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Changeset 202

Timestamp:

06/05/08 19:08:46 (6 months ago)

Author:

snovik

Message:

New: Interpolation tests
New: More interpolation methods
New: LevenbergMarquardt? optimisation (in progress)
New: QL 15018 (work in progress)
Changed: Some code-cleaning on bootstrapping

Files:

trunk/QLNet/QLNet.vsmdi (modified) (2 diffs)
trunk/QLNet/QLNet/Math/Interpolation.cs (modified) (3 diffs)
trunk/QLNet/QLNet/Math/Interpolations/CubicInterpolation.cs (modified) (3 diffs)
trunk/QLNet/QLNet/Math/Interpolations/backwardflatinterpolation.cs (added)
trunk/QLNet/QLNet/Math/Interpolations/convexmonotoneinterpolation.cs (added)
trunk/QLNet/QLNet/Math/Interpolations/forwardflatinterpolation.cs (added)
trunk/QLNet/QLNet/Math/Interpolations/multicubicspline.cs (added)
trunk/QLNet/QLNet/Math/Interpolations/sabrinterpolation.cs (added)
trunk/QLNet/QLNet/Math/Optimization/levenbergmarquardt.cs (added)
trunk/QLNet/QLNet/Math/Optimization/lmdif.cs (added)
trunk/QLNet/QLNet/Math/integrals/simpsonintegral.cs (added)
trunk/QLNet/QLNet/Math/integrals/trapezoidintegral.cs (added)
trunk/QLNet/QLNet/QLNet.csproj (modified) (3 diffs)
trunk/QLNet/QLNet/Termstructures/Bootstraperror.cs (modified) (1 diff)
trunk/QLNet/QLNet/Termstructures/Bootstraphelper.cs (modified) (1 diff)
trunk/QLNet/QLNet/Termstructures/Iterativebootstrap.cs (modified) (4 diffs)
trunk/QLNet/QLNet/Termstructures/Yield/PiecewiseYieldCurve.cs (modified) (7 diffs)
trunk/QLNet/QLNet/Termstructures/localbootstrap.cs (added)
trunk/QLNet/Test2008/T_Interpolations.cs (added)
trunk/QLNet/Test2008/T_Piecewiseyieldcurve.cs (modified) (6 diffs)
trunk/QLNet/Test2008/Test2008.csproj (modified) (1 diff)

Legend:

: Unmodified
: Added
: Removed
: Modified
: Copied
: Moved

trunk/QLNet/QLNet.vsmdi

r199	r202
28	28	<TestLink id="3d6c3b62-4724-675b-23d4-47989e70e293" name="testLRBinomialEngines" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
29	29	<TestLink id="c634bf0e-7e2c-5908-d535-0d29df99b963" name="testEQPBinomialEngines" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	30	</TestLinks>
	31	</TestList>
	32	<TestList name="Interpolations" id="6c850207-24f9-4759-a03b-f6bd1598cae7" parentListId="8c43106b-9dc1-4907-a29f-aa66a61bf5b6">
	33	<TestLinks>
	34	<TestLink id="013d24e4-afd3-db12-eb66-7e64ca4f1139" name="testSplineOnRPN15AValues" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	35	<TestLink id="1ef1148e-88a3-f814-99cb-a7af6bd40cac" name="testForwardFlat" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	36	<TestLink id="ff5e5f35-412d-4921-c02d-078965669fbb" name="testAsFunctor" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	37	<TestLink id="27b002f6-e817-5440-bdb6-415bc2a07d84" name="testBackwardFlat" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	38	<TestLink id="5e0a8cf6-5ecb-3988-77cb-1408470c0c79" name="testSimmetricEndConditions" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	39	<TestLink id="5d82722c-95c4-0f3e-007e-8fe11b6247ab" name="testNonRestrictiveHymanFilter" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	40	<TestLink id="81819301-dea7-5865-26c2-d526c9ea96e2" name="testSplineErrorOnGaussianValues" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	41	<TestLink id="4d4733e1-3186-bfe0-5834-d791f70989d0" name="testDerivativeEndConditions" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	42	<TestLink id="7580c3ac-9665-58cb-9817-6d2a78af1641" name="testSplineOnGaussianValues" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	43	<TestLink id="570f8ca9-82ab-3192-9b06-be2672a3ae3d" name="testSplineOnGenericValues" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
30	44	</TestLinks>
31	45	</TestList>
…	…
74	88	<TestList name="PiecewiseYieldCurve" id="db6f77ff-70a4-4779-821e-8f5548c91d54" parentListId="8c43106b-9dc1-4907-a29f-aa66a61bf5b6">
75	89	<TestLinks>
	90	<TestLink id="388385b3-7adb-345f-3889-6bb251cc8534" name="testLinearForwardConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	91	<TestLink id="7b66dffe-f838-19e6-54b9-2d30645b0501" name="testLogLinearDiscountConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	92	<TestLink id="56925441-bb1d-00d2-1f1b-030dfeaa3048" name="testLinearDiscountConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	93	<TestLink id="561fa88b-37bb-98f4-4628-a77e4d9a9cd6" name="testFlatForwardConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	94	<TestLink id="c1eb7a21-2e89-2c67-d40b-f6ad422def58" name="testLogLinearZeroConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	95	<TestLink id="d0a4985d-c3d0-7f0b-42cf-1f5a8b45bff4" name="testLogCubicDiscountConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	96	<TestLink id="bad5af99-6228-d0eb-b51f-d1568cb399b5" name="testConvexMonotoneForwardConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	97	<TestLink id="05e8bb09-b9c7-65f3-dbc2-8539b17dd117" name="testSplineZeroConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	98	<TestLink id="4bcf3c17-3471-0971-a4dd-d7a19bd23019" name="testSplineForwardConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	99	<TestLink id="ef62ddb1-2d60-38aa-e6b5-1fa2091c548c" name="testLinearZeroConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	100	<TestLink id="af05efc7-7a38-bc81-5740-41720115b250" name="testLocalBootstrapConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
76	101	<TestLink id="b61b2dd1-c391-ff6e-c17b-a16304449f43" name="testObservability" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
77		<TestLink id="7b66dffe-f838-19e6-54b9-2d30645b0501" name="testLogLinearDiscountConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
78		<TestLink id="d0a4985d-c3d0-7f0b-42cf-1f5a8b45bff4" name="testLogCubicDiscountConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
79		<TestLink id="56925441-bb1d-00d2-1f1b-030dfeaa3048" name="testLinearDiscountConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
80		<TestLink id="ef62ddb1-2d60-38aa-e6b5-1fa2091c548c" name="testLinearZeroConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
81		<TestLink id="c1eb7a21-2e89-2c67-d40b-f6ad422def58" name="testLogLinearZeroConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
82		<TestLink id="388385b3-7adb-345f-3889-6bb251cc8534" name="testLinearForwardConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
83	102	</TestLinks>
84	103	</TestList>

