstrapperExample.cpp, bootstrapperComparison.cpp, constrainedBootstrapperExample.cpp, rootFindingBootstrapperExample.cpp, and unconstrainedBootstrapperExample.cpp.

Constructor & Destructor Documentation

julian::ir::InterpolatedCurve::InterpolatedCurve

(

)

Default constructor.

julian::ir::InterpolatedCurve::InterpolatedCurve	(	Date	today,
		std::vector< Date >	dates,
		std::vector< double >	dfs,
		InterestRate	rate,
		SmartPointer< Interpolator >	interpolator,
		SmartPointer< Extrapolator >	extrapolator,
		Calendar	calendar,
		double	fx_spot
	)

Constructor.

julian::ir::InterpolatedCurve::InterpolatedCurve	(	CurveSettings	settings,
		std::vector< Date >	dates,
		std::vector< double >	DFs
	)

Constructor.

Constructor creates curve basing on the CurveSettings provided

Member Function Documentation

double julian::ir::InterpolatedCurve::calculateYF	(	Date	d1,
		Date	d2
	)		const

calculate year fraction

By this method one can calculate year fraction between to dates. Convention of year fraction is compliant with convention of year fraction of swap curve interest rate.

double julian::ir::InterpolatedCurve::capitalization ( Date  d ) const

overridevirtual

get capitalization

This method calculate the value of 1 monetary unit invested today and received on date d.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::capitalization ( Tenor  t ) const

overridevirtual

get capitalization

This method calculate the value of 1 monetary unit invested today and received on date calculated on the basis of given tenor.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::capitalization ( Date  d1, Date  d2  ) const

overridevirtual

get forward capitalization

This method calculate the value of 1 monetary unit invested on date d1 and received on date d2.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::capitalization ( Tenor  t1, Tenor  t2  ) const

overridevirtual

get forward capitalization

This method calculate the value of 1 monetary unit invested on date d1 (calculated on the basis of tenor t1) and received on date d2 (calculated on the basis of tenor t2).

Implements julian::ir::Curve.

InterpolatedCurve * julian::ir::InterpolatedCurve::clone ( ) const

overridevirtual

Virtual copy constructor.

Reimplemented from julian::ir::Curve.

double julian::ir::InterpolatedCurve::coupon ( Date  d ) const

overridevirtual

get coupon

This method calculate the revenue on 1 monetary unit invested today and received on date d.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::coupon ( Tenor  t ) const

overridevirtual

get coupon

This method calculate the revenue on 1 monetary unit invested today and received on date d calculated on basis of tenor t.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::coupon ( Date  d1, Date  d2  ) const

overridevirtual

get coupon

This method calculate the revenue on 1 monetary unit invested on date d1 and received on date d2.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::coupon ( Tenor  t1, Tenor  t2  ) const

overridevirtual

get coupon

This method calculate the revenue on 1 monetary unit invested on date d1 calculated on the basis teno1 and received on date d2 calculated on the basis of tenor t2.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::DF ( Date  date ) const

overridevirtual

get DF

This method calculate discount factor for a given date.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::DF ( Date  d1, Date  d2  ) const

overridevirtual

get forward DF

This method calculate forward discount factor for a period defined by two dates.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::DF ( Tenor  t ) const

overridevirtual

get DF

This method calculate discount factor for a given tenor.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::DF ( Tenor  t1, Tenor  t2  ) const

overridevirtual

get forward DF

This method calculate discount factor for a period defined by two tenors.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::fwdRate ( Date  d1, Date  d2  ) const

overridevirtual

get forward rate

The forward rate between d1 and d2 is the yield of zero coupon bond that will commence at date d1 and matures at date d2. The rate returned by this method is given in curve's interest rate convention.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::fwdRate ( Tenor  t1, Tenor  t2  ) const

overridevirtual

get forward rate

The forward rate between d1 and d2 ( date calculated on the basis of provided tenors) is the yield of zero coupon bond that will commence at date d1 and matures at date d2. The rate returned by this method is given in curve's interest rate convention.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::fwdRate ( Date  d, Tenor  t  ) const

overridevirtual

get forward rate

The forward rate between d1 and d2 ( date d2 calculated on the basis of provided tenor t) is the yield of zero coupon bond that will commence at date d1 and matures at date d2. The rate returned by this method is given in curve's interest rate convention.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::fwdRate ( Date  d1, Date  d2, InterestRate  rate  ) const

overridevirtual

get forward rate

The forward rate between d1 and d2 is the yield of zero coupon bond that will commence at date d1 and matures at date d2 (convention of this interest rate is provided as argument of method).

