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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) 2002 - 2015 Dirk Eddelbuettel
// Copyright (C) 2005 - 2006 Dominick Samperi
// Copyright (C) 2009 - 2012 Dirk Eddelbuettel and Khanh Nguyen
//
//
// 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/>.
#include <rquantlib.h>
// [[Rcpp::interfaces(r, cpp)]]
QuantLib::Option::Type getOptionType(const std::string &type) {
QuantLib::Option::Type optionType;
if (type=="call") {
optionType = QuantLib::Option::Call;
} else if (type=="put") {
optionType = QuantLib::Option::Put;
} else {
throw std::range_error("Unknown option " + type);
}
return optionType;
}
// cf QuantLib-0.9.0/test-suite/europeanoption.cpp
boost::shared_ptr<QuantLib::VanillaOption>
makeOption(const boost::shared_ptr<QuantLib::StrikedTypePayoff>& payoff,
const boost::shared_ptr<QuantLib::Exercise>& exercise,
const boost::shared_ptr<QuantLib::Quote>& u,
const boost::shared_ptr<QuantLib::YieldTermStructure>& q,
const boost::shared_ptr<QuantLib::YieldTermStructure>& r,
const boost::shared_ptr<QuantLib::BlackVolTermStructure>& vol,
EngineType engineType,
QuantLib::Size binomialSteps,
QuantLib::Size samples) {
boost::shared_ptr<QuantLib::GeneralizedBlackScholesProcess> stochProcess = makeProcess(u,q,r,vol);
boost::shared_ptr<QuantLib::PricingEngine> engine;
typedef boost::shared_ptr<QuantLib::PricingEngine> spPE; // shorthand used below
switch (engineType) {
case Analytic:
engine = spPE(new QuantLib::AnalyticEuropeanEngine(stochProcess));
break;
case JR:
engine = spPE(new QuantLib::BinomialVanillaEngine<QuantLib::JarrowRudd>(stochProcess, binomialSteps));
break;
case CRR:
engine = spPE(new QuantLib::BinomialVanillaEngine<QuantLib::CoxRossRubinstein>(stochProcess, binomialSteps));
break;
case EQP:
engine = spPE(new QuantLib::BinomialVanillaEngine<QuantLib::AdditiveEQPBinomialTree>(stochProcess, binomialSteps));
break;
case TGEO:
engine = spPE(new QuantLib::BinomialVanillaEngine<QuantLib::Trigeorgis>(stochProcess, binomialSteps));
break;
case TIAN:
engine = spPE(new QuantLib::BinomialVanillaEngine<QuantLib::Tian>(stochProcess, binomialSteps));
break;
case LR:
engine = spPE(new QuantLib::BinomialVanillaEngine<QuantLib::LeisenReimer>(stochProcess, binomialSteps));
break;
case JOSHI:
engine = spPE(new QuantLib::BinomialVanillaEngine<QuantLib::Joshi4>(stochProcess, binomialSteps));
break;
case FiniteDifferences:
engine = spPE(new QuantLib::FDEuropeanEngine<QuantLib::CrankNicolson>(stochProcess, binomialSteps, samples));
break;
case Integral:
engine = spPE(new QuantLib::IntegralEngine(stochProcess));
break;
case PseudoMonteCarlo:
engine = QuantLib::MakeMCEuropeanEngine<QuantLib::PseudoRandom>(stochProcess)
.withStepsPerYear(1)
.withSamples(samples)
.withSeed(42);
break;
case QuasiMonteCarlo:
engine = QuantLib::MakeMCEuropeanEngine<QuantLib::LowDiscrepancy>(stochProcess)
.withStepsPerYear(1)
.withSamples(samples);
break;
default:
QL_FAIL("Unknown engine type");
}
boost::shared_ptr<QuantLib::VanillaOption> option(new QuantLib::EuropeanOption(payoff, exercise));
option->setPricingEngine(engine);
return option;
}
// QuantLib option setup utils, copied from the test-suite sources
boost::shared_ptr<QuantLib::YieldTermStructure> buildTermStructure(Rcpp::List rparam, Rcpp::List tslist) {
boost::shared_ptr<QuantLib::YieldTermStructure> curve;
try {
