double EuropeanOptionBlack76::getRhoNumeric(double absoluteChangeInNominalInterestRate)
{
double df = discountFactor;
double df1 = exp((log(discountFactor) / yearsToSettlement - absoluteChangeInNominalInterestRate) * yearsToSettlement);
setDiscountFactor(df1);
double price1 = getPremium();
setDiscountFactor(df);
double price = getPremium();
return price1 - price;
}
BlackScholesGreeks EuropeanOptionBlack76::getOptionPriceAndGreeksNumeric(double dF, double dV, double dY, double dR)
{
double F = forward;
double sd = standardDeviation;
double df = discountFactor;
double yte = yearsToExpiry;
double yts = yearsToSettlement;
double X = strike;
double sqrtdt = sqrt(yte);
double price = getPremium();
// Delta
setForward(F + dF);
double deltaPremium = getPremium();
double delta = deltaPremium - price;
// Gamma
setForward(F - dF);
double gammaPremium = getPremium();
double gamma = (deltaPremium - 2 * price + gammaPremium);
setForward(F);
// Vega
double originalVol = sd / sqrtdt;
double sd1 = (originalVol + dV) * sqrtdt;
setStandardDeviation(sd1);
double priceVega = getPremium();
double vega = priceVega - price;
// setStandardDeviation(sd1); will do a setParamters in Theta
// Theta
sd1 = (sd / sqrt(yte)) * sqrt(yte - dY);
double df1 = exp(log(df) / yts * (yts - dY));
setParameters(F, X, yte - dY, yts - dY, sd1, df1);
double priceTheta = getPremium();
double theta = priceTheta - price;
setParameters(F, X, yte, yts, sd, df);
// Rho
df1 = exp((log(df) / yts - dR) * yts);
setDiscountFactor(df1);
double priceRho = getPremium();
double rho = priceRho - price;
setParameters(F, X, yte, yts, sd, df);
return BlackScholesGreeks(price, delta, gamma, theta, vega, rho);
}
RQ_EXPORT rq_yield_curve_t
rq_bootstrap_yield_curve_simple(
const char *curve_id,
const rq_system_t system,
const rq_market_t market,
double *rate_adjust_factors,
rq_date last_date_to_bootstrap
)
{
unsigned int i;
rq_date date = rq_market_get_market_date(market);
const rq_rate_mgr_t rate_mgr = rq_market_get_rate_mgr(market);
const rq_asset_mgr_t asset_mgr = rq_system_get_asset_mgr(system);
rq_calendar_t cal;
const rq_bootstrap_config_t config = rq_bootstrap_config_mgr_find(rq_system_get_bootstrap_config_mgr(system), curve_id, RQ_TERMSTRUCT_TYPE_YIELD_CURVE);
rq_date last_date_bootstrapped = 0;
double last_swap_rate = 0.0;
rq_date last_swap_date = 0;
double last_swap_period = 0.0;
rq_calendar_t cals[2];
unsigned short num_cals = 0;
const char *underlying_asset_id = NULL;
double r=0;
rq_asset_t lastFutureAsset = NULL;
rq_rate_t lastFutureRate = NULL;
double lastFutureDF = 0;
#ifdef DEBUG_BOOTSTRAP
#ifdef DEBUG_BOOTSTRAP_FH
FILE *fh = fopen(debugFile, "a");
#else
FILE *fh = stdout;
#endif
#endif
/*
Add one to the number of discount factors because we are
going to create a discount factor of 1.0 at the zero days
point
*/
/* int max_factors = (config->num_rate_class_ids + 1) * 2; */
rq_yield_curve_t ts;
if (!config)
return NULL;
//first try curve calendar
cal = rq_calendar_mgr_get(rq_system_get_calendar_mgr(system), curve_id);
if (cal)
{
cals[num_cals++] = cal;
}
else
{
//no curve calendar, so try curve asset
cal = rq_calendar_mgr_get(rq_system_get_calendar_mgr(system), rq_bootstrap_config_get_asset_id(config));
if (cal)
cals[num_cals++] = cal;
}
ts = rq_yield_curve_init(
rq_bootstrap_config_get_curve_id(config),
// config,
rq_bootstrap_config_get_interpolation_method(config),
rq_bootstrap_config_get_extrapolation_method_start(config),
rq_bootstrap_config_get_extrapolation_method_end(config),
rq_bootstrap_config_get_zero_method(config),
rq_bootstrap_config_get_zero_method_compound_frequency(config),
rq_bootstrap_config_get_default_day_count_convention(config),
date
);
underlying_asset_id = rq_bootstrap_config_get_asset_id(config);
if (underlying_asset_id)
{
rq_asset_t a = rq_asset_mgr_get(asset_mgr, underlying_asset_id);
rq_yield_curve_set_underlying_asset_id(ts, underlying_asset_id);
/* Set the default day count convention to be ACT/360 if the
underlying currency has a 360 day basis.