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::fwdRate ( Tenor  t1, Tenor  t2, InterestRate  rate  ) const

overridevirtual

get forward rate

The forward rate between d1 and d2 ( date calculated on the basis of provided tenors) is the yield of zero coupon bond that will commence at date d1 and matures at date d2. (convention of this interest rate is provided as argument of method).

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::fwdRate ( Date  d, Tenor  t, InterestRate  rate  ) const

overridevirtual

get forward rate

The forward rate between d1 and d2 ( date d2 calculated on the basis of provided tenor) is the yield of zero coupon bond that will commence at date d1 and matures at date d2. (convention of this interest rate is provided as argument of method).

Implements julian::ir::Curve.

Calendar julian::ir::InterpolatedCurve::getCalendar

(

)

const

get calendar

Method returns the calendar defined for the curve.

std::vector< Date > julian::ir::InterpolatedCurve::getDates

(

)

const

get dates vector

The method returns the node points of the curve.

std::vector< double > julian::ir::InterpolatedCurve::getDFs

(

)

const

get discount factors

This method returns discount factors that defines swap curve

std::vector< double > julian::ir::InterpolatedCurve::getDFs

(

std::vector< Date >

dates

)

const

get discount factors for given dates

This method calculates discount factor for dates provided as STL vector.

SmartPointer< ir::Extrapolator > julian::ir::InterpolatedCurve::getExtrapolator

(

)

const

get extrapolator

Method returns the extrapolator defined for the curve.

std::vector< double > julian::ir::InterpolatedCurve::getFwdRates

(

)

const

get forward rates

Method returns forward rates. The first forward rate is the rate between today and first date node. The rest are calculated as rates between nodal points of swap curve.

std::vector< double > julian::ir::InterpolatedCurve::getFwdRates

(

InterestRate

r

)

const

get forward rates

Method returns forward rates. The first forward rate is the rate between today and first date node. The rest are calculated as rates between nodal points of swap curve. The convention of the rates is given as argument of the method.

double julian::ir::InterpolatedCurve::getFxSpot

(

)

const

get FxSpot

Method returns the value of FxSpot.

InterestRate julian::ir::InterpolatedCurve::getInterestRate

(

)

const

get interest rate convention

Method returns the convention of interest rate.

SmartPointer< ir::Interpolator > julian::ir::InterpolatedCurve::getInterpolator

(

)

const

get interpolator

Method returns the interpolator defined for the curve.

std::vector< double > julian::ir::InterpolatedCurve::getRates

(

)

const

get zero coupon rates

This method returns vector of zero coupon rates calculated for grid dates of the curve.

std::vector< double > julian::ir::InterpolatedCurve::getRates

(

InterestRate

r

)

const

get zero coupon rates

This method returns vector of zero coupon rates calculated for grid dates of the curve. The convention of the rates is given as argument of the method.

CurveSettings julian::ir::InterpolatedCurve::getSettings

(

)

const

Returns settings of curve.

Settings are passed using julian::CurveSettings structure

int julian::ir::InterpolatedCurve::getSize

(

)

const

returns the number of nodal dates.

The size of the curve is defined as the number of date nodal points.

Date julian::ir::InterpolatedCurve::getSpotDate

(

)

const

get spot date

The method returns the spot date of the curve.

