protected void initialize(Compounding compounding, Frequency frequency, Date refDate = null)
{
Utils.QL_REQUIRE(dates_.Count >= interpolator_.requiredPoints, () => "not enough input dates given");
Utils.QL_REQUIRE(data_.Count == dates_.Count, () => "dates/yields count mismatch");
times_ = new List <double>(dates_.Count);
double offset = 0.0;
if (refDate != null)
{
offset = dayCounter().yearFraction(refDate, dates_[0]);
}
times_.Add(offset);
if (compounding != Compounding.Continuous)
{
// We also have to convert the first rate.
// The first time is 0.0, so we can't use it.
// We fall back to about one day.
double dt = 1.0 / 365;
InterestRate r = new InterestRate(data_[0], dayCounter(), compounding, frequency);
data_[0] = r.equivalentRate(Compounding.Continuous, Frequency.NoFrequency, dt).value();
#if !QL_NEGATIVE_RATES
Utils.QL_REQUIRE(data_[0] > 0.0, () => "non-positive yield");
#endif
}
for (int i = 1; i < dates_.Count; i++)
{
Utils.QL_REQUIRE(dates_[i] > dates_[i - 1], () => "invalid date (" + dates_[i] + ", vs " + dates_[i - 1] + ")");
times_.Add(dayCounter().yearFraction(refDate ?? dates_[0], dates_[i]));
Utils.QL_REQUIRE(!Utils.close(times_[i], times_[i - 1]), () =>
"two dates correspond to the same time " +
"under this curve's day count convention");
// adjusting zero rates to match continuous compounding
if (compounding != Compounding.Continuous)
{
InterestRate r = new InterestRate(data_[i], dayCounter(), compounding, frequency);
data_[i] = r.equivalentRate(Compounding.Continuous, Frequency.NoFrequency, times_[i]).value();
}
#if !QL_NEGATIVE_RATES
Utils.QL_REQUIRE(data_[i] > 0.0, () => "non-positive yield");
// positive yields are not enough to ensure non-negative fwd rates
// so here's a stronger requirement
Utils.QL_REQUIRE(data_[i] * times_[i] - data_[i - 1] * times_[i - 1] >= 0.0,
() => "negative forward rate implied by the zero yield " + data_[i] + " at " + dates_[i] +
" (t=" + times_[i] + ") after the zero yield " +
data_[i - 1] + " at " + dates_[i - 1] +
" (t=" + times_[i - 1] + ")");
#endif
}
setupInterpolation();
interpolation_.update();
}
protected override double zeroYieldImpl(double t)
{
double zeroRate1 = curve1_.link.zeroRate(t, comp_, freq_, true).rate();
double zeroRate2 = curve2_.link.zeroRate(t, comp_, freq_, true).rate();
InterestRate compositeRate = new InterestRate(f_(zeroRate1, zeroRate2), dayCounter(), comp_, freq_);
return(compositeRate.equivalentRate(Compounding.Continuous, Frequency.NoFrequency, t).value());
}
protected override double zeroYieldImpl(double t)
{
double spread = calcSpread(t);
InterestRate zeroRate = originalCurve_.link.zeroRate(t, compounding_, frequency_, true);
InterestRate spreadedRate = new InterestRate(zeroRate.value() + spread,
zeroRate.dayCounter(),
zeroRate.compounding(),
zeroRate.frequency());
return(spreadedRate.equivalentRate(Compounding.Continuous, Frequency.NoFrequency, t).value());
}
/// <summary>
/// Convert a conventional spread to a reference yield curve to a
/// continuous spread
/// </summary>
/// <param name="oas"></param>
/// <param name="b"></param>
/// <param name="yts"></param>
/// <param name="dayCounter"></param>
/// <param name="compounding"></param>
/// <param name="frequency"></param>
/// <returns></returns>
private double convToContinuous(double oas,
Bond b,
Handle <YieldTermStructure> yts,
DayCounter dayCounter,
Compounding compounding,
Frequency frequency)
{
double zz = yts.link.zeroRate(b.maturityDate(), dayCounter, compounding, frequency).value();
InterestRate baseRate = new InterestRate(zz, dayCounter, compounding, frequency);
InterestRate spreadedRate = new InterestRate(oas + zz, dayCounter, compounding, frequency);
double br = baseRate.equivalentRate(dayCounter, Compounding.Continuous, Frequency.NoFrequency, yts.link.referenceDate(), b.maturityDate()).rate();
double sr = spreadedRate.equivalentRate(dayCounter, Compounding.Continuous, Frequency.NoFrequency, yts.link.referenceDate(), b.maturityDate()).rate();
// Return the spread
return(sr - br);
}