*/
if (a && !strcmp(rq_asset_get_asset_type_id(a), rq_asset_type_id_ccy))
{
if (rq_asset_ccy_get_days_per_year(a) == 360)
rq_yield_curve_set_default_day_count_convention(
ts,
RQ_DAY_COUNT_ACTUAL_360
);
}
}
#ifdef DEBUG_BOOTSTRAP
fprintf(fh, "Building %s %s yield curve simple\n", curve_id, rq_bootstrap_config_get_asset_id(config));
fflush(fh);
#endif
// need to sort the rate classes by tenor, to ensure points are bootstrapped in correct order
for (i = 0; i < rq_bootstrap_config_get_num_rate_class_ids(config); i++)
{
const rq_rate_t rate = rq_rate_mgr_find(
rate_mgr,
rq_bootstrap_config_get_rate_class_id_at(config, i)
);
if (rate)
{
/* find the asset */
const char *asset_id = rq_rate_get_asset_id(rate);
const rq_asset_t asset = rq_asset_mgr_get(
asset_mgr,
asset_id
);
/* Note these are not actually applied !! */
if (rate_adjust_factors && rate_adjust_factors[i] != 0.0)
r *= rate_adjust_factors[i];
if (asset)
{
#ifdef DEBUG_BOOTSTRAP
{
short d1, m1, y1;
short d2, m2, y2;
rq_date_to_dmy(rq_rate_get_observation_date(rate), &d1, &m1, &y1);
rq_date_to_dmy(rq_rate_get_value_date(rate), &d2, &m2, &y2);
fprintf(fh, "\tBootstrap: %i\trate_class_id=%s \tasset=%s \trate=%f \tobs_date=%d/%d/%d \tvalue_date=%d/%d/%d\n", i, rq_rate_get_rate_class_id(rate), asset_id, rq_rate_get_value(rate), d1, m1, y1, d2, m2, y2);
fflush(fh);
}
#endif
if (!strcmp(rq_asset_get_asset_type_id(asset), rq_asset_type_id_ccy))
{
double df = bootstrapAssetCcy(asset, rate, &last_date_bootstrapped);
setDiscountFactor(ts, last_date_bootstrapped, df);
#ifdef DEBUG_BOOTSTRAP
{
char buf[40];
fprintf(fh, " %g %s ", df, rq_date_to_string(buf, "dd/mm/yy", last_date_bootstrapped));
}
#endif
}
else if (!strcmp(rq_asset_get_asset_type_id(asset), rq_asset_type_id_irovernight))
{
double df = bootstrapAssetIROvernight(asset, rate, &last_date_bootstrapped);
setDiscountFactor(ts, last_date_bootstrapped, df);
#ifdef DEBUG_BOOTSTRAP
{
char buf[40];
fprintf(fh, " %g %s ", df, rq_date_to_string(buf, "dd/mm/yy", last_date_bootstrapped));
}
#endif
}
else if (!strcmp(rq_asset_get_asset_type_id(asset), rq_asset_type_id_irdiscount))
{
double df = bootstrapAssetIRDiscount(asset, rate, &last_date_bootstrapped, cals, num_cals, ts);
setDiscountFactor(ts, last_date_bootstrapped, df);
#ifdef DEBUG_BOOTSTRAP
{
char buf[40];
fprintf(fh, " %g %s ", df, rq_date_to_string(buf, "dd/mm/yy", last_date_bootstrapped));
}
#endif
}
else if (!strcmp(rq_asset_get_asset_type_id(asset), rq_asset_type_id_irfuture))
{
double df;
switch(config->billFuture_method)
{
case RQ_BILL_FUTURE_TENOR:
df = bootstrapAssetIRFutureTenor(asset, rate, &last_date_bootstrapped, ts, cals, num_cals);
break;
case RQ_BILL_FUTURE_STRIP:
default:
df = bootstrapAssetIRFutureStrip(asset, rate, &last_date_bootstrapped, ts, cals, num_cals, lastFutureRate, lastFutureAsset, lastFutureDF);
lastFutureDF = df;
break;
}
setDiscountFactor(ts, last_date_bootstrapped, df);
lastFutureAsset = asset;
lastFutureRate = rate;
#ifdef DEBUG_BOOTSTRAP
{
char buf[40];
fprintf(fh, " %g %s ", df, rq_date_to_string(buf, "dd/mm/yy", last_date_bootstrapped));
}
#endif
}
else if (!strcmp(rq_asset_get_asset_type_id(asset), rq_asset_type_id_irswap))
{
processSwapsDCF(asset, rate, &last_date_bootstrapped, ts, cals, num_cals, rq_system_get_calendar_mgr(system), &last_swap_date, &last_swap_rate, &last_swap_period, RQ_SWAP_DAY_COUNT_SIMPLE, rq_bootstrap_config_get_swapParInterpolation_method(config), 0, 0, 0);
