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// -*- mode: C++; c-indent-level: 4; c-basic-offset: 4; indent-tabs-mode: nil; -*-
//
// RQuantLib -- R interface to the QuantLib libraries
//
// Copyright (C) 2005 - 2007 Dominick Samperi
// Copyright (C) 2007 - 2016 Dirk Eddelbuettel
//
// This file is part of RQuantLib.
//
// RQuantLib is free software: you can redistribute it and/or modify
// it under the terms of the GNU General Public License as published by
// the Free Software Foundation, either version 2 of the License, or
// (at your option) any later version.
//
// RQuantLib is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
// GNU General Public License for more details.
//
// You should have received a copy of the GNU General Public License
// along with RQuantLib. If not, see <http://www.gnu.org/licenses/>.
// [[Rcpp::interfaces(r, cpp)]]
#include <rquantlib.h>
// Database of interest rate instrument contract details.
ObservableDB::ObservableDB() {
db_["d1w"] = new RQLObservable(RQLDeposit, 1, 0, QuantLib::Weeks);
db_["d1m"] = new RQLObservable(RQLDeposit, 1, 0, QuantLib::Months);
db_["d2m"] = new RQLObservable(RQLDeposit, 2, 0, QuantLib::Months);
db_["d3m"] = new RQLObservable(RQLDeposit, 3, 0, QuantLib::Months);
db_["d6m"] = new RQLObservable(RQLDeposit, 6, 0, QuantLib::Months);
db_["d9m"] = new RQLObservable(RQLDeposit, 9, 0, QuantLib::Months);
db_["d1y"] = new RQLObservable(RQLDeposit, 1, 0, QuantLib::Years);
db_["s2y"] = new RQLObservable(RQLSwap, 2, 0, QuantLib::Years);
db_["s3y"] = new RQLObservable(RQLSwap, 3, 0, QuantLib::Years);
db_["s4y"] = new RQLObservable(RQLSwap, 4, 0, QuantLib::Years);
db_["s5y"] = new RQLObservable(RQLSwap, 5, 0, QuantLib::Years);
db_["s6y"] = new RQLObservable(RQLSwap, 6, 0, QuantLib::Years);
db_["s7y"] = new RQLObservable(RQLSwap, 7, 0, QuantLib::Years);
db_["s8y"] = new RQLObservable(RQLSwap, 8, 0, QuantLib::Years);
db_["s9y"] = new RQLObservable(RQLSwap, 9, 0, QuantLib::Years);
db_["s10y"] = new RQLObservable(RQLSwap, 10, 0, QuantLib::Years);
db_["s12y"] = new RQLObservable(RQLSwap, 12, 0, QuantLib::Years);
db_["s15y"] = new RQLObservable(RQLSwap, 15, 0, QuantLib::Years);
db_["s20y"] = new RQLObservable(RQLSwap, 20, 0, QuantLib::Years);
db_["s25y"] = new RQLObservable(RQLSwap, 25, 0, QuantLib::Years);
db_["s30y"] = new RQLObservable(RQLSwap, 30, 0, QuantLib::Years);
db_["s40y"] = new RQLObservable(RQLSwap, 40, 0, QuantLib::Years);
db_["s50y"] = new RQLObservable(RQLSwap, 50, 0, QuantLib::Years);
db_["s60y"] = new RQLObservable(RQLSwap, 60, 0, QuantLib::Years);
db_["s70y"] = new RQLObservable(RQLSwap, 70, 0, QuantLib::Years);
db_["s80y"] = new RQLObservable(RQLSwap, 80, 0, QuantLib::Years);
db_["s90y"] = new RQLObservable(RQLSwap, 90, 0, QuantLib::Years);
db_["s100y"] = new RQLObservable(RQLSwap, 100, 0, QuantLib::Years);
db_["fut1"] = new RQLObservable(RQLFuture, 1, 0, QuantLib::Months);
db_["fut2"] = new RQLObservable(RQLFuture, 2, 0, QuantLib::Months);
db_["fut3"] = new RQLObservable(RQLFuture, 3, 0, QuantLib::Months);
db_["fut4"] = new RQLObservable(RQLFuture, 4, 0, QuantLib::Months);
db_["fut5"] = new RQLObservable(RQLFuture, 5, 0, QuantLib::Months);
db_["fut6"] = new RQLObservable(RQLFuture, 6, 0, QuantLib::Months);
db_["fut7"] = new RQLObservable(RQLFuture, 7, 0, QuantLib::Months);
db_["fut8"] = new RQLObservable(RQLFuture, 8, 0, QuantLib::Months);
db_["fra3x6"] = new RQLObservable(RQLFRA, 3, 6, QuantLib::Months);
db_["fra6x9"] = new RQLObservable(RQLFRA, 6, 9, QuantLib::Months);
db_["fra6x12"] = new RQLObservable(RQLFRA, 6, 12, QuantLib::Months);
}
// Get RateHelper used to build the yield curve corresponding to a
// database key ('ticker') and observed rate/price.
