public InterpolatedForwardCurve(DayCounter dayCounter,
List <Handle <Quote> > jumps = null,
List <Date> jumpDates = null,
Interpolator interpolator = default(Interpolator))
: base(dayCounter, jumps, jumpDates)
{
interpolator_ = interpolator ?? FastActivator <Interpolator> .Create();
}
public InterpolatedZeroCurve(DayCounter dayCounter,
List <Handle <Quote> > jumps = null,
List <Date> jumpDates = null,
Interpolator interpolator = default(Interpolator))
: base(dayCounter, jumps, jumpDates)
{
interpolator_ = interpolator ?? new Interpolator();
}
public InterpolatedForwardCurve(Date referenceDate,
DayCounter dayCounter,
List <Handle <Quote> > jumps = null,
List <Date> jumpDates = null,
Interpolator interpolator = default(Interpolator))
: base(referenceDate, null, dayCounter, jumps, jumpDates)
{
interpolator_ = interpolator ?? new Interpolator();
}
public InterpolatedDiscountCurve(Date referenceDate,
DayCounter dayCounter,
List <Handle <Quote> > jumps = null,
List <Date> jumpDates = null,
Interpolator interpolator = default(Interpolator))
: base(referenceDate, null, dayCounter, jumps, jumpDates)
{
interpolator_ = interpolator ?? FastActivator <Interpolator> .Create();
}
public InterpolatedForwardCurve(int settlementDays,
Calendar calendar,
DayCounter dayCounter,
List <Handle <Quote> > jumps = null,
List <Date> jumpDates = null,
Interpolator interpolator = default(Interpolator))
: base(settlementDays, calendar, dayCounter, jumps, jumpDates)
{
interpolator_ = interpolator ?? FastActivator <Interpolator> .Create();
}
public InterpolatedZeroCurve(int settlementDays,
Calendar calendar,
DayCounter dayCounter,
List <Handle <Quote> > jumps = null,
List <Date> jumpDates = null,
Interpolator interpolator = default(Interpolator))
: base(settlementDays, calendar, dayCounter, jumps, jumpDates)
{
interpolator_ = interpolator ?? new Interpolator();
}
public InterpolatedForwardCurve(List <Date> dates,
List <double> forwards,
DayCounter dayCounter,
Interpolator interpolator)
: base(dates[0], null, dayCounter)
{
times_ = new List <double>();
data_ = forwards;
interpolator_ = interpolator;
dates_ = dates;
initialize();
}
public InterpolatedDiscountCurve(List <Date> dates,
List <double> discounts,
DayCounter dayCounter,
Interpolator interpolator)
: base(dates[0], null, dayCounter)
{
times_ = new List <double>();
dates_ = dates;
data_ = discounts;
interpolator_ = interpolator;
initialize();
}
/*! Protected version for use when descendents don't want to
* (or can't) provide the points for interpolation on
* construction.
*/
protected internal InterpolatedYoYInflationCurve(Date referenceDate,
Calendar calendar,
DayCounter dayCounter,
Period lag,
Frequency frequency,
bool indexIsInterpolated,
double baseZeroRate,
Handle <YieldTermStructure> yTS,
Interpolator interpolator = default(Interpolator))
: base(referenceDate, calendar, dayCounter, baseZeroRate, lag, frequency, indexIsInterpolated, yTS)
{
interpolator_ = interpolator ?? FastActivator <Interpolator> .Create();
}
//public InterpolatedDiscountCurve(List<Date> dates, List<double> discounts, DayCounter dayCounter,
// Calendar cal = Calendar(), Interpolator interpolator = Interpolator())
public InterpolatedDiscountCurve(List <Date> dates, List <double> discounts, DayCounter dayCounter,
Calendar cal, List <Handle <Quote> > jumps = null, List <Date> jumpDates = null,
Interpolator interpolator = default(Interpolator))
: base(dates.First(), cal, dayCounter, jumps, jumpDates)
{
times_ = new List <double>();
data_ = discounts;
interpolator_ = interpolator;
dates_ = dates;
if (dates_.empty())
{
throw new ApplicationException("no input dates given");
}
if (data_.empty())
{
throw new ApplicationException("no input discount factors given");
}
if (data_.Count != dates_.Count)
{
throw new ApplicationException("dates/discount factors count mismatch");
}
if (data_[0] != 1.0)
{
throw new ApplicationException("the first discount must be == 1.0 " +
"to flag the corrsponding date as settlement date");
}
times_ = new InitializedList <double>(dates_.Count - 1);
times_.Add(0.0);
for (int i = 1; i < dates_.Count; i++)
{
if (!(dates_[i] > dates_[i - 1]))
{
throw new ApplicationException("invalid date (" + dates_[i] + ", vs " + dates_[i - 1] + ")");
}
if (!(data_[i] > 0.0))
{
throw new ApplicationException("negative discount");
