public void testCurveCopy <T, I>(CommonVars vars, I interpolator)
where T : ITraits <YieldTermStructure>, new()
where I : IInterpolationFactory, new()
{
PiecewiseYieldCurve <T, I> curve = new PiecewiseYieldCurve <T, I>(vars.settlement, vars.instruments,
new Actual360(),
new List <Handle <Quote> >(),
new List <Date>(),
1.0e-12,
interpolator);
// necessary to trigger bootstrap
curve.recalculate();
PiecewiseYieldCurve copiedCurve = curve.Clone() as PiecewiseYieldCurve;
// the two curves should be the same.
double t = 2.718;
var r1 = curve.zeroRate(t, Compounding.Continuous).value();
var r2 = copiedCurve.zeroRate(t, Compounding.Continuous).value();
if (!Utils.close(r1, r2))
{
QAssert.Fail("failed to link original and copied curve");
}
for (int i = 0; i < vars.rates.Count; ++i)
{
vars.rates[i].setValue(vars.rates[i].value() + 0.001);
}
// now the original curve should have changed; the copied
// curve should not.
double r3 = curve.zeroRate(t, Compounding.Continuous).value();
double r4 = copiedCurve.zeroRate(t, Compounding.Continuous).value();
if (Utils.close(r1, r3))
{
QAssert.Fail("failed to modify original curve");
}
if (!Utils.close(r2, r4))
{
QAssert.Fail("failed to break link between original and copied curve");
}
}
private YieldTermStructure Piecewisecurve(List <RateHelper> instruments)
{
YieldTermStructure yieldts; // = FastActivator<PiecewiseYieldCurve>.Create();
switch (_interpolationVariable)
{
case InterpolationVariable.Zero:
switch (_interpolationMethod)
{
case InterpolationMethod.Linear:
yieldts = new PiecewiseYieldCurve <ZeroYield, Linear>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
case InterpolationMethod.LogLinear:
yieldts = new PiecewiseYieldCurve <ZeroYield, LogLinear>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
case InterpolationMethod.NaturalCubic:
yieldts = new PiecewiseYieldCurve <ZeroYield, Cubic>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy,
new Cubic(CubicInterpolation.DerivativeApprox.Kruger, true, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0));
break;
case InterpolationMethod.FinancialCubic:
yieldts = new PiecewiseYieldCurve <ZeroYield, Cubic>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy,
new Cubic(CubicInterpolation.DerivativeApprox.Kruger, true, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0));
break;
case InterpolationMethod.ConvexMonotone:
yieldts = new PiecewiseYieldCurve <ZeroYield, ConvexMonotone>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
default:
Utils.QL_FAIL("Interpolation method not recognised.");
throw new Exception();
}
break;
case InterpolationVariable.Discount:
switch (_interpolationMethod)
{
case InterpolationMethod.Linear:
yieldts = new PiecewiseYieldCurve <Discount, Linear>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
case InterpolationMethod.LogLinear:
yieldts = new PiecewiseYieldCurve <Discount, LogLinear>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
case InterpolationMethod.NaturalCubic:
yieldts = new PiecewiseYieldCurve <Discount, Cubic>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy, new Cubic(CubicInterpolation.DerivativeApprox.Kruger, true, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0));
break;
case InterpolationMethod.FinancialCubic:
yieldts = new PiecewiseYieldCurve <Discount, Cubic>(
_asofDate, instruments, _zeroDayCounter, null, null, _accuracy,
new Cubic(CubicInterpolation.DerivativeApprox.Kruger, true, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0, CubicInterpolation.BoundaryCondition.FirstDerivative, 0.0));
break;
case InterpolationMethod.ConvexMonotone:
yieldts = new PiecewiseYieldCurve <Discount, ConvexMonotone>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
default:
Utils.QL_FAIL("Interpolation method not recognised.");
throw new Exception();
}
break;
case InterpolationVariable.Forward:
switch (_interpolationMethod)
{
case InterpolationMethod.Linear:
yieldts = new PiecewiseYieldCurve <ForwardRate, Linear>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
case InterpolationMethod.LogLinear:
yieldts = new PiecewiseYieldCurve <ForwardRate, LogLinear>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
case InterpolationMethod.NaturalCubic:
yieldts = new PiecewiseYieldCurve <ForwardRate, Cubic>(
_asofDate, instruments, _zeroDayCounter, null, null, _accuracy,
new Cubic(CubicInterpolation.DerivativeApprox.Kruger, true, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0));
break;
case InterpolationMethod.FinancialCubic:
yieldts = new PiecewiseYieldCurve <ForwardRate, Cubic>(
_asofDate, instruments, _zeroDayCounter, null, null, _accuracy,
new Cubic(CubicInterpolation.DerivativeApprox.Kruger, true, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0, CubicInterpolation.BoundaryCondition.FirstDerivative, 0.0));
break;
case InterpolationMethod.ConvexMonotone:
yieldts = new PiecewiseYieldCurve <ForwardRate, ConvexMonotone>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
default:
Utils.QL_FAIL("Interpolation method not recognised.");
throw new Exception();
}
break;
default:
Utils.QL_FAIL("Interpolation variable not recognised.");
throw new Exception();
}
// Build fixed zero/discount curve that matches the boostrapped curve
// initially, but does NOT react to quote changes: This is a workaround
// for a QuantLib problem, where a fixed reference date piecewise
// yield curve reacts to evaluation date changes because the bootstrap
// helper recompute their start date (because they are realtive date
// helper for deposits, fras, swaps, etc.).
InitializedList <Date> dates = new InitializedList <Date>(instruments.Count + 1, _asofDate);
InitializedList <double> zeros = new InitializedList <double>(instruments.Count + 1, 0.0);
InitializedList <double> discounts = new InitializedList <double>(instruments.Count + 1, 1.0);
InitializedList <double> forwards = new InitializedList <double>(instruments.Count + 1, 0.0);
if (_extrapolation)
{
yieldts.enableExtrapolation();
}
for (int i = 0; i < instruments.Count; i++)
{
dates[i + 1] = instruments[i].latestDate();
zeros[i + 1] = yieldts.zeroRate(dates[i + 1], _zeroDayCounter, Compounding.Continuous).value();
discounts[i + 1] = yieldts.discount(dates[i + 1]);
forwards[i + 1] = yieldts.forwardRate(dates[i + 1], dates[i + 1], _zeroDayCounter, Compounding.Continuous).value();
}
zeros[0] = zeros[1];
forwards[0] = forwards[1];
if (_interpolationVariable == InterpolationVariable.Zero)
{
_p = Zerocurve(dates, zeros, _zeroDayCounter);
}
else if (_interpolationVariable == InterpolationVariable.Discount)
{
_p = Discountcurve(dates, discounts, _zeroDayCounter);
}
else if (_interpolationVariable == InterpolationVariable.Forward)
{
_p = Forwardcurve(dates, forwards, _zeroDayCounter);
}
else
{
Utils.QL_FAIL("Interpolation variable not recognised.");
}
return(_p);
}