FittedBondDiscountCurve Class Reference

Discount curve fitted to a set of fixed-coupon bonds. More...

#include <ql/termstructures/yield/fittedbonddiscountcurve.hpp>

Inheritance diagram for FittedBondDiscountCurve:

Classes

class  FittingMethod
 Base fitting method used to construct a fitted bond discount curve. More...
 

Public Member Functions

Constructors
 FittedBondDiscountCurve (Natural settlementDays, const Calendar &calendar, const std::vector< boost::shared_ptr< BondHelper > > &bonds, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size maxEvaluations=10000, const Array &guess=Array(), Real simplexLambda=1.0)
 reference date based on current evaluation date
 
 FittedBondDiscountCurve (const Date &referenceDate, const std::vector< boost::shared_ptr< BondHelper > > &bonds, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size maxEvaluations=10000, const Array &guess=Array(), Real simplexLambda=1.0)
 curve reference date fixed for life of curve
 
 FittedBondDiscountCurve (Natural settlementDays, const Calendar &calendar, const std::vector< boost::shared_ptr< FixedRateBondHelper > > &bonds, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size maxEvaluations=10000, const Array &guess=Array(), Real simplexLambda=1.0)
 reference date based on current evaluation date
 
 FittedBondDiscountCurve (const Date &referenceDate, const std::vector< boost::shared_ptr< FixedRateBondHelper > > &bonds, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size maxEvaluations=10000, const Array &guess=Array(), Real simplexLambda=1.0)
 curve reference date fixed for life of curve
 
Inspectors
Size numberOfBonds () const
 total number of bonds used to fit the yield curve
 
Date maxDate () const
 the latest date for which the curve can return values
 
const FittingMethodfitResults () const
 class holding the results of the fit
 
Observer interface
void update ()
 
- Public Member Functions inherited from YieldTermStructure
 YieldTermStructure (const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
 
 YieldTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
 
 YieldTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
 
DiscountFactor discount (const Date &d, bool extrapolate=false) const
 
DiscountFactor discount (Time t, bool extrapolate=false) const
 
InterestRate zeroRate (const Date &d, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
 
InterestRate zeroRate (Time t, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
 
InterestRate forwardRate (const Date &d1, const Date &d2, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
 
InterestRate forwardRate (const Date &d, const Period &p, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
 
InterestRate forwardRate (Time t1, Time t2, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
 
const std::vector< Date > & jumpDates () const
 
const std::vector< Time > & jumpTimes () const
 
void update ()
 
- Public Member Functions inherited from TermStructure
 TermStructure (const DayCounter &dc=DayCounter())
 default constructor More...
 
 TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter())
 initialize with a fixed reference date
 
 TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date
 
virtual DayCounter dayCounter () const
 the day counter used for date/time conversion
 
Time timeFromReference (const Date &date) const
 date/time conversion
 
virtual Time maxTime () const
 the latest time for which the curve can return values
 
virtual const DatereferenceDate () const
 the date at which discount = 1.0 and/or variance = 0.0
 
virtual Calendar calendar () const
 the calendar used for reference and/or option date calculation
 
virtual Natural settlementDays () const
 the settlementDays used for reference date calculation
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Extrapolator
void enableExtrapolation (bool b=true)
 enable extrapolation in subsequent calls
 
void disableExtrapolation (bool b=true)
 disable extrapolation in subsequent calls
 
bool allowsExtrapolation () const
 tells whether extrapolation is enabled
 
- Public Member Functions inherited from LazyObject
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 

Friends

class FittingMethod
 

Additional Inherited Members

Calculations

This method must be implemented in derived classes to perform the actual calculations. When it is called, range check has already been performed; therefore, it must assume that extrapolation is required.

- Protected Member Functions inherited from TermStructure
void checkRange (const Date &d, bool extrapolate) const
 date-range check
 
void checkRange (Time t, bool extrapolate) const
 time-range check
 
- Protected Member Functions inherited from LazyObject
virtual void calculate () const
 
- Protected Attributes inherited from TermStructure
bool moving_
 
bool updated_
 
Calendar calendar_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 

Detailed Description

Discount curve fitted to a set of fixed-coupon bonds.

This class fits a discount function $ d(t) $ over a set of bonds, using a user defined fitting method. The discount function is fit in such a way so that all cashflows of all input bonds, when discounted using $ d(t) $, will reproduce the set of input bond prices in an optimized sense. Minimized price errors are weighted by the inverse of their respective bond duration.

The FittedBondDiscountCurve class acts as a generic wrapper, while its inner class FittingMethod provides the implementation details. Developers thus need only derive new fitting methods from the latter.

Example: compares various bond discount curve fitting methodologies

Warning:
The method can be slow if there are many bonds to fit. Speed also depends on the particular choice of fitting method chosen and its convergence properties under optimization. See also todo list for BondDiscountCurveFittingMethod.
Possible enhancements:
refactor the bond helper class so that it is pure virtual and returns a generic bond or its cash flows. Derived classes would include helpers for fixed-rate and zero-coupon bonds. In this way, both bonds and bills can be used to fit a discount curve using the exact same machinery. At present, only fixed-coupon bonds are supported. An even better way to move forward might be to get rate helpers to return cashflows, in which case this class could be used to fit any set of cash flows, not just bonds.
Possible enhancements:
add more fitting diagnostics: smoothness, standard deviation, student-t test, etc. Generic smoothness method may be useful for smoothing splines fitting. See Fisher, M., D. Nychka and D. Zervos: "Fitting the term structure of interest rates with smoothing splines." Board of Governors of the Federal Reserve System, Federal Resere Board Working Paper, 95-1.
Possible enhancements:
add extrapolation routines
Examples:
FittedBondCurve.cpp.