Rcpp::CharacterVector tsnames = tslist.names();
QuantLib::Date todaysDate(Rcpp::as<QuantLib::Date>(rparam["tradeDate"]));
QuantLib::Date settlementDate(Rcpp::as<QuantLib::Date>(rparam["settleDate"]));
// cout << "TradeDate: " << todaysDate << endl << "Settle: " << settlementDate << endl;
RQLContext::instance().settleDate = settlementDate;
QuantLib::Settings::instance().evaluationDate() = todaysDate;
std::string firstQuoteName = Rcpp::as<std::string>(tsnames[0]);
//double dt = rparam.getDoubleValue("dt");
std::string interpWhat, interpHow;
if (firstQuoteName.compare("flat") != 0) { // Get interpolation method (not needed for "flat" case)
interpWhat = Rcpp::as<std::string>(rparam["interpWhat"]);
interpHow = Rcpp::as<std::string>(rparam["interpHow"]);
}
// initialise from the singleton instance
QuantLib::Calendar calendar = RQLContext::instance().calendar;
//Integer fixingDays = RQLContext::instance().fixingDays;
// Any DayCounter would be fine; ActualActual::ISDA ensures that 30 years is 30.0
QuantLib::DayCounter termStructureDayCounter = QuantLib::ActualActual(QuantLib::ActualActual::ISDA);
double tolerance = 1.0e-15;
if (firstQuoteName.compare("flat") == 0) { // Create a flat term structure.
double rateQuote = Rcpp::as<double>(tslist[0]);
boost::shared_ptr<QuantLib::Quote> flatRate(new QuantLib::SimpleQuote(rateQuote));
boost::shared_ptr<QuantLib::FlatForward>
ts(new QuantLib::FlatForward(settlementDate, QuantLib::Handle<QuantLib::Quote>(flatRate), QuantLib::Actual365Fixed()));
curve = ts;
} else { // Build curve based on a set of observed rates and/or prices.
std::vector<boost::shared_ptr<QuantLib::RateHelper> > curveInput;
for (int i = 0; i < tslist.size(); i++) {
std::string name = Rcpp::as<std::string>(tsnames[i]);
double val = Rcpp::as<double>(tslist[i]);
boost::shared_ptr<QuantLib::RateHelper> rh = ObservableDB::instance().getRateHelper(name, val);
// edd 2009-11-01 FIXME NULL_RateHelper no longer builds under 0.9.9
// if (rh == NULL_RateHelper)
if (rh.get() == NULL)
throw std::range_error("Unknown rate in getRateHelper");
curveInput.push_back(rh);
}
boost::shared_ptr<QuantLib::YieldTermStructure> ts =
getTermStructure(interpWhat, interpHow, settlementDate, curveInput,
termStructureDayCounter, tolerance);
curve = ts;
}
return curve;
} catch(std::exception &ex) {
forward_exception_to_r(ex);
} catch(...) {
::Rf_error("c++ exception (unknown reason)");
}
return curve;
}
QuantLib::Schedule getSchedule(Rcpp::List rparam) {
QuantLib::Date effectiveDate(Rcpp::as<QuantLib::Date>(rparam["effectiveDate"]));
QuantLib::Date maturityDate(Rcpp::as<QuantLib::Date>(rparam["maturityDate"]));
QuantLib::Period period = QuantLib::Period(getFrequency(Rcpp::as<double>(rparam["period"])));
std::string cal = Rcpp::as<std::string>(rparam["calendar"]);
QuantLib::Calendar calendar;
if(!cal.empty()) {
boost::shared_ptr<QuantLib::Calendar> p = getCalendar(cal);
calendar = *p;
}
QuantLib::BusinessDayConvention businessDayConvention =
getBusinessDayConvention(Rcpp::as<double>(rparam["businessDayConvention"]));
QuantLib::BusinessDayConvention terminationDateConvention =
getBusinessDayConvention(Rcpp::as<double>(rparam["terminationDateConvention"]));
// keep these default values for the last two parameters for backward compatibility
// (although in QuantLib::schedule they have no default values)