trunk/QLNet/QLNet/Math/Interpolation.cs

r119	r202
34	34	}
35	35
36		public abstract class Interpolation : Extrapolator {
	36	public abstract class Interpolation : Extrapolator, IValue {
37	37	protected Impl impl_;
38	38
…	…
54	54	public double secondDerivative(double x, bool allowExtrapolation) {
55	55	checkRange(x,allowExtrapolation);
56		return impl_.derivative(x);
	56	return impl_.secondDerivative(x);
57	57	}
58	58
…	…
85	85
86	86	// abstract base class interface for interpolation implementations
87		protected interface Impl {
	87	protected interface Impl : IValue {
88	88	void update();
89	89	double xMin();

trunk/QLNet/QLNet/Math/Interpolations/CubicInterpolation.cs

r93	r202
63	63	\test to be adapted from old ones.
64	64	*/
65		public class CubicInterpolation : Interpolation {
	65	public class CubicInterpolation : Interpolation, IValue {
66	66	#region enums
67	67	public enum DerivativeApprox {
…	…
128	128
129	129	//public List<double> primitiveConstants() { return coeffs_.primitiveConst_; }
130		~~//public List<double> aCoefficients() { return coeffs_~~.a_; }
131		~~//public List<double> bCoefficients() { return coeffs_~~.b_; }
132		~~//public List<double> cCoefficients() { return coeffs_~~.c_; }
	130	public List<double> aCoefficients() { return ((CubicInterpolationImpl)impl_).a_; }
	131	public List<double> bCoefficients() { return ((CubicInterpolationImpl)impl_).b_; }
	132	public List<double> cCoefficients() { return ((CubicInterpolationImpl)impl_).c_; }
133	133	//public List<bool> monotonicityAdjustments() { return coeffs_.monotonicityAdjustments_; }
134	134	}
…	…
173	173	// b[i]*(x-x[i])^2 +
174	174	// c[i]*(x-x[i])^3
175		InitializedList<double> primitiveConst_, a_, b_, c_;
	175	public InitializedList<double> primitiveConst_, a_, b_, c_;
176	176	InitializedList<bool> monotonicityAdjustments_;
177	177