boost::shared_ptr<QuantLib::RateHelper>
ObservableDB::getRateHelper(std::string& ticker, QuantLib::Rate r, double fixDayCount,
double fixFreq, int floatFreq) {
RQLMapIterator iter = db_.find(ticker);
if (iter == db_.end()) {
std::string errortxt = "Unknown curve construction instrument: " + ticker;
Rcpp::stop(errortxt);
}
RQLObservable *p = iter->second;
RQLObservableType type = p->getType();
int n1 = p->getN1(), n2 = p->getN2();
QuantLib::TimeUnit units = p->getUnits();
QuantLib::Date settlementDate = RQLContext::instance().settleDate;
QuantLib::Calendar calendar = RQLContext::instance().calendar;
QuantLib::Integer fixingDays = RQLContext::instance().fixingDays;
QuantLib::DayCounter depositDayCounter = QuantLib::Actual360();
// Tried to use a switch statement here, but there was an
// internal compiler error using g++ Version 3.2.2.
if (type == RQLDeposit) {
boost::shared_ptr<QuantLib::Quote> quote(new QuantLib::SimpleQuote(r));
boost::shared_ptr<QuantLib::RateHelper>
depo(new QuantLib::DepositRateHelper(QuantLib::Handle<QuantLib::Quote>(quote),
n1*units, fixingDays,
calendar, QuantLib::ModifiedFollowing,
true, /*fixingDays,*/ depositDayCounter));
return depo;
} else if (type == RQLSwap) {
QuantLib::Frequency swFixedLegFrequency = getFrequency(fixFreq);
QuantLib::BusinessDayConvention swFixedLegConvention = QuantLib::Unadjusted;
QuantLib::DayCounter swFixedLegDayCounter = getDayCounter(fixDayCount);
boost::shared_ptr<QuantLib::IborIndex> swFloatingLegIndex(new QuantLib::Euribor(QuantLib::Period(floatFreq,QuantLib::Months)));
boost::shared_ptr<QuantLib::Quote> quote(new QuantLib::SimpleQuote(r));
boost::shared_ptr<QuantLib::RateHelper>
swap(new QuantLib::SwapRateHelper(QuantLib::Handle<QuantLib::Quote>(quote),
n1*QuantLib::Years, /*fixingDays,*/
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
return swap;
} else if (type == RQLFuture) {
QuantLib::Integer futMonths = 3;
QuantLib::Date imm = QuantLib::IMM::nextDate(settlementDate);
for (int i = 1; i < n1; i++)
imm = QuantLib::IMM::nextDate(imm+1);
//Rcpp::Rcout << "Curves: IMM Date is " << imm << std::endl;
boost::shared_ptr<QuantLib::Quote> quote(new QuantLib::SimpleQuote(r));
boost::shared_ptr<QuantLib::RateHelper>
future(new QuantLib::FuturesRateHelper(QuantLib::Handle<QuantLib::Quote>(quote),
imm, futMonths, calendar,
QuantLib::ModifiedFollowing,
true, // added bool endOfMonth variable
depositDayCounter));
return future;
} else if (type == RQLFRA) {
boost::shared_ptr<QuantLib::Quote> quote(new QuantLib::SimpleQuote(r));
boost::shared_ptr<QuantLib::RateHelper>
FRA(new QuantLib::FraRateHelper(QuantLib::Handle<QuantLib::Quote>(quote),
n1, n2, fixingDays, calendar,
QuantLib::ModifiedFollowing,
true, /*fixingDays,*/ depositDayCounter));
return FRA;
} else {
Rcpp::stop("Bad type in curve construction");
}
// not reached
boost::shared_ptr<QuantLib::RateHelper> tmp;
return tmp;
}
//*** original rate helper, kept to ensure Bermudan works. Change in future - Terry Leitch 16 Mar '16
boost::shared_ptr<QuantLib::RateHelper>
ObservableDB::getRateHelper(std::string& ticker, QuantLib::Rate r) {
RQLMapIterator iter = db_.find(ticker);
if (iter == db_.end()) {
std::string errortxt = "Unknown curve construction instrument: " + ticker;
Rcpp::stop(errortxt);
}
RQLObservable *p = iter->second;
RQLObservableType type = p->getType();
int n1 = p->getN1(), n2 = p->getN2();
QuantLib::TimeUnit units = p->getUnits();
QuantLib::Date settlementDate = RQLContext::instance().settleDate;
QuantLib::Calendar calendar = RQLContext::instance().calendar;
QuantLib::Integer fixingDays = RQLContext::instance().fixingDays;
QuantLib::DayCounter depositDayCounter = QuantLib::Actual360();
// Tried to use a switch statement here, but there was an
// internal compiler error using g++ Version 3.2.2.