}
else if (!strcmp(rq_asset_get_asset_type_id(asset), rq_asset_type_id_irbond))
{
bootstrapAssetIRBond(asset, rate, &last_date_bootstrapped, ts, cals, num_cals);
}
else if (!strcmp(rq_asset_get_asset_type_id(asset), rq_asset_type_id_credit_spread))
{
double df = bootstrapAssetCreditSpread(asset, rate, &last_date_bootstrapped);
rq_yield_curve_set_discount_factor(ts, last_date_bootstrapped, df);
#ifdef DEBUG_BOOTSTRAP
{
char buf[40];
fprintf(fh, " %g %s ", df, rq_date_to_string(buf, "dd/mm/yy", last_date_bootstrapped));
}
#endif
}
if (last_date_to_bootstrap > 0 && last_date_bootstrapped > last_date_to_bootstrap)
break; /* break out of for loop, we've bootstrapped enough */
}
else
{
/* printf("Couldn't find asset\n"); */
}
}
else
{
/* printf("Couldn't find rate\n"); */
}
}
#ifdef DEBUG_BOOTSTRAP
/* dumpYieldCurve(system, ts); */
fprintf(fh, "\n\n");
#ifdef DEBUG_BOOTSTRAP_FH
fclose(fh);
#endif
#endif
if (rq_yield_curve_size(ts))
return ts;
rq_yield_curve_free(ts);
return NULL;
}
RQ_EXPORT rq_yield_curve_t
rq_bootstrap_yield_curve_day_count(
const char *curve_id,
const rq_system_t system,
const rq_market_t market,
double *rate_adjust_factors,
rq_date last_date_to_bootstrap,
int force_backward_compatible_daycount,
const char *debug_filename
)
{
unsigned int i;
rq_date date = rq_market_get_market_date(market);
const rq_rate_mgr_t rate_mgr = rq_market_get_rate_mgr(market);
const rq_asset_mgr_t asset_mgr = rq_system_get_asset_mgr(system);
rq_calendar_t cal;
const rq_bootstrap_config_t config = rq_bootstrap_config_mgr_find(rq_system_get_bootstrap_config_mgr(system), curve_id, RQ_TERMSTRUCT_TYPE_YIELD_CURVE);
rq_date last_date_bootstrapped = 0;
double last_swap_rate = 0.0;
rq_date last_swap_date = 0;
double last_year_count_frac = 0.0;
rq_calendar_t cals[2];
unsigned short num_cals = 0;
const char *underlying_asset_id = NULL;
double r=0;
rq_asset_t lastAsset = NULL;
rq_rate_t lastRate = NULL;
rq_asset_t lastFutureAsset = NULL;
rq_rate_t lastFutureRate = NULL;
double lastDF = 0.0;
double lastFutureDF = 0.0;
rq_asset_t splineSwapAssets[RQ_MAX_SWAP_RATES];
rq_rate_t splineSwapRates[RQ_MAX_SWAP_RATES];
int numSplineSwaps = 0;
enum rq_swapDayCount_method swapDayCount_method;
enum rq_swapParInterpolation_method parInterp_method;
#ifdef DEBUG_BOOTSTRAP
#ifdef DEBUG_BOOTSTRAP_FH
FILE *fh = fopen(debugFile, "a");
#else
FILE *fh = stdout;
#endif
#endif
rq_yield_curve_t ts;
if (!config)
return NULL;
if(force_backward_compatible_daycount)
swapDayCount_method = RQ_SWAP_DAY_COUNT_DAYCOUNT;
else
swapDayCount_method = rq_bootstrap_config_get_swapDayCount_method(config);
parInterp_method = rq_bootstrap_config_get_swapParInterpolation_method(config);
//first try curve calendar
cal = rq_calendar_mgr_get(rq_system_get_calendar_mgr(system), curve_id);
if (cal)
{
cals[num_cals++] = cal;
}
else
{
//no curve calendar, so try curve asset
cal = rq_calendar_mgr_get(rq_system_get_calendar_mgr(system), rq_bootstrap_config_get_asset_id(config));
if (cal)
cals[num_cals++] = cal;
}
ts = rq_yield_curve_init(
rq_bootstrap_config_get_curve_id(config),
rq_bootstrap_config_get_interpolation_method(config),
rq_bootstrap_config_get_extrapolation_method_start(config),
rq_bootstrap_config_get_extrapolation_method_end(config),