Date julian::ir::InterpolatedCurve::getValuationDate ( ) const

overridevirtual

get today dates

The method returns the date for which curve was defined.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::rate ( Date  d ) const

overridevirtual

get zero coupon rate

The zero coupon rate for date d is the yield of zero coupon bond which matures on date d. The rate returned by this method is given in curve's interest rate convention.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::rate ( Tenor  t ) const

overridevirtual

get zero coupon rate

The zero coupon rate for tenor t is the yield of zero coupon bond which matures at t. The rate returned by this method is given in curve's interest rate convention.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::rate ( Date  d, InterestRate  rate_given  ) const

overridevirtual

get zero coupon rate

The zero coupon rate for date d is the yield of zero coupon bond which matures on date d. The rate returned by this method is given in provided interest rate convention.

Implements julian::ir::Curve.

double julian::ir::InterpolatedCurve::rate ( Tenor  t, InterestRate  rate_given  ) const

overridevirtual

get zero coupon rate

The zero coupon rate for tenor t is the yield of zero coupon bond which matures at t. The rate returned by this method is given in provided interest rate convention.

Implements julian::ir::Curve.

template<class Archive >

void julian::ir::InterpolatedCurve::serialize ( Archive &  ar, const unsigned  int  )

private

interface used by Boost serialization library

void julian::ir::InterpolatedCurve::setDates

(

std::vector< Date >

d

)

change nodal dates of the curve

Method gives the STL vector of dates. The DFs for this dates are calculated. Then curve is redefined by changing original date grid by new one and changing the DF vector.

void julian::ir::InterpolatedCurve::setDates

(

Tenor

t

)

change nodal dates of the curve

Method provides the tenor. On the basis of this tenor grid date is establish and then this new grid date is used to redefine curve. This method enables to create curve that has fixed inter-space between nodal dates.

void julian::ir::InterpolatedCurve::setDFs

(

std::vector< double >

input

)

set discount factors

This method change DF of the curve.

void julian::ir::InterpolatedCurve::setFwdRates

(

std::vector< double >

input

)

set forward rate

This method change the discount factor of the curve on the basis of forward rates provided.

void julian::ir::InterpolatedCurve::setFxSpot

(

double

input

)

set fx spot for the curve

Sets fx spot rate for a given curve

void julian::ir::InterpolatedCurve::setRates

(

std::vector< double >

input

)

set zero coupon rates

This method change the discount factor of the curve on the basis of zero coupon rates provided.

Friends And Related Function Documentation

std::ostream& operator<< ( std::ostream &  s, InterpolatedCurve &  c  )

friend

Overloads stream operator.

This overloaded operator enables to print the curve on the console.

Member Data Documentation

Calendar julian::ir::InterpolatedCurve::calendar_

private

Thanks to calendar outputs of the curve (DFs, ZCRs, etc) can be calculated only on the basis of provided tenor.

std::vector<Date> julian::ir::InterpolatedCurve::dates_

private

This vector represents grid dates of the curve.

std::vector<double> julian::ir::InterpolatedCurve::dfs_

private

InterpolatedCurve is represented by values of discount factors for each date.

SmartPointer<Extrapolator> julian::ir::InterpolatedCurve::extrapolator_

private

The extrapolator encapsulates the concept of extrapolating the curve outside the interval defined by last date of time grid.

double julian::ir::InterpolatedCurve::fx_spot_

private

Fx Spots allows to calculate two-currency instruments (Fx Forwards and CIRS).

SmartPointer<Interpolator> julian::ir::InterpolatedCurve::interpolator_

private

The interpolator encapsulates the concept of interpolation - getting the DF for dates that are not nodes of the time grid.

InterestRate julian::ir::InterpolatedCurve::rate_

private

The rate encapsulates the concept interest rate (year fraction and compounding).

Date julian::ir::InterpolatedCurve::today_

private

Today represent the date on which the curve is valid.

---

The documentation for this class was generated from the following files:

• C:/Unix/home/OEM/jULIAN/src/marketData/interestRateCurves/interpolatedCurve.hpp
• C:/Unix/home/OEM/jULIAN/src/marketData/interestRateCurves/interpolatedCurve.cpp