trunk/QLNet/QLNet/QLNet.csproj

r198	r202
144	144	<Compile Include="Math\integrals\Kronrodintegral.cs" />
145	145	<Compile Include="Math\integrals\Segmentintegral.cs" />
	146	<Compile Include="Math\integrals\simpsonintegral.cs" />
	147	<Compile Include="Math\integrals\trapezoidintegral.cs" />
	148	<Compile Include="Math\Interpolations\backwardflatinterpolation.cs" />
	149	<Compile Include="Math\Interpolations\convexmonotoneinterpolation.cs" />
146	150	<Compile Include="Math\Interpolations\CubicInterpolation.cs" />
147	151	<Compile Include="Math\Interpolations\Extrapolator.cs" />
148	152	<Compile Include="Math\Interpolation.cs" />
	153	<Compile Include="Math\Interpolations\forwardflatinterpolation.cs" />
149	154	<Compile Include="Math\Interpolations\Linearinterpolation.cs" />
150	155	<Compile Include="Math\Interpolations\Loginterpolation.cs" />
	156	<Compile Include="Math\Interpolations\multicubicspline.cs" />
	157	<Compile Include="Math\Interpolations\sabrinterpolation.cs" />
151	158	<Compile Include="Math\Matrix.cs" />
152	159	<Compile Include="Math\Optimization\ArmijoLineSearch.cs" />
…	…
155	162	<Compile Include="Math\Optimization\EndCriteria.cs" />
156	163	<Compile Include="Math\Optimization\LeastSquareProblem.cs" />
	164	<Compile Include="Math\Optimization\levenbergmarquardt.cs" />
157	165	<Compile Include="Math\Optimization\LineSearch.cs" />
158	166	<Compile Include="Math\Optimization\LineSearchBasedMethod.cs" />
…	…
290	298	<Compile Include="Termstructures\InflationTermStructure.cs" />
291	299	<Compile Include="Termstructures\Iterativebootstrap.cs" />
	300	<Compile Include="Termstructures\localbootstrap.cs" />
292	301	<Compile Include="Termstructures\TermStructure.cs" />
293	302	<Compile Include="Termstructures\VolatilityTermStructure.cs" />

trunk/QLNet/QLNet/Termstructures/Bootstraperror.cs

r63	r202
24	24	namespace QLNet {
25	25	//! bootstrap error
26		public class BootstrapError<Traits, Interpolator> : ISolver1d
27		where Traits : ITraits, new()
28		where Interpolator : IInterpolationFactory, new() {
29		private PiecewiseYieldCurve<Traits, Interpolator> curve_;
	26	public class BootstrapError<T, I, B> : ISolver1d
	27	where T : ITraits, new()
	28	where I : IInterpolationFactory, new()
	29	where B : IBootStrap, new() {
	30
	31	private PiecewiseYieldCurve<T, I, B> curve_;
30	32	private BootstrapHelper<YieldTermStructure> helper_;
31	33	private int segment_;
32	34
33		public BootstrapError(PiecewiseYieldCurve<T~~raits, Interpolator~~> curve, BootstrapHelper<YieldTermStructure> helper, int segment) {
	35	public BootstrapError(PiecewiseYieldCurve<T, I, B> curve, BootstrapHelper<YieldTermStructure> helper, int segment) {
34	36	curve_ = curve;
35	37	helper_ = helper;

trunk/QLNet/QLNet/Termstructures/Bootstraphelper.cs

r63	r202
24	24	namespace QLNet {
25	25	public interface IBootStrap {
26		void setup(YieldTermStructure ts);
27		void calculate();
	26	void setup<T, I, B>(PiecewiseYieldCurve<T, I, B> ts)
	27	where T : ITraits, new()
	28	where I : IInterpolationFactory, new()
	29	where B : IBootStrap, new();
	30	void calculate<T, I, B>()
	31	where T : ITraits, new()
	32	where I : IInterpolationFactory, new()
	33	where B : IBootStrap, new();
28	34	}
29	35