rq_bootstrap_config_get_zero_method(config),
rq_bootstrap_config_get_zero_method_compound_frequency(config),
rq_bootstrap_config_get_default_day_count_convention(config),
date
);
rq_yield_curve_set_debug_filename(ts, debug_filename);
underlying_asset_id = rq_bootstrap_config_get_asset_id(config);
if (underlying_asset_id)
{
rq_asset_t a = rq_asset_mgr_get(asset_mgr, underlying_asset_id);
rq_yield_curve_set_underlying_asset_id(ts, underlying_asset_id);
/* Set the default day count convention to be ACT/360 if the
underlying currency has a 360 day basis.
*/
if (a && !strcmp(rq_asset_get_asset_type_id(a), rq_asset_type_id_ccy))
{
if (rq_asset_ccy_get_days_per_year(a) == 360)
rq_yield_curve_set_default_day_count_convention(
ts,
RQ_DAY_COUNT_ACTUAL_360
);
}
}
#ifdef DEBUG_BOOTSTRAP
fprintf(fh, "Building %s curve\n", rq_bootstrap_config_get_asset_id(config));
fflush(fh);
#endif
// need to sort the rate classes by tenor, to ensure points are bootstrapped in correct order
for (i = 0; i < rq_bootstrap_config_get_num_rate_class_ids(config); i++)
{
const rq_rate_t rate = rq_rate_mgr_find(
rate_mgr,
rq_bootstrap_config_get_rate_class_id_at(config, i)
);
if (rate)
{
// find the asset
const char *asset_id = rq_rate_get_asset_id(rate);
const rq_asset_t asset = rq_asset_mgr_get(
asset_mgr,
asset_id
);
if (rate_adjust_factors && rate_adjust_factors[i] != 0.0)
r *= rate_adjust_factors[i];
if (asset)
{
#ifdef DEBUG_BOOTSTRAP
{
short d1, m1, y1;
short d2, m2, y2;
rq_date_to_dmy(rq_rate_get_observation_date(rate), &d1, &m1, &y1);
rq_date_to_dmy(rq_rate_get_value_date(rate), &d2, &m2, &y2);
fprintf(fh, "\tBootstrap: \tasset=%s \trate=%f \tto_date=%d/%d/%d \tfrom_date=%d/%d/%d\n", asset_id, r, d1, m1, y1, d2, m2, y2);
fflush(fh);
}
#endif
if (!strcmp(rq_asset_get_asset_type_id(asset), rq_asset_type_id_ccy))
{
double df = bootstrapAssetCcy(asset, rate, &last_date_bootstrapped);
setDiscountFactor(ts, last_date_bootstrapped, df);
}
else if (!strcmp(rq_asset_get_asset_type_id(asset), rq_asset_type_id_irovernight))
{
double df = bootstrapAssetIROvernight(asset, rate, &last_date_bootstrapped);
setDiscountFactor(ts, last_date_bootstrapped, df);
}
else if (!strcmp(rq_asset_get_asset_type_id(asset), rq_asset_type_id_irdiscount))
{
double df = 0.0;
if (rq_rate_get_rate_type(rate) == RQ_RATE_TYPE_PAR)
df = bootstrapParDCF(asset, rate, &last_date_bootstrapped, ts, cals, num_cals, lastRate, lastAsset, lastDF);
else
df = bootstrapAssetIRDiscount(asset, rate, &last_date_bootstrapped, cals, num_cals, ts);
lastDF = df;
setDiscountFactor(ts, last_date_bootstrapped, df);
}
else if (!strcmp(rq_asset_get_asset_type_id(asset), rq_asset_type_id_irfuture))
{
double df;
switch(config->billFuture_method)
{
case RQ_BILL_FUTURE_TENOR:
df = bootstrapAssetIRFutureTenor(asset, rate, &last_date_bootstrapped, ts, cals, num_cals);
break;
case RQ_BILL_FUTURE_STRIP:
default:
df = bootstrapAssetIRFutureStrip(asset, rate, &last_date_bootstrapped, ts, cals, num_cals, lastFutureRate, lastFutureAsset, lastFutureDF);
break;
}
lastDF = df;
lastFutureDF = df;
lastFutureAsset = asset;
lastFutureRate = rate;
setDiscountFactor(ts, last_date_bootstrapped, df);
}
else if (!strcmp(rq_asset_get_asset_type_id(asset), rq_asset_type_id_irswap))
{
// If using spline interpolation of swap par rates then we need to know all swaps before we can do any.
