Changeset 207

Timestamp:

06/15/08 22:53:10 (5 months ago)

Author:

snovik

Message:

Fix: ConvexMonotone? interpolation + test of Bootstrapping with ConvexMonotone?

Files:

• trunk/QLNet/QLNet/Math/Interpolations/convexmonotoneinterpolation.cs (modified) (4 diffs)
• trunk/QLNet/QLNet/Termstructures/Iterativebootstrap.cs (modified) (7 diffs)
• trunk/QLNet/Test2008/T_Piecewiseyieldcurve.cs (modified) (1 diff)

trunk/QLNet/QLNet/Math/Interpolations/convexmonotoneinterpolation.cs

@@ -49 +49 @@
-        }
-        public double primitive(double x) {
+            double result = (quadraticity_ * quadraticHelper_.primitive(x) + (1.0 - quadraticity_) * convMonoHelper_.primitive(x));
-            return (quadraticity_ * quadraticHelper_.primitive(x) + (1.0 - quadraticity_) * convMonoHelper_.primitive(x));
-        }
@@ -618 +619 @@
-                return extrapolationHelper_.value(x);
-            }
-
+
+
+
+
+
+
+
+
+
-        }
-
@@ -625 +634 @@
-                return extrapolationHelper_.primitive(x);
-            }
-
+
+
+
+
+
+
+
+
+
-        }
-
@@ -718 +735 @@
-        public bool global { get { return true; } }
-        public int requiredPoints { get { return 2; } }
-
-
+
-    }
-}

trunk/QLNet/QLNet/Termstructures/Iterativebootstrap.cs

@@ -42 +42 @@
-                       (ts_.interpolator_.requiredPoints-1) + " required");
-
-
-
-
+
-        }
-
@@ -55 +53 @@
-
-            //prepare instruments
-
+, i
-
-            // ensure rate helpers are sorted
@@ -61 +59 @@
-
-            // check that there is no instruments with the same maturity
-nt i
+
-                Date m1 = ts_.instruments_[i - 1].latestDate(),
-                     m2 = ts_.instruments_[i].latestDate();
@@ -68 +66 @@
-
-            // check that there is no instruments with invalid quote
-for (int i = 0; i < n; ++i)
-    if (!ts_.instruments_[i].quoteIsValid()
-    
-    
+i = ts_.instruments_.FindIndex(x => !x.quoteIsValid());
+if (i != -1
+
+
-
-            // setup instruments and register with them
-
-
-
-
+
-
-            // calculate dates and times
@@ -84 +79 @@
-            ts_.dates_[0] = ts_.initialDate(ts_);
-            ts_.times_[0] = ts_.timeFromReference(ts_.dates_[0]);
-nt i
+
-                ts_.dates_[i + 1] = ts_.instruments_[i].latestDate();
-                ts_.times_[i + 1] = ts_.timeFromReference(ts_.dates_[i + 1]);
@@ -107 +102 @@
-                    ts_.interpolation_ = ts_.interpolator_.interpolate(ts_.times_, ts_.times_.Count, ts_.data_);
-                }
-nt i
+
-                    // calculate guess before extending interpolation to ensure that any extrapolation is performed
-                    // using the curve bootstrapped so far and no more
@@ -165 +160 @@
-                // exit conditions
-                double improvement = 0.0;
-nt i
+
-                    improvement = Math.Max(improvement, Math.Abs(ts_.data_[i]-previousData[i]));
-                if (improvement<=ts_.accuracy_)  // convergence reached

trunk/QLNet/Test2008/T_Piecewiseyieldcurve.cs

@@ -467 +467 @@
-        }
-
-
-//void PiecewiseYieldCurveTest::testLiborFixing() {
-
-//    BOOST_MESSAGE(
-//        "Testing use of today's LIBOR fixings in swap curve...");
-
-//    CommonVars vars;
-
-//    std::vector<boost::shared_ptr<RateHelper> > swapHelpers(vars.swaps);
-//    boost::shared_ptr<IborIndex> euribor6m(new Euribor6M);
-
-//    for (Size i=0; i<vars.swaps; i++) {
-//        Handle<Quote> r(vars.rates[i+vars.deposits]);
-//        swapHelpers[i] = boost::shared_ptr<RateHelper>(new
-//            SwapRateHelper(r, Period(swapData[i].n, swapData[i].units),
-//                           vars.calendar,
-//                           vars.fixedLegFrequency, vars.fixedLegConvention,
-//                           vars.fixedLegDayCounter, euribor6m));
-//    }
-
-//    vars.termStructure = boost::shared_ptr<YieldTermStructure>(new
-//        PiecewiseYieldCurve<Discount,LogLinear>(vars.settlement,
-//                                                swapHelpers,
-//                                                Actual360()));
-
-//    Handle<YieldTermStructure> curveHandle =
-//        Handle<YieldTermStructure>(vars.termStructure);
-
-//    boost::shared_ptr<IborIndex> index(new Euribor6M(curveHandle));
-//    for (Size i=0; i<vars.swaps; i++) {
-//        Period tenor = swapData[i].n*swapData[i].units;
-
-//        VanillaSwap swap = MakeVanillaSwap(tenor, index, 0.0)
-//            .withEffectiveDate(vars.settlement)
-//            .withFixedLegDayCount(vars.fixedLegDayCounter)
-//            .withFixedLegTenor(Period(vars.fixedLegFrequency))
-//            .withFixedLegConvention(vars.fixedLegConvention)
-//            .withFixedLegTerminationDateConvention(vars.fixedLegConvention);
-
-//        Rate expectedRate = swapData[i].rate/100,
-//             estimatedRate = swap.fairRate();
-//        Real tolerance = 1.0e-9;
-//        if (std::fabs(expectedRate-estimatedRate) > tolerance) {
-//            BOOST_ERROR("before LIBOR fixing:\n"
-//                        + swapData[i].n + " year(s) swap:\n"
-//                        + std::setprecision(8)
-//                        + "    estimated rate: "
-//                        + io::rate(estimatedRate) + "\n"
-//                        + "    expected rate:  "
-//                        + io::rate(expectedRate));
-//        }
-//    }
-
-//    Flag f;
-//    f.registerWith(vars.termStructure);
-//    f.lower();
-
-//    index->addFixing(vars.today, 0.0425);
-
-//    if (!f.isUp())
-//        BOOST_ERROR("Observer was not notified of rate fixing");
-
-//    for (Size i=0; i<vars.swaps; i++) {
-//        Period tenor = swapData[i].n*swapData[i].units;
-
-//        VanillaSwap swap = MakeVanillaSwap(tenor, index, 0.0)
-//            .withEffectiveDate(vars.settlement)
-//            .withFixedLegDayCount(vars.fixedLegDayCounter)
-//            .withFixedLegTenor(Period(vars.fixedLegFrequency))
-//            .withFixedLegConvention(vars.fixedLegConvention)
-//            .withFixedLegTerminationDateConvention(vars.fixedLegConvention);
-
-//        Rate expectedRate = swapData[i].rate/100,
-//             estimatedRate = swap.fairRate();
-//        Real tolerance = 1.0e-9;
-//        if (std::fabs(expectedRate-estimatedRate) > tolerance) {
-//            BOOST_ERROR("after LIBOR fixing:\n"
-//                        + swapData[i].n + " year(s) swap:\n"
-//                        + std::setprecision(8)
-//                        + "    estimated rate: "
-//                        + io::rate(estimatedRate) + "\n"
-//                        + "    expected rate:  "
-//                        + io::rate(expectedRate));
-//        }
-//    }
-//}
-
-        [TestMethod()]
-        public void testForwardRateDayCounter() {