trunk/QLNet/QLNet/Termstructures/Iterativebootstrap.cs

r167	r202
24	24	namespace QLNet {
25	25	//! Universal piecewise-term-structure boostrapper.
26		public class IterativeBootstrap<Traits, Interpolator> : IBootStrap
27		where Traits : ITraits, new()
28		where Interpolator : IInterpolationFactory, new() {
	26	public class IterativeBootstrap : IBootStrap {
29	27
30	28	private bool validCurve_ = false;
31		// define as whatever, actual genrics are not important
32		private PiecewiseYieldCurve<Traits, Interpolator> ts_;
	29	private object tsContainer_; // yes, it is a workaround
33	30
34		public void setup(YieldTermStructure ts) {
35		ts_ = ts as PiecewiseYieldCurve<Traits, Interpolator>;
	31	public void setup<T, I, B>(PiecewiseYieldCurve<T, I, B> ts)
	32	where T : ITraits, new()
	33	where I : IInterpolationFactory, new()
	34	where B : IBootStrap, new() {
	35
	36	tsContainer_ = ts;
	37	PiecewiseYieldCurve<T, I, B> ts_ = tsContainer_ as PiecewiseYieldCurve<T, I, B>;
36	38
37	39	int n = ts_.instruments_.Count;
…	…
45	47	}
46	48
47		public void calculate() {
	49	public void calculate<T, I, B>()
	50	where T : ITraits, new()
	51	where I : IInterpolationFactory, new()
	52	where B : IBootStrap, new() {
	53
	54	PiecewiseYieldCurve<T, I, B> ts_ = tsContainer_ as PiecewiseYieldCurve<T, I, B>;
	55
	56	//prepare instruments
48	57	int n = ts_.instruments_.Count;
	58
	59	// ensure rate helpers are sorted
	60	ts_.instruments_.Sort((x, y) => x.latestDate().CompareTo(y.latestDate()));
	61
	62	// check that there is no instruments with the same maturity
	63	for (int i = 1; i < n; ++i) {
	64	Date m1 = ts_.instruments_[i - 1].latestDate(),
	65	m2 = ts_.instruments_[i].latestDate();
	66	if (m1 == m2) throw new ArgumentException("two instruments have the same maturity (" + m1 + ")");
	67	}
	68
	69	// check that there is no instruments with invalid quote
	70	for (int i = 0; i < n; ++i)
	71	if (!ts_.instruments_[i].quoteIsValid())
	72	throw new ArgumentException("instrument " + i + " (maturity: " + ts_.instruments_[i].latestDate() +
	73	") has an invalid quote");
	74
	75	// setup instruments and register with them
	76	for (int i = 0; i < n; ++i) {
	77	// There is a significant interaction with observability.
	78	ts_.instruments_[i].setTermStructure(ts_);
	79	}
	80
	81	// calculate dates and times
	82	ts_.dates_ = new InitializedList<Date>(n + 1);
	83	ts_.times_ = new InitializedList<double>(n + 1);
	84	ts_.dates_[0] = ts_.initialDate(ts_);
	85	ts_.times_[0] = ts_.timeFromReference(ts_.dates_[0]);
	86	for (int i = 0; i < n; ++i) {
	87	ts_.dates_[i + 1] = ts_.instruments_[i].latestDate();
	88	ts_.times_[i + 1] = ts_.timeFromReference(ts_.dates_[i + 1]);
	89	}
49	90
50	91	// set initial guess only if the current curve cannot be used as guess
…	…
100	141	ts_.interpolation_.update();
101	142
102		try {
103		var error = new BootstrapError<T~~raits, Interpolator~~>(ts_, instrument, i);
	143	try {
	144	var error = new BootstrapError<T, I, B>(ts_, instrument, i);
104	145	double r = solver.solve(error, ts_.accuracy_, guess, min, max);
105	146	// redundant assignment (as it has been already performed by BootstrapError in solve procedure), but safe
…	…
107	148	} catch (Exception e) {
108	149	validCurve_ = false;
109		throw new ArgumentException(" iteration: " + iteration+1 +
	150	throw new ArgumentException(" iteration: " + iteration + 1 +
110	151	"could not bootstrap the " + i + " instrument, maturity " + ts_.dates_[i] +
111	152	": " + e.Message);