switch(parInterp_method)
{
case RQ_SWAP_PAR_INTERPOLATION_CUBIC_SPLINE :
case RQ_SWAP_PAR_INTERPOLATION_CUBIC_SPLINE_SWAPS_ONLY :
if(numSplineSwaps < RQ_MAX_SWAP_RATES)
{
splineSwapAssets[numSplineSwaps] = asset;
splineSwapRates[numSplineSwaps] = rate;
numSplineSwaps++;
}
break;
case RQ_SWAP_PAR_INTERPOLATION_LINEAR:
default :
processSwapsDCF(asset,
rate,
&last_date_bootstrapped,
ts,
cals,
num_cals,
rq_system_get_calendar_mgr(system),
&last_swap_date,
&last_swap_rate,
&last_year_count_frac,
swapDayCount_method,
parInterp_method,
0,0,0);
break;
}
}
else if (!strcmp(rq_asset_get_asset_type_id(asset), rq_asset_type_id_irbond))
{
bootstrapAssetIRBond(asset, rate, &last_date_bootstrapped, ts, cals, num_cals);
}
else if (!strcmp(rq_asset_get_asset_type_id(asset), rq_asset_type_id_credit_spread))
{
double df = bootstrapAssetCreditSpread(asset, rate, &last_date_bootstrapped);
rq_yield_curve_set_discount_factor(ts, last_date_bootstrapped, df);
}
lastAsset = asset;
if (last_date_to_bootstrap > 0 && last_date_bootstrapped > last_date_to_bootstrap)
break; // enough bootstrapping, now get out of here, you bootstrapping cowboy.
}
else
{
// printf("Couldn't find asset\n");
}
lastRate = rate;
}
else
{
// printf("Couldn't find rate\n");
}
}
for(i = 0; i < (unsigned int)numSplineSwaps; i++)
{
processSwapsDCF(splineSwapAssets[i],
splineSwapRates[i],
&last_date_bootstrapped,
ts,
cals,
num_cals,
rq_system_get_calendar_mgr(system),
&last_swap_date,
&last_swap_rate,
&last_year_count_frac,
swapDayCount_method,
parInterp_method,
splineSwapAssets,
splineSwapRates,
numSplineSwaps);
lastRate = splineSwapRates[i];
lastAsset = splineSwapAssets[i];
}
#ifdef DEBUG_BOOTSTRAP
dumpYieldCurveSpline(system, ts);
fprintf(fh, "\n\n");
#ifdef DEBUG_BOOTSTRAP_FH
fclose(fh);
#endif
#endif
if (rq_yield_curve_size(ts))
return ts;
rq_yield_curve_free(ts);
return NULL;
}
void
processSwapsDCF(const rq_asset_t asset,
const rq_rate_t rate,
rq_date* last_date_bootstrapped,
rq_yield_curve_t ts,
const rq_calendar_t* base_cals,
unsigned short base_num_cals,
rq_calendar_mgr_t calendar_mgr,
rq_date* last_swap_date,
double* last_swap_rate,
double* last_year_count_frac,
enum rq_swapDayCount_method swapDayCount_method,
enum rq_swapParInterpolation_method parInterpolation_method,
const rq_asset_t *splineSwapAssets,
const rq_rate_t *splineSwapRates,
int numSwaps)
{
/*
Work out dates that the payments fall on for the swap.