if (type == RQLDeposit) {
boost::shared_ptr<QuantLib::Quote> quote(new QuantLib::SimpleQuote(r));
boost::shared_ptr<QuantLib::RateHelper>
depo(new QuantLib::DepositRateHelper(QuantLib::Handle<QuantLib::Quote>(quote),
n1*units, fixingDays,
calendar, QuantLib::ModifiedFollowing,
true, /*fixingDays,*/ depositDayCounter));
return depo;
} else if (type == RQLSwap) {
QuantLib::Frequency swFixedLegFrequency = QuantLib::Annual;
QuantLib::BusinessDayConvention swFixedLegConvention = QuantLib::Unadjusted;
QuantLib::DayCounter swFixedLegDayCounter = QuantLib::Thirty360(QuantLib::Thirty360::European);
boost::shared_ptr<QuantLib::IborIndex> swFloatingLegIndex(new QuantLib::Euribor6M);
boost::shared_ptr<QuantLib::Quote> quote(new QuantLib::SimpleQuote(r));
boost::shared_ptr<QuantLib::RateHelper>
swap(new QuantLib::SwapRateHelper(QuantLib::Handle<QuantLib::Quote>(quote),
n1*QuantLib::Years, /*fixingDays,*/
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
return swap;
} else if (type == RQLFuture) {
QuantLib::Integer futMonths = 3;
QuantLib::Date imm = QuantLib::IMM::nextDate(settlementDate);
for (int i = 1; i < n1; i++)
imm = QuantLib::IMM::nextDate(imm+1);
//Rcpp::Rcout << "Curves: IMM Date is " << imm << std::endl;
boost::shared_ptr<QuantLib::Quote> quote(new QuantLib::SimpleQuote(r));
boost::shared_ptr<QuantLib::RateHelper>
future(new QuantLib::FuturesRateHelper(QuantLib::Handle<QuantLib::Quote>(quote),
imm, futMonths, calendar,
QuantLib::ModifiedFollowing,
true, // added bool endOfMonth variable
depositDayCounter));
return future;
} else if (type == RQLFRA) {
boost::shared_ptr<QuantLib::Quote> quote(new QuantLib::SimpleQuote(r));
boost::shared_ptr<QuantLib::RateHelper>
FRA(new QuantLib::FraRateHelper(QuantLib::Handle<QuantLib::Quote>(quote),
n1, n2, fixingDays, calendar,
QuantLib::ModifiedFollowing,
true, /*fixingDays,*/ depositDayCounter));
return FRA;
} else {
Rcpp::stop("Bad type in curve construction");
}
// not reached
boost::shared_ptr<QuantLib::RateHelper> tmp;
return tmp;
}
// Return the term structure built using a set of RateHelpers (curveInput)
// employing the specified interpolation method and day counter.