trunk/QLNet/QLNet/Termstructures/Yield/PiecewiseYieldCurve.cs

r93	r202
24	24	namespace QLNet {
25	25	public class PiecewiseYieldCurve<Traits, Interpolator>
26		: PiecewiseYieldCurve<Traits, Interpolator, IterativeBootstrap~~<Traits, Interpolator>~~>
	26	: PiecewiseYieldCurve<Traits, Interpolator, IterativeBootstrap>
27	27	where Traits : ITraits, new()
28	28	where Interpolator : IInterpolationFactory, new() {
…	…
71	71	public Interpolator interpolator_;
72	72
73		protected BootStrap bootstrap_ ~~= new BootStrap()~~;
	73	protected BootStrap bootstrap_;
74	74	#endregion
75	75
…	…
112	112	#region Constructors
113	113	public PiecewiseYieldCurve(Date referenceDate, List<BootstrapHelper<YieldTermStructure>> instruments, DayCounter dayCounter)
114		: this(referenceDate, instruments, dayCounter, new Handle<Quote>(), 1.0e-12, new Interpolator()) { }
	114	: this(referenceDate, instruments, dayCounter, new Handle<Quote>(), 1.0e-12, new Interpolator(), new BootStrap()) { }
115	115	public PiecewiseYieldCurve(Date referenceDate, List<BootstrapHelper<YieldTermStructure>> instruments,
116	116	DayCounter dayCounter, Handle<Quote> turnOfYearEffect)
117		: this(referenceDate, instruments, dayCounter, turnOfYearEffect, 1.0e-12, new Interpolator()) { }
	117	: this(referenceDate, instruments, dayCounter, turnOfYearEffect, 1.0e-12, new Interpolator(), new BootStrap()) { }
118	118	public PiecewiseYieldCurve(Date referenceDate, List<BootstrapHelper<YieldTermStructure>> instruments,
119	119	DayCounter dayCounter, Handle<Quote> turnOfYearEffect, double accuracy)
120		: this(referenceDate, instruments, dayCounter, turnOfYearEffect, accuracy, new Interpolator()) { }
	120	: this(referenceDate, instruments, dayCounter, turnOfYearEffect, accuracy, new Interpolator(), new BootStrap()) { }
121	121	public PiecewiseYieldCurve(Date referenceDate, List<BootstrapHelper<YieldTermStructure>> instruments,
122	122	DayCounter dayCounter, Handle<Quote> turnOfYearEffect, double accuracy, Interpolator i)
	123	: this(referenceDate, instruments, dayCounter, turnOfYearEffect, accuracy, i, new BootStrap()) { }
	124	public PiecewiseYieldCurve(Date referenceDate, List<BootstrapHelper<YieldTermStructure>> instruments,
	125	DayCounter dayCounter, Handle<Quote> turnOfYearEffect, double accuracy,
	126	Interpolator i, BootStrap bootstrap)
123	127	: base(referenceDate, new Calendar(), dayCounter) {
124	128	instruments_ = instruments;
…	…
126	130	accuracy_ = accuracy;
127	131	interpolator_ = i;
	132	bootstrap_ = bootstrap;
128	133
129	134	setTurnOfYear();
130	135	turnOfYearEffect_.registerWith(update);
131		bootstrap_.setup(this);
	136	bootstrap_.setup<Traits, Interpolator, BootStrap>(this);
132	137	}
133	138
…	…
140	145	public PiecewiseYieldCurve(int settlementDays, Calendar calendar, List<BootstrapHelper<YieldTermStructure>> instruments,
141	146	DayCounter dayCounter, Handle<Quote> turnOfYearEffect, double accuracy)
142		: this(settlementDays, calendar, instruments, dayCounter, turnOfYearEffect, accuracy, new Interpolator()) { }
	147	: this(settlementDays, calendar, instruments, dayCounter, turnOfYearEffect, accuracy,
	148	new Interpolator(), new BootStrap()) { }
143	149	public PiecewiseYieldCurve(int settlementDays, Calendar calendar, List<BootstrapHelper<YieldTermStructure>> instruments,
144		DayCounter dayCounter, Handle<Quote> turnOfYearEffect, double accuracy, Interpolator i)
	150	DayCounter dayCounter, Handle<Quote> turnOfYearEffect, double accuracy,
	151	Interpolator i, BootStrap bootstrap)
145	152	: base(settlementDays, calendar, dayCounter) {
146	153	instruments_ = instruments;
…	…
148	155	accuracy_ = accuracy;
149	156	interpolator_ = i;
	157	bootstrap_ = bootstrap;
150	158
151	159	setTurnOfYear();
152	160	turnOfYearEffect_.registerWith(update);
153		bootstrap_.setup(this);
	161	bootstrap_.setup<Traits, Interpolator, BootStrap>(this);
154	162	}
155	163	#endregion
…	…
185	193
186	194	protected override void performCalculations() {
187		~~// this code was origionally in IterativeBootStrap but it does not make sense to have it there~~
188		~~// because it relies too much on this class~~
189
190		~~//prepare instruments~~
191		~~int n = instruments_.Count;~~
192
193		~~// ensure rate helpers are sorted~~
194		~~instruments_.Sort((x, y) => x.latestDate().CompareTo(y.latestDate()));~~
195
196		~~// check that there is no instruments with the same maturity~~
197		~~for (int i = 1; i < n; ++i) {~~
198		~~Date m1 = instruments_[i - 1].latestDate(),~~
199		~~m2 = instruments_[i].latestDate();~~
200		~~if (m1 == m2) throw new ArgumentException("two instruments have the same maturity (" + m1 + ")");~~
201		}
202
203		~~// check that there is no instruments with invalid quote~~
204		~~for (int i = 0; i < n; ++i)~~
205		~~if (!instruments_[i].quoteIsValid())~~
206		~~throw new ArgumentException("instrument " + i + " (maturity: " + instruments_[i].latestDate() +~~
207		~~") has an invalid quote");~~
208
209		~~// setup instruments and register with them~~
210		~~for (int i = 0; i < n; ++i) {~~
211		~~// There is a significant interaction with observability.~~
212		~~instruments_[i].setTermStructure(this);~~
213		}
214
215		~~// calculate dates and times~~
216		~~dates_ = new InitializedList<Date>(n + 1);~~
217		~~times_ = new InitializedList<double>(n + 1);~~
218		~~dates_[0] = initialDate(this);~~
219		~~times_[0] = timeFromReference(dates_[0]);~~
220		~~for (int i = 0; i < n; ++i) {~~
221		~~dates_[i + 1] = instruments_[i].latestDate();~~
222		~~times_[i + 1] = timeFromReference(dates_[i + 1]);~~
223		}
224
225		~~// now comes the bootstrapping~~
226	195	// just delegate to the bootstrapper
227		bootstrap_.calculate();
	196	bootstrap_.calculate<Traits, Interpolator, BootStrap>();
228	197	}
229	198	}

