public override void FromXML(XmlNode node)
{
CheckNode(node, "YieldCurve");
// Read in the mandatory nodes.
_curveID = GetChildValue(node, "CurveId", true);
_curveDescription = GetChildValue(node, "CurveDescription", true);
_currency = GetChildValue(node, "Currency", true);
_discountCurveID = GetChildValue(node, "DiscountCurve", true);
// Read in the segments.
XmlNode segmentsNode = GetChildNode(node, "Segments");
if (segmentsNode != null)
{
XmlNode child = GetChildNode(segmentsNode, "");
while (child != null)
{
YieldCurveSegment segment = new YieldCurveSegment();
string childName = GetNodeName(child);
if (childName == "Direct")
{
segment = new DirectYieldCurveSegment();
}
else if (childName == "Simple")
{
segment = new SimpleYieldCurveSegment();
}
else if (childName == "AverageOIS")
{
segment = new AverageOISYieldCurveSegment();
}
else if (childName == "TenorBasis")
{
segment = new TenorBasisYieldCurveSegment();
}
else if (childName == "CrossCurrency")
{
segment = new CrossCcyYieldCurveSegment();
}
else if (childName == "ZeroSpread")
{
segment = new ZeroSpreadedYieldCurveSegment();
}
else
{
Utils.QL_FAIL("Yield curve segment node name not recognized.");
}
if (segment != null)
{
try
{
segment.FromXML(child);
}
catch (Exception ex)
{
//ALOG("Exception parsing yield curve segment XML Node, name = " + childName + " and curveID = " + _curveID + " : " + ex.ToString();
}
}
else
{
//LOG("Unable to build yield curve segment for name = " << childName << " and curveID = " << curveID_);
}
_curveSegments.Add(segment);
child = GetNextSibling(child, "");
}
}
else
{
Utils.QL_FAIL("No Segments node in XML doc for yield curve ID = " + _curveID);
}
// Read in the optional nodes.
// Empty strings if not there (or if there and empty).
_interpolationVariable = GetChildValue(node, "InterpolationVariable", false);
_interpolationMethod = GetChildValue(node, "InterpolationMethod", false);
_zeroDayCounter = GetChildValue(node, "YieldCurveDayCounter", false);
// Add hardcoded defaults for now.
if (_interpolationVariable == "")
{
_interpolationVariable = "Discount";
}
if (_interpolationMethod == "")
{
_interpolationMethod = _interpolationVariable == "Zero" ? "Linear" : "LogLinear";
}
if (_zeroDayCounter == "")
{
_zeroDayCounter = "A365";
}
XmlNode nodeToTest = GetChildNode(node, "Extrapolation");
if (nodeToTest != null)
{
_extrapolation = GetChildValueAsBool(node, "Extrapolation", false);
}
else
{
_extrapolation = true;
}
nodeToTest = GetChildNode(node, "Tolerance");
if (nodeToTest != null)
{
_tolerance = GetChildValueAsDouble(node, "Tolerance", false);
}
else
{
_tolerance = 1.0e-12;
}
PopulateRequiredYieldCurveIDs();
}
private void BuildDiscountCurve()
{
Utils.QL_REQUIRE(_curveSegments.Count <= 1, () => "More than one zero curve segment not supported yet.");
Utils.QL_REQUIRE(_curveSegments[0].CurveSegmentType() == YieldCurveSegment.Type.Zero, () => "The curve segment is not of type Zero.");
// Fill a vector of zero quotes.
List <ZeroQuote> zeroQuotes = new List <ZeroQuote>();
DirectYieldCurveSegment zeroCurveSegment = _curveSegments[0] as DirectYieldCurveSegment;
List <string> zeroQuoteIDs = zeroCurveSegment.Quotes();
for (int i = 0; i < zeroQuoteIDs.Count; ++i)
{
MarketDatum marketQuote = _loader.Get(zeroQuoteIDs[i], _asofDate);
if (marketQuote != null)
{
Utils.QL_REQUIRE(marketQuote.GetInstrumentType() == MarketDatum.InstrumentType.ZERO, () => "Market quote not of type zero.");
ZeroQuote zeroQuote = marketQuote as ZeroQuote;
zeroQuotes.Add(zeroQuote);
}
else
{
Utils.QL_FAIL("Could not find quote for ID " + zeroQuoteIDs[i] + " with as of date " + _asofDate + ".");
}
}
// Create the (date, zero) pairs.