QuantLib::DateGeneration::Rule dateGeneration = QuantLib::DateGeneration::Backward;
if(rparam.containsElementNamed("dateGeneration") ) {
dateGeneration = getDateGenerationRule(Rcpp::as<double>(rparam["dateGeneration"]));
}
bool endOfMonth = false;
if(rparam.containsElementNamed("endOfMonth") ) {
endOfMonth = (Rcpp::as<double>(rparam["endOfMonth"]) == 1) ? true : false;
}
QuantLib::Schedule schedule(effectiveDate,
maturityDate,
period,
calendar,
businessDayConvention,
terminationDateConvention,
dateGeneration,
endOfMonth);
return schedule;
}
boost::shared_ptr<QuantLib::FixedRateBond> getFixedRateBond(
Rcpp::List bondparam, std::vector<double> ratesVec, Rcpp::List scheduleparam) {
// get bond parameters
double settlementDays = Rcpp::as<double>(bondparam["settlementDays"]);
double faceAmount = Rcpp::as<double>(bondparam["faceAmount"]);
QuantLib::DayCounter accrualDayCounter =
getDayCounter(Rcpp::as<double>(bondparam["dayCounter"]));
QuantLib::BusinessDayConvention paymentConvention = QuantLib::Following;
if(bondparam.containsElementNamed("paymentConvention") ) {
paymentConvention = getBusinessDayConvention(Rcpp::as<double>(bondparam["paymentConvention"]));
}
double redemption = 100.0;
if(bondparam.containsElementNamed("redemption") ) {
redemption = Rcpp::as<double>(bondparam["redemption"]);
}
QuantLib::Date issueDate;
if(bondparam.containsElementNamed("issueDate") ) {
issueDate = Rcpp::as<QuantLib::Date>(bondparam["issueDate"]);
}
QuantLib::Calendar paymentCalendar;
if(bondparam.containsElementNamed("paymentCalendar") ) {
boost::shared_ptr<QuantLib::Calendar> p = getCalendar(Rcpp::as<std::string>(bondparam["paymentCalendar"]));
paymentCalendar = *p;
}
QuantLib::Period exCouponPeriod;
if(bondparam.containsElementNamed("exCouponPeriod") ) {
exCouponPeriod = QuantLib::Period(Rcpp::as<double>(bondparam["exCouponPeriod"]), QuantLib::Days);
}
QuantLib::Calendar exCouponCalendar;
if(bondparam.containsElementNamed("exCouponCalendar") ) {
boost::shared_ptr<QuantLib::Calendar> p = getCalendar(Rcpp::as<std::string>(bondparam["exCouponCalendar"]));
exCouponCalendar = *p;
}
QuantLib::BusinessDayConvention exCouponConvention = QuantLib::Unadjusted;
if(bondparam.containsElementNamed("exCouponConvention") ) {
exCouponConvention = getBusinessDayConvention(Rcpp::as<double>(bondparam["exCouponConvention"]));
}
bool exCouponEndOfMonth = false;
if(bondparam.containsElementNamed("exCouponEndOfMonth") ) {
exCouponEndOfMonth = (Rcpp::as<double>(bondparam["exCouponEndOfMonth"]) == 1) ? true : false;
}
QuantLib::Schedule schedule = getSchedule(scheduleparam);
boost::shared_ptr<QuantLib::FixedRateBond> result(
new QuantLib::FixedRateBond(settlementDays,
faceAmount,
schedule,
ratesVec,
accrualDayCounter,
paymentConvention,
redemption,
issueDate,
paymentCalendar,
exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth));
return result;
}
boost::shared_ptr<QuantLib::YieldTermStructure>
rebuildCurveFromZeroRates(std::vector<QuantLib::Date> dates,
std::vector<double> zeros) {
boost::shared_ptr<QuantLib::YieldTermStructure>
rebuilt_curve(new QuantLib::InterpolatedZeroCurve<QuantLib::LogLinear>(dates,
zeros,
QuantLib::ActualActual()));
return rebuilt_curve;
}
boost::shared_ptr<QuantLib::YieldTermStructure> getFlatCurve(Rcpp::List curve) {
QuantLib::Rate riskFreeRate = Rcpp::as<double>(curve["riskFreeRate"]);
QuantLib::Date today(Rcpp::as<QuantLib::Date>(curve["todayDate"]));
boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote(riskFreeRate));
QuantLib::Settings::instance().evaluationDate() = today;
return flatRate(today, rRate, QuantLib::Actual360());
}
boost::shared_ptr<QuantLib::IborIndex> getIborIndex(Rcpp::List rparam, const QuantLib::Date today) {
std::string type = Rcpp::as<std::string>(rparam["type"]);
if (type == "USDLibor"){
double riskFreeRate = Rcpp::as<double>(rparam["riskFreeRate"]);
double period = Rcpp::as<double>(rparam["period"]);
boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote(riskFreeRate));
QuantLib::Settings::instance().evaluationDate() = today;
QuantLib::Handle<QuantLib::YieldTermStructure> curve(flatRate(today, rRate, QuantLib::Actual360()));
boost::shared_ptr<QuantLib::IborIndex> iindex(new QuantLib::USDLibor(period * QuantLib::Months, curve));
return iindex;
}
else return boost::shared_ptr<QuantLib::IborIndex>();
}
// std::vector<double> getDoubleVector(SEXP vecSexp) {
// if (::Rf_length(vecSexp) == 0) {
// return(std::vector<double>());
// } else {
// return std::vector<double>( Rcpp::as<std::vector< double> >( Rcpp::NumericVector(vecSexp) ) );
// }
// }
boost::shared_ptr<QuantLib::YieldTermStructure>
makeFlatCurve(const QuantLib::Date& today,
const boost::shared_ptr<QuantLib::Quote>& forward,
const QuantLib::DayCounter& dc) {
return boost::shared_ptr<QuantLib::YieldTermStructure>(new QuantLib::FlatForward(today, QuantLib::Handle<QuantLib::Quote>(forward), dc));
}
boost::shared_ptr<QuantLib::YieldTermStructure>
flatRate(const QuantLib::Date& today,
const boost::shared_ptr<QuantLib::Quote>& forward,
const QuantLib::DayCounter& dc) {
return boost::shared_ptr<QuantLib::YieldTermStructure>(new QuantLib::FlatForward(today, QuantLib::Handle<QuantLib::Quote>(forward), dc));
}
boost::shared_ptr<QuantLib::BlackVolTermStructure>
makeFlatVolatility(const QuantLib::Date& today,
const boost::shared_ptr<QuantLib::Quote>& vol,
const QuantLib::DayCounter dc) {
return boost::shared_ptr<QuantLib::BlackVolTermStructure>(new QuantLib::BlackConstantVol(today,
QuantLib::NullCalendar(),
QuantLib::Handle<QuantLib::Quote>(vol), dc));
}
boost::shared_ptr<QuantLib::BlackVolTermStructure>
flatVol(const QuantLib::Date& today,
const boost::shared_ptr<QuantLib::Quote>& vol,
const QuantLib::DayCounter& dc) {
return boost::shared_ptr<QuantLib::BlackVolTermStructure>(
new QuantLib::BlackConstantVol(today,
QuantLib::NullCalendar(),
QuantLib::Handle<QuantLib::Quote>(vol), dc));
}
typedef QuantLib::BlackScholesMertonProcess BSMProcess; // shortcut
boost::shared_ptr<QuantLib::GeneralizedBlackScholesProcess>
makeProcess(const boost::shared_ptr<QuantLib::Quote>& u,
const boost::shared_ptr<QuantLib::YieldTermStructure>& q,
const boost::shared_ptr<QuantLib::YieldTermStructure>& r,
const boost::shared_ptr<QuantLib::BlackVolTermStructure>& vol) {
return boost::shared_ptr<BSMProcess>(new BSMProcess(QuantLib::Handle<QuantLib::Quote>(u),
QuantLib::Handle<QuantLib::YieldTermStructure>(q),
QuantLib::Handle<QuantLib::YieldTermStructure>(r),
QuantLib::Handle<QuantLib::BlackVolTermStructure>(vol)));
}
// R uses dates indexed to Jan 1, 1970. RcppDate uses an internal Julian Date representation,
// but Quantlib uses the 'spreadsheet' format indexed to 1905 so we need to adjust
// int dateFromR(const RcppDate &d) {
// return(d.getJDN() - RcppDate::Jan1970Offset + RcppDate::QLtoJan1970Offset);