trunk/QLNet/Test2008/T_Piecewiseyieldcurve.cs

r189	r202
23	23	using QLNet;
24	24
25		namespace TestSuite
26		{
27		[TestClass()]
28		public class T_Piecewiseyieldcurve
29		{
30		public class CommonVars
31		{
32		#region Values
33		public struct Datum
34		{
35		public int n;
36		public TimeUnit units;
37		public double rate;
38		};
39		public struct BondDatum
40		{
41		public int n;
42		public TimeUnit units;
43		public int length;
44		public Frequency frequency;
45		public double coupon;
46		public double price;
47		};
48
49		public Datum[] depositData = new Datum[] {
	25	namespace TestSuite {
	26	[TestClass()]
	27	public class T_Piecewiseyieldcurve {
	28	public class CommonVars {
	29	#region Values
	30	public struct Datum {
	31	public int n;
	32	public TimeUnit units;
	33	public double rate;
	34	};
	35	public struct BondDatum {
	36	public int n;
	37	public TimeUnit units;
	38	public int length;
	39	public Frequency frequency;
	40	public double coupon;
	41	public double price;
	42	};
	43
	44	public Datum[] depositData = new Datum[] {
50	45	new Datum { n = 1, units = TimeUnit.Weeks, rate = 4.559 },
51	46	new Datum { n = 1, units = TimeUnit.Months, rate = 4.581 },
…	…
56	51	};
57	52
58		public Datum[] fraData = new Datum[] {
	53	public Datum[] fraData = new Datum[] {
59	54	new Datum { n = 1, units = TimeUnit.Months, rate = 4.581 },
60	55	new Datum { n = 2, units = TimeUnit.Months, rate = 4.573 },
…	…
64	59	};
65	60
66		public Datum[] swapData = new Datum[] {
	61	public Datum[] swapData = new Datum[] {
67	62	new Datum { n = 1, units = TimeUnit.Years, rate = 4.54 },
68	63	new Datum { n = 2, units = TimeUnit.Years, rate = 4.63 },
…	…
82	77	};
83	78
84		public BondDatum[] bondData = new BondDatum[] {
	79	public BondDatum[] bondData = new BondDatum[] {
85	80	new BondDatum { n = 6, units = TimeUnit.Months, length = 5, frequency = Frequency.Semiannual, coupon = 4.75, price = 101.320 },
86	81	new BondDatum { n = 1, units = TimeUnit.Years, length = 3, frequency = Frequency.Semiannual, coupon = 2.75, price = 100.590 },
…	…
90	85	};
91	86
92		public Datum[] bmaData = new Datum[] {
	87	public Datum[] bmaData = new Datum[] {
93	88	new Datum { n = 1, units = TimeUnit.Years, rate = 67.56 },
94	89	new Datum { n = 2, units = TimeUnit.Years, rate = 68.00 },
…	…
102	97	new Datum { n = 30, units = TimeUnit.Years, rate = 73.81 }
103	98	};
104		#endregion
105
106		// global variables
107		public Calendar calendar;
108		public int settlementDays;
109		public Date today, settlement;
110		public BusinessDayConvention fixedLegConvention;
111		public Frequency fixedLegFrequency;
112		public DayCounter fixedLegDayCounter;
113		public int bondSettlementDays;
114		public DayCounter bondDayCounter;
115		public BusinessDayConvention bondConvention;
116		public double bondRedemption;
117		public Frequency bmaFrequency;
118		public BusinessDayConvention bmaConvention;
119		public DayCounter bmaDayCounter;
120
121		public int deposits, fras, swaps, bonds, bmas;
122		public List<SimpleQuote> rates, fraRates, prices, fractions;
123		public List<BootstrapHelper<YieldTermStructure>> instruments, fraHelpers, bondHelpers, bmaHelpers;
124		public List<Schedule> schedules;
125		public YieldTermStructure termStructure;
126
127		// cleanup
128		// SavedSettings backup = new SavedSettings();
129		// IndexHistoryCleaner cleaner;
130
131		// setup
132		public CommonVars()
133		{
134
135		//cleaner = new IndexHistoryCleaner();
136		////GC.Collect();
137		//// force garbage collection
138		//// garbage collection in .NET is rather weird and we do need when we run several tests in a row
139		//GC.Collect();
140
141		// data
142		calendar = new TARGET();
143		settlementDays = 2;
144		today = calendar.adjust(Date.Today);
145		Settings.setEvaluationDate(today);
146		settlement = calendar.advance(today, settlementDays, TimeUnit.Days);
147		fixedLegConvention = BusinessDayConvention.Unadjusted;
148		fixedLegFrequency = Frequency.Annual;
149		fixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
150		bondSettlementDays = 3;
151		bondDayCounter = new ActualActual();
152		bondConvention = BusinessDayConvention.Following;
153		bondRedemption = 100.0;
154		bmaFrequency = Frequency.Quarterly;