Dictionary <Date, double> data = new Dictionary <Date, double>();
Convention convention = _conventions.Get(_curveSegments[0].ConventionsID());
Utils.QL_REQUIRE(convention != null, () => "No conventions found with ID: " + _curveSegments[0].ConventionsID());
Utils.QL_REQUIRE(convention.ConventionType() == Convention.Type.Zero, () => "Conventions ID does not give zero rate conventions.");
ZeroRateConvention zeroConvention = convention as ZeroRateConvention;
DayCounter quoteDayCounter = zeroConvention.DayCounter();
for (int i = 0; i < zeroQuotes.Count; ++i)
{
Utils.QL_REQUIRE(quoteDayCounter == zeroQuotes[i].DayCounter(), () => "The day counter should be the same between the conventions and the quote.");
if (!zeroQuotes[i].TenorBased())
{
data[zeroQuotes[i].Date()] = zeroQuotes[i].Quote().link.value();
}
else
{
Utils.QL_REQUIRE(zeroConvention.TenorBased(), () => "Using tenor based zero rates without tenor based zero rate conventions.");
Date zeroDate = _asofDate;
if (zeroConvention.SpotLag() > 0)
{
}
zeroDate = zeroConvention.SpotCalendar().advance(zeroDate, new Period(zeroConvention.SpotLag(), TimeUnit.Days));
zeroDate = zeroConvention.TenorCalendar().advance(zeroDate, zeroQuotes[i].Tenor(), zeroConvention.RollConvention(), zeroConvention.Eom());
data[zeroDate] = zeroQuotes[i].Quote().link.value();
}
}
Utils.QL_REQUIRE(data.Count > 0, () => "No market data found for curve spec " + _curveSpec.Name() + " with as of date " + _asofDate);
// \todo review - more flexible (flat vs. linear extrap)?
if (data.Keys.First() > _asofDate)
{
double rate = data.Values.First();
data[_asofDate] = rate;
//LOG("Insert zero curve point at time zero for " + curveSpec_.name() + ": "+ "date " + _asofDate + ", "+"zero " + data[_asofDate]);
}
Utils.QL_REQUIRE(data.Count > 1, () => "The single zero rate quote provided should be associated with a date greater than as of date.");
// First build temporary curves
List <Date> dates = new List <Date>();
List <double> zeroes = new List <double>();
List <double> discounts = new List <double>();
dates.Add(data.Keys.First());
zeroes.Add(data.Values.First());
discounts.Add(1.0);
Compounding zeroCompounding = zeroConvention.Compounding();
Frequency zeroCompoundingFreq = zeroConvention.CompoundingFrequency();
Dictionary <Date, double> it;
foreach (KeyValuePair <Date, double> kvp in data)
{
Date d = kvp.Key;
double r = kvp.Value;
dates.Add(d);
InterestRate tempRate = new InterestRate(r, quoteDayCounter, zeroCompounding, zeroCompoundingFreq);
double t = quoteDayCounter.yearFraction(_asofDate, d);
/* Convert zero rate to continuously compounded if necessary */
if (zeroCompounding == Compounding.Continuous)
{
zeroes.Add(r);
}
else
{
zeroes.Add(tempRate.equivalentRate(Compounding.Continuous, Frequency.Annual, t).value());
}
discounts.Add(tempRate.discountFactor(t));
//LOG("Add zero curve point for " + curveSpec_.name() + ": " + dates.Last() + " " + zeroes.Last() + " / " + discounts.Last());
}
Utils.QL_REQUIRE(dates.Count == zeroes.Count, () => "Date and zero vectors differ in size.");
Utils.QL_REQUIRE(dates.Count == discounts.Count, () => "Date and discount vectors differ in size.");
// Now build curve with requested conventions
if (_interpolationVariable == YieldCurve.InterpolationVariable.Zero)
{
YieldTermStructure tempCurve = Zerocurve(dates, zeroes, quoteDayCounter);
zeroes.Clear();
for (int i = 0; i < dates.Count; ++i)
{
double zero = tempCurve.zeroRate(dates[i], _zeroDayCounter, Compounding.Continuous).value();
zeroes.Add(zero);
}
_p = Zerocurve(dates, zeroes, _zeroDayCounter);
}
else if (_interpolationVariable == YieldCurve.InterpolationVariable.Discount)
{
YieldTermStructure tempCurve = Discountcurve(dates, discounts, quoteDayCounter);
discounts.Clear();
for (int i = 0; i < dates.Count; ++i)
{
double discount = tempCurve.discount(dates[i]);
discounts.Add(discount);
}
_p = Discountcurve(dates, discounts, _zeroDayCounter);
}
else
{
Utils.QL_FAIL("Unknown yield curve interpolation variable.");
}
}