// }
//static const unsigned int QLtoJan1970Offset = 25569; // Offset between R / Unix epoch
// // R and Rcpp::Date use the same 'days since epoch' representation; QL uses Excel style
// int dateFromR(const Rcpp::Date &d) {
// static const unsigned int QLtoJan1970Offset = 25569; // Offset to R / Unix epoch
// return(d.getDate() + QLtoJan1970Offset);
// }
QuantLib::DayCounter getDayCounter(const double n){
if (n==0)
return QuantLib::Actual360();
else if (n==1)
return QuantLib::Actual365Fixed();
else if (n==2)
return QuantLib::ActualActual();
else if (n==3)
return QuantLib::Business252();
else if (n==4)
return QuantLib::OneDayCounter();
else if (n==5)
return QuantLib::SimpleDayCounter();
else if (n==6)
return QuantLib::Thirty360();
else if (n==7)
return QuantLib::Actual365NoLeap();
else if (n==8)
return QuantLib::ActualActual(QuantLib::ActualActual::ISMA);
else if (n==9)
return QuantLib::ActualActual(QuantLib::ActualActual::Bond);
else if (n==10)
return QuantLib::ActualActual(QuantLib::ActualActual::ISDA);
else if (n==11)
return QuantLib::ActualActual(QuantLib::ActualActual::Historical);
else if (n==12)
return QuantLib::ActualActual(QuantLib::ActualActual::AFB);
else // if (n==13)
return QuantLib::ActualActual(QuantLib::ActualActual::Euro);
}
QuantLib::BusinessDayConvention getBusinessDayConvention(const double n){
if (n==0)
return QuantLib::Following;
else if (n==1)
return QuantLib::ModifiedFollowing;
else if (n==2)
return QuantLib::Preceding;
else if (n==3)
return QuantLib::ModifiedPreceding;
else if (n==4)
return QuantLib::Unadjusted;
else if (n==5)
return QuantLib::HalfMonthModifiedFollowing;
else if (n==6)
return QuantLib::Nearest;
else
return QuantLib::Unadjusted;
}
QuantLib::Compounding getCompounding(const double n){
if (n==0)
return QuantLib::Simple;
else if (n==1)
return QuantLib::Compounded;
else if (n==2)
return QuantLib::Continuous;
else
return QuantLib::SimpleThenCompounded;
}
QuantLib::Frequency getFrequency(const double n){
if (n==-1)
return QuantLib::NoFrequency;
else if (n==0)
return QuantLib::Once;
else if (n==1)
return QuantLib::Annual;
else if (n==2)
return QuantLib::Semiannual;
else if (n==3)
return QuantLib::EveryFourthMonth;
else if (n==4)
return QuantLib::Quarterly;
else if (n==6)
return QuantLib::Bimonthly;
else if (n==12)
return QuantLib::Monthly;
else if (n==13)
return QuantLib::EveryFourthWeek;
else if (n==26)
return QuantLib::Biweekly;
else if (n==52)
return QuantLib::Weekly;
else if (n==365)
return QuantLib::Daily;
else
return QuantLib::OtherFrequency;
}
QuantLib::Period periodByTimeUnit(int length, std::string unit){
QuantLib::TimeUnit tu = QuantLib::Years;
if (unit=="Days")
tu = QuantLib::Days;
if (unit=="Weeks")
tu = QuantLib::Weeks;
if (unit=="Months")
tu = QuantLib::Months;
return QuantLib::Period(length, tu);
}
QuantLib::TimeUnit getTimeUnit(const double n){
if (n==0)
return QuantLib::Days;
else if (n==1)
return QuantLib::Weeks;
else if (n==2)
return QuantLib::Months;
else
return QuantLib::Years;
}
QuantLib::DateGeneration::Rule getDateGenerationRule(const double n){
if (n==0)
return QuantLib::DateGeneration::Backward;
else if (n==1)
return QuantLib::DateGeneration::Forward;
else if (n==2)
return QuantLib::DateGeneration::Zero;
else if (n==3)
return QuantLib::DateGeneration::ThirdWednesday;
else if (n==4)
return QuantLib::DateGeneration::Twentieth;
else if (n==5)