Calculate discount factors for all the dates except
the last date.
*/
rq_date dates[RQ_YIELD_CURVE_MAX_FACTORS];
double splineX[RQ_MAX_SPLINE_POINTS];
double splineY[RQ_MAX_SPLINE_POINTS];
double splineY2[RQ_MAX_SPLINE_POINTS];
int splineNum;
int num_cals;
rq_calendar_t cals[3];
int simple_daycount = swapDayCount_method == RQ_SWAP_DAY_COUNT_SIMPLE;
FILE *debug_fp = 0;
int no_interpolation;
double r = rq_rate_get_value(rate);
double df;
rq_date start_date = ts->from_date; /* rq_rate_get_observation_date(rate); */
double dfStart = 1.0;
int num_dates;
unsigned short num_discount_factors;
double last_df = 1.0;
unsigned short j;
rq_date last_date_on_curve = rq_yield_curve_get_last_date(ts);
double swap_period = rq_term_get_annualized_period(rq_asset_irswap_get_frequency(asset));
double year_count_frac = swap_period;
enum rq_day_count_convention day_count = rq_asset_irswap_get_day_count_convention(asset);
double sum_dfs = 0.0;
double x, x1, x2;
rq_date lastDateStrapped;
num_cals = base_num_cals;
for(j=0; j < num_cals; j++)
cals[j] = base_cals[j];
if(rq_asset_irswap_get_additional_calendar(asset))
{
cals[num_cals] = rq_calendar_mgr_get(calendar_mgr, rq_asset_irswap_get_additional_calendar(asset));
if(cals[num_cals])
num_cals++;
}
start_date = rq_date_roll_offset_term(start_date,
rq_asset_irswap_get_start_tenor_type(asset),
rq_asset_irswap_get_start_tenor(asset),
cals,
num_cals,
rq_asset_irswap_get_date_roll_convention(asset));
if (start_date > ts->from_date)
dfStart = rq_yield_curve_get_discount_factor(ts, start_date);
lastDateStrapped = rq_date_roll_get_date(
start_date,
rq_asset_irswap_get_tenor(asset),
RQ_ROLL_CONVENTION_NONE,
rq_asset_irswap_get_date_roll_convention(asset),
cals,
num_cals
);
num_dates = rq_date_roll_generate_dates(
dates,
RQ_YIELD_CURVE_MAX_FACTORS,
start_date,
lastDateStrapped,
rq_asset_irswap_get_frequency(asset),
RQ_ROLL_CONVENTION_NONE,
rq_asset_irswap_get_date_roll_convention(asset),
cals,
num_cals,
RQ_DATE_ROLL_STUB_POSITION_NONE,
15, /* allow 15 days error on date creation */
NULL
);
/* ignore the first date */
num_discount_factors = (unsigned short)(num_dates - 2);
if(ts->debug_filename)
debug_fp = fopen(ts->debug_filename, "a");
if(debug_fp)
{
char buf[64];
time_t ltime;
time( <ime );
ctime_s(buf, 64, <ime);
fprintf(debug_fp, "%s : START bootstrapSwapAsset() ", buf);
fprintf(debug_fp, "curve_id: %s asset_id: %s date: %s\n", rq_yield_curve_get_curve_id(ts),
rq_asset_get_asset_id(asset), rq_date_to_string(buf, "yyyymmdd", lastDateStrapped));
}
// If swap par rate interpolation method is cubic spline then setup spline points
if(splineSwapRates)
{
splineNum = rq_generate_swap_splines(parInterpolation_method, dates, ts, splineSwapAssets, splineSwapRates, numSwaps,
num_discount_factors, last_date_on_curve, start_date, dfStart, simple_daycount,
splineX, splineY, splineY2, swap_period, day_count, base_cals, base_num_cals, calendar_mgr);
if(debug_fp)
{
fprintf(debug_fp, "Spline interpolation array X Y Y2 :\n");
for(j = 1; j <= splineNum; j++)
fprintf(debug_fp, "%d %.17lf %.17lf %.17lf\n", j, splineX[j], splineY[j], splineY2[j]);
}
}
last_df = dfStart;
// If 1 then no interpolation occurs and the swap par rate goes into each roll date.
no_interpolation = ts->num_factors == 0;
for (j = 0; j < num_discount_factors; j++)
{
if (dates[j+1] <= last_date_on_curve)
{
// This is wrong. The swap rate should be inserted before this.