155		bmaConvention = BusinessDayConvention.Following;
156		bmaDayCounter = new ActualActual();
157
158		deposits = depositData.Length;
159		fras = fraData.Length;
160		swaps = swapData.Length;
161		bonds = bondData.Length;
162		bmas = bmaData.Length;
163
164		// market elements
165		rates = new List<SimpleQuote>(deposits + swaps);
166		fraRates = new List<SimpleQuote>(fras);
167		prices = new List<SimpleQuote>(bonds);
168		fractions = new List<SimpleQuote>(bmas);
169		for (int i = 0; i < deposits; i++)
170		{
171		rates.Add(new SimpleQuote(depositData[i].rate / 100));
172		}
173		for (int i = 0; i < swaps; i++)
174		{
175		rates.Add(new SimpleQuote(swapData[i].rate / 100));
176		}
177		for (int i = 0; i < fras; i++)
178		{
179		fraRates.Add(new SimpleQuote(fraData[i].rate / 100));
180		}
181		for (int i = 0; i < bonds; i++)
182		{
183		prices.Add(new SimpleQuote(bondData[i].price));
184		}
185		for (int i = 0; i < bmas; i++)
186		{
187		fractions.Add(new SimpleQuote(bmaData[i].rate / 100));
188		}
189
190		// rate helpers
191		instruments = new List<BootstrapHelper<YieldTermStructure>>(deposits + swaps);
192		fraHelpers = new List<BootstrapHelper<YieldTermStructure>>(fras);
193		bondHelpers = new List<BootstrapHelper<YieldTermStructure>>(bonds);
194		schedules = new List<Schedule>(bonds);
195		bmaHelpers = new List<BootstrapHelper<YieldTermStructure>>(bmas);
196
197		IborIndex euribor6m = new Euribor6M();
198		for (int i = 0; i < deposits; i++)
199		{
200		Handle<Quote> r = new Handle<Quote>(rates[i]);
201		instruments.Add(new DepositRateHelper(r, new Period(depositData[i].n, depositData[i].units),
202		euribor6m.fixingDays(), calendar,
203		euribor6m.businessDayConvention(),
204		euribor6m.endOfMonth(),
205		euribor6m.dayCounter()));
206		}
207		for (int i = 0; i < swaps; i++)
208		{
209		Handle<Quote> r = new Handle<Quote>(rates[i + deposits]);
210		instruments.Add(new SwapRateHelper(r, new Period(swapData[i].n, swapData[i].units), calendar,
211		fixedLegFrequency, fixedLegConvention, fixedLegDayCounter, euribor6m));
212		}
213
214		Euribor3M euribor3m = new Euribor3M();
215		for (int i = 0; i < fras; i++)
216		{
217		Handle<Quote> r = new Handle<Quote>(fraRates[i]);
218		fraHelpers.Add(new FraRateHelper(r, fraData[i].n, fraData[i].n + 3,
219		euribor3m.fixingDays(),
220		euribor3m.fixingCalendar(),
221		euribor3m.businessDayConvention(),
222		euribor3m.endOfMonth(),
223		euribor3m.dayCounter()));
224		}
225
226		for (int i = 0; i < bonds; i++)
227		{
228		Handle<Quote> p = new Handle<Quote>(prices[i]);
229		Date maturity = calendar.advance(today, bondData[i].n, bondData[i].units);
230		Date issue = calendar.advance(maturity, -bondData[i].length, TimeUnit.Years);
231		List<double> coupons = new List<double>() { bondData[i].coupon / 100.0 };
232		schedules.Add(new Schedule(issue, maturity, new Period(bondData[i].frequency), calendar,
233		bondConvention, bondConvention, DateGeneration.Rule.Backward, false));
234		bondHelpers.Add(new FixedRateBondHelper(p, bondSettlementDays, bondRedemption, schedules[i],
235		coupons, bondDayCounter, bondConvention, bondRedemption, issue));
236		}
237		}
238		}
239
240		[TestMethod()]
241		public void testLogCubicDiscountConsistency()
242		{
243		// "Testing consistency of piecewise-log-cubic discount curve...");
244
245		CommonVars vars = new CommonVars();
246
247		testCurveConsistency<Discount, LogCubic>(vars,
248		new LogCubic(CubicInterpolation.DerivativeApprox.Spline, true,
249		CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
250		CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0));
251		testBMACurveConsistency<Discount, LogCubic>(vars,
252		new LogCubic(CubicInterpolation.DerivativeApprox.Spline, true,
253		CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
254		CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0));
255		}
256
257		[TestMethod()]
258		public void testLinearDiscountConsistency()
259		{
260		// "Testing consistency of piecewise-linear discount curve..."
261
262		CommonVars vars = new CommonVars();
263
264		testCurveConsistency<Discount, Linear>(vars);
265		testBMACurveConsistency<Discount, Linear>(vars);
266		}
267
268		[TestMethod()]
269		public void testLinearZeroConsistency()
270		{