return QuantLib::DateGeneration::TwentiethIMM;
else if (n==6)
return QuantLib::DateGeneration::OldCDS;
else if (n==7)
return QuantLib::DateGeneration::CDS;
else
return QuantLib::DateGeneration::TwentiethIMM;
}
boost::shared_ptr<QuantLib::IborIndex> buildIborIndex(std::string type,
const QuantLib::Handle<QuantLib::YieldTermStructure>& iborStrc){
if (type == "Euribor10M")
return boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::Euribor10M(iborStrc));
if (type == "Euribor11M")
return boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::Euribor11M(iborStrc));
if (type == "Euribor1M")
return boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::Euribor1M(iborStrc));
if (type == "Euribor1Y")
return boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::Euribor1Y(iborStrc));
if (type == "Euribor2M")
return boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::Euribor2M(iborStrc));
if (type == "Euribor2W")
return boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::Euribor2W(iborStrc));
if (type == "Euribor3M")
return boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::Euribor3M(iborStrc));
if (type == "Euribor3W")
return boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::Euribor3W(iborStrc));
if (type == "Euribor4M")
return boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::Euribor4M(iborStrc));
if (type == "Euribor5M")
return boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::Euribor5M(iborStrc));
if (type == "Euribor6M")
return boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::Euribor6M(iborStrc));
if (type == "Euribor7M")
return boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::Euribor7M(iborStrc));
if (type == "Euribor8M")
return boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::Euribor8M(iborStrc));
if (type == "Euribor9M")
return boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::Euribor9M(iborStrc));
if (type == "EuriborSW")
return boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::EuriborSW(iborStrc));
return boost::shared_ptr<QuantLib::IborIndex>();
}
Rcpp::DataFrame getCashFlowDataFrame(const QuantLib::Leg &bondCashFlow) {
Rcpp::DateVector dates(bondCashFlow.size());
Rcpp::NumericVector amount(bondCashFlow.size());
for (unsigned int i = 0; i< bondCashFlow.size(); i++){
QuantLib::Date d = bondCashFlow[i]->date();
dates[i] = Rcpp::Date(d.month(), d.dayOfMonth(), d.year());
amount[i] = bondCashFlow[i]->amount();
}
return Rcpp::DataFrame::create(Rcpp::Named("Date") = dates,
Rcpp::Named("Amount") = amount);
}
QuantLib::DividendSchedule getDividendSchedule(Rcpp::DataFrame divScheDF) {
QuantLib::DividendSchedule dividendSchedule;
try {
Rcpp::CharacterVector s0v = divScheDF[0];
Rcpp::NumericVector n1v = divScheDF[1];
Rcpp::NumericVector n2v = divScheDF[2];
Rcpp::NumericVector n3v = divScheDF[3];
int nrow = s0v.size();
for (int row=0; row<nrow; row++){
int type = (s0v[row] == "Fixed") ? 1 : 0; // (table[row][0].getStringValue()=="Fixed") ? 1 : 0;
double amount = n1v[row]; // table[row][1].getDoubleValue();
double rate = n2v[row]; // table[row][2].getDoubleValue();
Rcpp::Date rd = Rcpp::Date(n3v[row]);
QuantLib::Date d(Rcpp::as<QuantLib::Date>(Rcpp::wrap(rd))); //table[row][3].getDateValue()));
if (type==1) {
dividendSchedule.push_back(boost::shared_ptr<QuantLib::Dividend>(new QuantLib::FixedDividend(amount, d)));
} else {