}
times_[i] = dayCounter.yearFraction(dates_[0], dates_[i]);
if (Utils.close(times_[i], times_[i - 1]))
{
throw new ApplicationException("two dates correspond to the same time " +
"under this curve's day count convention");
}
}
setupInterpolation();
interpolation_.update();
}
public InterpolatedForwardCurve(List <Date> dates,
List <double> forwards,
DayCounter dayCounter,
List <Handle <Quote> > jumps,
List <Date> jumpDates,
Interpolator interpolator = default(Interpolator))
: base(dates[0], null, dayCounter, jumps, jumpDates)
{
times_ = new List <double>();
dates_ = dates;
data_ = forwards;
interpolator_ = interpolator ?? new Interpolator();
initialize();
}
public InterpolatedZeroCurve(List <Date> dates,
List <double> yields,
DayCounter dayCounter,
Interpolator interpolator,
Compounding compounding = Compounding.Continuous,
Frequency frequency = Frequency.Annual)
: base(dates[0], null, dayCounter)
{
times_ = new List <double>();
dates_ = dates;
data_ = yields;
interpolator_ = interpolator;
initialize(compounding, frequency);
}
public InterpolatedDiscountCurve(List <Date> dates,
List <double> discounts,
DayCounter dayCounter,
List <Handle <Quote> > jumps,
List <Date> jumpDates,
Interpolator interpolator = default(Interpolator))
: base(dates[0], null, dayCounter, jumps, jumpDates)
{
times_ = new List <double>();
dates_ = dates;
data_ = discounts;
interpolator_ = interpolator ?? FastActivator <Interpolator> .Create();
initialize();
}
public InterpolatedDiscountCurve(List <Date> dates,
List <double> discounts,
DayCounter dayCounter,
Calendar calendar = null,
List <Handle <Quote> > jumps = null,
List <Date> jumpDates = null,
Interpolator interpolator = default(Interpolator))
: base(dates[0], calendar, dayCounter, jumps, jumpDates)
{
times_ = new List <double>();
dates_ = dates;
data_ = discounts;
interpolator_ = interpolator ?? new Interpolator();
initialize();
}
public InterpolatedForwardCurve(List <Date> dates,
List <double> forwards,
DayCounter dayCounter,
Calendar calendar = null,
List <Handle <Quote> > jumps = null,
List <Date> jumpDates = null,
Interpolator interpolator = default(Interpolator))
: base(dates[0], calendar, dayCounter, jumps, jumpDates)
{
times_ = new List <double>();
data_ = forwards;
interpolator_ = interpolator ?? FastActivator <Interpolator> .Create();
dates_ = dates;
initialize();
}
public InterpolatedZeroCurve(List <Date> dates,
List <double> yields,
DayCounter dayCounter,
Calendar calendar = null,
List <Handle <Quote> > jumps = null,
List <Date> jumpDates = null,
Interpolator interpolator = default(Interpolator),
Compounding compounding = Compounding.Continuous,
Frequency frequency = Frequency.Annual)
: base(dates[0], calendar, dayCounter, jumps, jumpDates)
{
times_ = new List <double>();
dates_ = dates;
data_ = yields;
interpolator_ = interpolator ?? new Interpolator();
initialize(compounding, frequency);
}
public InterpolatedForwardCurve(List <Date> dates, List <double> yields, DayCounter dayCounter, List <Handle <Quote> > jumps = null, List <Date> jumpDates = null, Interpolator interpolator = default(Interpolator))
: base(dates.First(), new Calendar(), dayCounter, jumps, jumpDates)
{
times_ = new List <double>();
dates_ = dates;
data_ = yields;
interpolator_ = interpolator;
if (!(dates_.Count > 1))
{
throw new ApplicationException("too few dates");
}
if (data_.Count != dates_.Count)
{
throw new ApplicationException("dates/yields count mismatch");
}
times_ = new List <double>(dates_.Count);
times_.Add(0.0);
for (int i = 1; i < dates_.Count; i++)
{
if (!(dates_[i] > dates_[i - 1]))
{
throw new ApplicationException("invalid date (" + dates_[i] + ", vs " + dates_[i - 1] + ")");
}
//#if !defined(QL_NEGATIVE_RATES)
//QL_REQUIRE(this->data_[i] >= 0.0, "negative forward");
//#endif
times_[i] = dayCounter.yearFraction(dates_[0], dates_[i]);
if (Utils.close(times_[i], times_[i - 1]))
{
throw new ApplicationException("two dates correspond to the same time " +
"under this curve's day count convention");
}
}
setupInterpolation();
interpolation_.update();
}
public LogInterpolationImpl(List <double> xBegin, int size, List <double> yBegin, IInterpolationFactory factory)
: base(xBegin, size, yBegin)
{
logY_ = new InitializedList <double>(size_);
interpolation_ = factory.interpolate(xBegin_, size, logY_);
}