271		// "Testing consistency of piecewise-linear zero-yield curve...");
272
273		CommonVars vars = new CommonVars();
274
275		testCurveConsistency<ZeroYield, Linear>(vars);
276		testBMACurveConsistency<ZeroYield, Linear>(vars);
277		}
278
279		[TestMethod()]
280		public void testLinearForwardConsistency()
281		{
282		// "Testing consistency of piecewise-linear forward-rate curve...");
283
284		CommonVars vars = new CommonVars();
285
286		testCurveConsistency<ForwardRate, Linear>(vars);
287		testBMACurveConsistency<ForwardRate, Linear>(vars);
288		}
289
290		[TestMethod()]
291		public void testLogLinearDiscountConsistency()
292		{
293		// "Testing consistency of piecewise-log-linear discount curve...");
294
295		CommonVars vars = new CommonVars();
296
297		testCurveConsistency<Discount, LogLinear>(vars);
298		testBMACurveConsistency<Discount, LogLinear>(vars);
299		}
300
301		[TestMethod()]
302		public void testLogLinearZeroConsistency()
303		{
304		// "Testing consistency of piecewise-log-linear zero-yield curve...");
305
306		CommonVars vars = new CommonVars();
307
308		testCurveConsistency<ZeroYield, LogLinear>(vars);
309		testBMACurveConsistency<ZeroYield, LogLinear>(vars);
310		}
311
312		[TestMethod()]
313		public void testObservability()
314		{
315		// "Testing observability of piecewise yield curve...");
316
317		CommonVars vars = new CommonVars();
318
319		vars.termStructure = new PiecewiseYieldCurve<Discount, LogLinear>(vars.settlementDays,
320		vars.calendar, vars.instruments, new Actual360());
321		Flag f = new Flag();
322		vars.termStructure.registerWith(f.update);
323
324		for (int i = 0; i < vars.deposits + vars.swaps; i++)
325		{
326		double testTime = new Actual360().yearFraction(vars.settlement, vars.instruments[i].latestDate());
327		double discount = vars.termStructure.discount(testTime);
	99	#endregion
	100
	101	// global variables
	102	public Calendar calendar;
	103	public int settlementDays;
	104	public Date today, settlement;
	105	public BusinessDayConvention fixedLegConvention;
	106	public Frequency fixedLegFrequency;
	107	public DayCounter fixedLegDayCounter;
	108	public int bondSettlementDays;
	109	public DayCounter bondDayCounter;
	110	public BusinessDayConvention bondConvention;
	111	public double bondRedemption;
	112	public Frequency bmaFrequency;
	113	public BusinessDayConvention bmaConvention;
	114	public DayCounter bmaDayCounter;
	115
	116	public int deposits, fras, swaps, bonds, bmas;
	117	public List<SimpleQuote> rates, fraRates, prices, fractions;
	118	public List<BootstrapHelper<YieldTermStructure>> instruments, fraHelpers, bondHelpers, bmaHelpers;
	119	public List<Schedule> schedules;
	120	public YieldTermStructure termStructure;
	121
	122	// cleanup
	123	// SavedSettings backup = new SavedSettings();
	124	// IndexHistoryCleaner cleaner;
	125
	126	// setup
	127	public CommonVars() {
	128
	129	//cleaner = new IndexHistoryCleaner();
	130	////GC.Collect();
	131	//// force garbage collection
	132	//// garbage collection in .NET is rather weird and we do need when we run several tests in a row
	133	//GC.Collect();
	134
	135	// data
	136	calendar = new TARGET();
	137	settlementDays = 2;
	138	today = calendar.adjust(Date.Today);
	139	Settings.setEvaluationDate(today);
	140	settlement = calendar.advance(today, settlementDays, TimeUnit.Days);
	141	fixedLegConvention = BusinessDayConvention.Unadjusted;
	142	fixedLegFrequency = Frequency.Annual;
	143	fixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
	144	bondSettlementDays = 3;
	145	bondDayCounter = new ActualActual();
	146	bondConvention = BusinessDayConvention.Following;
	147	bondRedemption = 100.0;
	148	bmaFrequency = Frequency.Quarterly;
	149	bmaConvention = BusinessDayConvention.Following;
	150	bmaDayCounter = new ActualActual();
	151
	152	deposits = depositData.Length;
	153	fras = fraData.Length;
	154	swaps = swapData.Length;
	155	bonds = bondData.Length;
	156	bmas = bmaData.Length;
	157
	158	// market elements
	159	rates = new List<SimpleQuote>(deposits + swaps);
	160	fraRates = new List<SimpleQuote>(fras);
	161	prices = new List<SimpleQuote>(bonds);
	162	fractions = new List<SimpleQuote>(bmas);
	163	for (int i = 0; i < deposits; i++) {
	164	rates.Add(new SimpleQuote(depositData[i].rate / 100