boost::shared_ptr<QuantLib::YieldTermStructure>
getTermStructure (std::string& interpWhat, std::string& interpHow,
const QuantLib::Date& settlementDate,
const std::vector<boost::shared_ptr<QuantLib::RateHelper> >& curveInput,
QuantLib::DayCounter& dayCounter, QuantLib::Real tolerance) {
// the identifiers are just too bloody long so this functions like a 120 col or so display
if (interpWhat.compare("discount") == 0 && interpHow.compare("linear") == 0) {
boost::shared_ptr<QuantLib::YieldTermStructure>
ts(new QuantLib::PiecewiseYieldCurve<QuantLib::Discount,
QuantLib::Linear>(settlementDate,
curveInput, dayCounter,
std::vector<QuantLib::Handle<QuantLib::Quote> >(),
std::vector<QuantLib::Date>(),
tolerance));
return ts;
} else if (interpWhat.compare("discount") == 0 && interpHow.compare("loglinear") == 0) {
boost::shared_ptr<QuantLib::YieldTermStructure>
ts(new QuantLib::PiecewiseYieldCurve<QuantLib::Discount,
QuantLib::LogLinear>(settlementDate,
curveInput, dayCounter,
std::vector<QuantLib::Handle<QuantLib::Quote> >(),
std::vector<QuantLib::Date>(),
tolerance));
return ts;
} else if (interpWhat.compare("discount") == 0 && interpHow.compare("spline") == 0) {
boost::shared_ptr<QuantLib::YieldTermStructure>
ts(new QuantLib::PiecewiseYieldCurve<QuantLib::Discount,
QuantLib::Cubic>(settlementDate,
curveInput, dayCounter,
std::vector<QuantLib::Handle<QuantLib::Quote> >(),
std::vector<QuantLib::Date>(),
tolerance));
return ts;
} else if (interpWhat.compare("forward") == 0 &&
interpHow.compare("linear") == 0) {
boost::shared_ptr<QuantLib::YieldTermStructure>
ts(new QuantLib::PiecewiseYieldCurve<QuantLib::ForwardRate,
QuantLib::Linear>(settlementDate,
curveInput, dayCounter,
std::vector<QuantLib::Handle<QuantLib::Quote> >(),
std::vector<QuantLib::Date>(),
tolerance));
return ts;
} else if (interpWhat.compare("forward") == 0 && interpHow.compare("loglinear") == 0) {
boost::shared_ptr<QuantLib::YieldTermStructure>
ts(new QuantLib::PiecewiseYieldCurve<QuantLib::ForwardRate,
QuantLib::LogLinear>(settlementDate,
curveInput, dayCounter,
std::vector<QuantLib::Handle<QuantLib::Quote> >(),
std::vector<QuantLib::Date>(),
tolerance));
return ts;
} else if (interpWhat.compare("forward") == 0 && interpHow.compare("spline") == 0) {
boost::shared_ptr<QuantLib::YieldTermStructure>
ts(new QuantLib::PiecewiseYieldCurve<QuantLib::ForwardRate,
QuantLib::Cubic>(settlementDate,
curveInput, dayCounter,
std::vector<QuantLib::Handle<QuantLib::Quote> >(),
std::vector<QuantLib::Date>(),
tolerance));
return ts;
} else if (interpWhat.compare("zero") == 0 && interpHow.compare("linear") == 0) {
boost::shared_ptr<QuantLib::YieldTermStructure>
ts(new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield,
QuantLib::Linear>(settlementDate,
curveInput, dayCounter,
std::vector<QuantLib::Handle<QuantLib::Quote> >(),
std::vector<QuantLib::Date>(),
tolerance));
return ts;
} else if (interpWhat.compare("zero") == 0 && interpHow.compare("loglinear") == 0) {
boost::shared_ptr<QuantLib::YieldTermStructure>
ts(new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield,
QuantLib::LogLinear>(settlementDate,
curveInput, dayCounter,
std::vector<QuantLib::Handle<QuantLib::Quote> >(),
std::vector<QuantLib::Date>(),
tolerance));
return ts;
} else if (interpWhat.compare("zero") == 0 && interpHow.compare("spline") == 0) {
boost::shared_ptr<QuantLib::YieldTermStructure>
ts(new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield,
QuantLib::Cubic>(settlementDate,
curveInput, dayCounter,
std::vector<QuantLib::Handle<QuantLib::Quote> >(),
std::vector<QuantLib::Date>(),
tolerance));
return ts;
} else {
Rcpp::Rcout << "interpWhat = " << interpWhat << std::endl;
Rcpp::Rcout << "interpHow = " << interpHow << std::endl;
Rcpp::stop("What/How term structure options not recognized");
}
// not reached -- just here to make g++ -pendantic happy
boost::shared_ptr<QuantLib::YieldTermStructure> tmp;
return tmp;
}
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