df = rq_yield_curve_get_discount_factor(ts, dates[j+1]);
}
else
{
/* need to imply a swap rate for this point */
double par_rate_prev;
double par_rate;
rq_date date_prev;
if (*last_swap_rate == 0.0 || *last_year_count_frac != year_count_frac)
{
if(sum_dfs == 0.0)
{
// First roll point is at ts->from_date so no par rate can be computed. Use first df point to calculate.
df = ts->discount_factors[0].discount_factor;
par_rate_prev = (1.0 - df) / (df * rq_day_count_get_year_fraction(day_count, ts->from_date, ts->discount_factors[0].date));
}
else
par_rate_prev = (1.0 - last_df / dfStart) / (sum_dfs / dfStart);
date_prev = dates[j];
}
else
{
par_rate_prev = *last_swap_rate;
date_prev = *last_swap_date;
}
/* now linearly interpolate a new swap rate for
the date we actually want */
if(simple_daycount)
{
/* With BootstrapYieldCurveSimple each leg is assumed to have the same dcf. */
x2 = lastDateStrapped;
x1 = date_prev;
x = dates[j+1];
year_count_frac = swap_period;
}
else
{
/* This is inconsistent with the sum_df and will be raised a separate issue. For now no change to the functionality. Forge reference is: 178664 Enhanced bootstrap algorithm for swap. */
/* Also in the forge case the example spreadsheet and spec differ, Spreadsheet uses start_date difference, spec uses relative dcf. */
x2 = rq_day_count_get_year_fraction(day_count, start_date, lastDateStrapped);
x1 = rq_day_count_get_year_fraction(day_count, start_date, date_prev);
x = rq_day_count_get_year_fraction(day_count, start_date, dates[j+1]);
year_count_frac = rq_day_count_get_year_fraction(day_count, start_date, dates[j+1])
- rq_day_count_get_year_fraction(day_count, start_date, dates[j]);
}
// ts->num_factors == 0 special case only swap points in curve so interpolation is not possible.
// This allows us to bootstrap a curve containing only swaps.
if(no_interpolation)
{
par_rate = r;
// We also need to define dfStart or this will always be 1.
if(start_date > ts->from_date)
{
dfStart = 1.0 / (1 + r * rq_day_count_get_year_fraction(day_count, ts->from_date, start_date));
// And also add it into the curve.
setDiscountFactor(ts, start_date, dfStart);
}
}
else
if(splineSwapRates)
par_rate = rq_interpolate_splint(x, splineX, splineY, splineY2, splineNum);
else
par_rate = rq_interpolate_linear(x, x1, par_rate_prev, x2, r);
/* now add the discount factor implied by this
par rate to the yield curve */
df = (dfStart - sum_dfs * par_rate) / (1 + par_rate * year_count_frac);
setDiscountFactor(ts, dates[j+1], df);
if(debug_fp)
{
char buf[16];
fprintf(debug_fp, "interpolation %d date %s par_rate %.17lf x %.17lf df %.17lf dfStart %.17lf sum_dfs %.17lf year_count_frac %.17lf\n",
j, rq_date_to_string(buf, "yyyymmdd", dates[j+1]), par_rate, x, df, dfStart, sum_dfs, year_count_frac);
}
}
if(simple_daycount)
sum_dfs += df * swap_period;
else
sum_dfs += df * rq_day_count_get_year_fraction(day_count, dates[j], dates[j+1]);
last_df = df;
}
if(!simple_daycount)
year_count_frac = rq_day_count_get_year_fraction(day_count, start_date, dates[num_discount_factors+1])
- rq_day_count_get_year_fraction(day_count, start_date, dates[num_discount_factors]);
df = (dfStart - sum_dfs * r) / (1 + r * year_count_frac);
setDiscountFactor(ts, lastDateStrapped, df);
*last_swap_date = lastDateStrapped;
*last_swap_rate = r;
*last_year_count_frac = year_count_frac;
*last_date_bootstrapped = lastDateStrapped;
if(debug_fp)
{
char buf[64];
time_t ltime;
time( <ime );
ctime_s(buf, 64, <ime);
fprintf(debug_fp, "%s : END bootstrapSwapAsset() ", buf);
fprintf(debug_fp, "curve_id: %s asset_id: %s\n\n",
rq_yield_curve_get_curve_id(ts), rq_asset_get_asset_id(asset));
fclose(debug_fp);
}
}