dividendSchedule.push_back(boost::shared_ptr<QuantLib::Dividend>(new QuantLib::FractionalDividend(rate, amount, d)));
}
}
} catch (std::exception& ex) {
forward_exception_to_r(ex);
}
return dividendSchedule;
}
QuantLib::CallabilitySchedule getCallabilitySchedule(Rcpp::DataFrame callScheDF) {
QuantLib::CallabilitySchedule callabilitySchedule;
try {
// RcppFrame rcppCallabilitySchedule(callabilityScheduleFrame);
// std::vector<std::vector<ColDatum> > table = rcppCallabilitySchedule.getTableData();
// int nrow = table.size();
Rcpp::NumericVector n0v = callScheDF[0];
Rcpp::CharacterVector s1v = callScheDF[1];
Rcpp::NumericVector n2v = callScheDF[2];
int nrow = n0v.size();
for (int row=0; row<nrow; row++) {
double price = n0v[row]; //table[row][0].getDoubleValue();
int type = (s1v[row]=="P") ? 1 : 0;
Rcpp::Date rd = Rcpp::Date(n2v[row]);
QuantLib::Date d(Rcpp::as<QuantLib::Date>(Rcpp::wrap(rd)));
if (type==1){
callabilitySchedule.push_back(boost::shared_ptr<QuantLib::Callability>
(new QuantLib::Callability(QuantLib::Callability::Price(price,
QuantLib::Callability::Price::Clean),
QuantLib::Callability::Put,d )));
} else {
callabilitySchedule.push_back(boost::shared_ptr<QuantLib::Callability>
(new QuantLib::Callability(QuantLib::Callability::Price(price,
QuantLib::Callability::Price::Clean),
QuantLib::Callability::Call,d )));
}
}
} catch (std::exception& ex){
forward_exception_to_r(ex);
}
return callabilitySchedule;
}
QuantLib::Duration::Type getDurationType(const double n) {
if (n==0)
return QuantLib::Duration::Simple;
else if (n==1)
return QuantLib::Duration::Macaulay;
else if (n==2)
return QuantLib::Duration::Modified;
else {
throw std::range_error("Invalid duration type " + boost::lexical_cast<std::string>(n));
}
}
//' This function returns the QuantLib version string as encoded in the header
//' file \code{config.hpp} and determined at compilation time of the QuantLib library.
//'
//' @title Return the QuantLib version number
//' @return A character variable
//' @references \url{http://quantlib.org} for details on \code{QuantLib}.
//' @author Dirk Eddelbuettel
//' @examples
//' getQuantLibVersion()
// [[Rcpp::export]]
std::string getQuantLibVersion() {
return std::string(QL_PACKAGE_VERSION);
}
//' This function returns a named vector of boolean variables describing several
//' configuration options determined at compilation time of the QuantLib library.
//'
//' Not all of these features are used (yet) by RQuantLib.
//' @title Return configuration options of the QuantLib library
//' @return A named vector of logical variables
//' @references \url{http://quantlib.org} for details on \code{QuantLib}.
//' @author Dirk Eddelbuettel
//' @examples
//' getQuantLibCapabilities()
// [[Rcpp::export]]
Rcpp::LogicalVector getQuantLibCapabilities() {
bool hasSessions = false, // not (yet?) used by RQuantLib
hasHighResolutionDate=false, // supported as of RQuantLib 0.4.2
hasNegativeRates=false; // not explicitly supported or denied
#ifdef QL_ENABLE_SESSIONS
hasSessions = true;
#endif
#ifdef QL_HIGH_RESOLUTION_DATE
hasHighResolutionDate=true;
#endif
#ifdef QL_NEGATIVE_RATES
hasNegativeRates=true;
#endif
return Rcpp::LogicalVector::create(Rcpp::Named("sessions") = hasSessions,
Rcpp::Named("intradayDate") = hasHighResolutionDate,
Rcpp::Named("negativeRates") = hasNegativeRates);
}
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