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extended yield curves by cheapesttodeliver #228

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extended yield curves by cheapesttodeliver #228

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90 changes: 88 additions & 2 deletions OREData/ored/configuration/yieldcurveconfig.cpp
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Original file line number Diff line number Diff line change
@@ -1,6 +1,6 @@
/*
Copyright (C) 2016 Quaternion Risk Management Ltd
Copyright (C) 2023 Oleg Kulkov
Copyright (C) 2023,2024 Oleg Kulkov
All rights reserved.

This file is part of ORE, a free-software/open-source library
Expand Down Expand Up @@ -72,6 +72,8 @@ YieldCurveSegment::Type parseYieldCurveSegment(const string& s) {
return YieldCurveSegment::Type::DiscountRatio;
else if (iequals(s, "FittedBond"))
return YieldCurveSegment::Type::FittedBond;
else if (iequals(s, "Cheapest To Deliver"))
return YieldCurveSegment::Type::CheapestToDeliver;
else if (iequals(s, "Yield Plus Default"))
return YieldCurveSegment::Type::YieldPlusDefault;
else if (iequals(s, "Weighted Average"))
Expand All @@ -93,6 +95,7 @@ class SegmentIDGetter : public AcyclicVisitor,
public Visitor<DiscountRatioYieldCurveSegment>,
public Visitor<FittedBondYieldCurveSegment>,
public Visitor<WeightedAverageYieldCurveSegment>,
public Visitor<CheapestToDeliverCurveSegment>,
public Visitor<YieldPlusDefaultYieldCurveSegment>,
public Visitor<BondYieldShiftedYieldCurveSegment>,
public Visitor<IborFallbackCurveSegment> {
Expand All @@ -112,6 +115,7 @@ class SegmentIDGetter : public AcyclicVisitor,
void visit(WeightedAverageYieldCurveSegment& s) override;
void visit(YieldPlusDefaultYieldCurveSegment& s) override;
void visit(BondYieldShiftedYieldCurveSegment& s) override;
void visit(CheapestToDeliverCurveSegment& s) override;
void visit(IborFallbackCurveSegment& s) override;

private:
Expand Down Expand Up @@ -193,6 +197,15 @@ void SegmentIDGetter::visit(BondYieldShiftedYieldCurveSegment& s) {
requiredCurveIds_[CurveSpec::CurveType::Yield].insert(s.referenceCurveID());
}

void SegmentIDGetter::visit(CheapestToDeliverCurveSegment& s) {
for (auto const& c : s.ctdCurves()) {
string cname = c.second;
if (curveID_ != cname && !cname.empty()) {
requiredCurveIds_[CurveSpec::CurveType::Yield].insert(cname);
}
}
}

void SegmentIDGetter::visit(WeightedAverageYieldCurveSegment& s) {
string aCurveID1 = s.referenceCurveID1();
string aCurveID2 = s.referenceCurveID2();
Expand Down Expand Up @@ -281,6 +294,8 @@ void YieldCurveConfig::fromXML(XMLNode* node) {
segment.reset(new BondYieldShiftedYieldCurveSegment());
} else if (childName == "WeightedAverage") {
segment.reset(new WeightedAverageYieldCurveSegment());
} else if (childName == "CheapestToDeliver") {
segment.reset(new CheapestToDeliverCurveSegment());
} else if (childName == "YieldPlusDefault") {
segment.reset(new YieldPlusDefaultYieldCurveSegment());
} else if(childName == "IborFallback"){
Expand Down Expand Up @@ -399,7 +414,8 @@ void YieldCurveSegment::fromXML(XMLNode* node) {
{"WeightedAverage", {"Weighted Average"}},
{"DiscountRatio", {"Discount Ratio"}},
{"IborFallback", {"Ibor Fallback"}},
{"BondYieldShifted", {"Bond Yield Shifted"}}
{"BondYieldShifted", {"Bond Yield Shifted"}},
{"CheapestToDeliver", {"Cheapest To Deliver"}}
};

std::list<std::string> validTypes = validSegmentTypes.at(name);
Expand Down Expand Up @@ -820,6 +836,76 @@ void YieldPlusDefaultYieldCurveSegment::accept(AcyclicVisitor& v) {
YieldCurveSegment::accept(v);
}

void CheapestToDeliverCurveSegment::fromXML(XMLNode* node) {
XMLUtils::checkNode(node, "CheapestToDeliver");
YieldCurveSegment::fromXML(node);
vector<string> ctdCurveCcys;
vector<string> ctdCurves = XMLUtils::getChildrenValuesWithAttributes(
node, "CollateralCurves", "CollateralCurve", "currency", ctdCurveCcys, true);
for (Size i = 0; i < ctdCurveCcys.size(); ++i) {
ctdCurves_[ctdCurveCcys[i]] = ctdCurves[i];
}

vector<string> ctSpreadsCcy;
vector<string> ctdSpreads = XMLUtils::getChildrenValuesWithAttributes(
node, "CollateralSpreads", "CollateralSpread", "currency", ctSpreadsCcy, true);

//collect information on the schedule for the final curve grid
XMLNode* pillarGenNode = XMLUtils::getChildNode(node, "PillarsGeneration");
rule_ = parseBool(XMLUtils::getChildValue(pillarGenNode, "Rule", false, "false"));

if (rule_) {

vector<string> grid;
vector<string> tenors = XMLUtils::getChildrenValuesWithAttributes(
pillarGenNode, "Periods", "Period", "maxTenor", grid, true);
for (Size i = 0; i < grid.size(); ++i) {
Period tmpMaxPeriod = parsePeriod(grid[i]);
Period tmpTenor = parsePeriod(tenors[i]);
if (tmpMaxPeriod > tmpTenor) {
periods_.push_back(std::make_pair(tmpMaxPeriod,tmpTenor));
} else {
ALOG("Period " << tmpMaxPeriod << " must not be longer than maximum tenor " << tmpTenor);
}
}
} else {
vector<std::string> pillars = XMLUtils::getChildrenValuesAsStrings(pillarGenNode, "Pillars", true);
pillars_ = parseVectorOfValues<Period>(pillars, &parsePeriod);

}

for (Size i = 0; i < ctdSpreads.size(); ++i) {
ctdSpreads_[ctSpreadsCcy[i]] = parseReal(ctdSpreads[i]);
auto it = ctdCurves_.find(ctSpreadsCcy[i]);
if (it == ctdCurves_.end()) {
QL_FAIL("CTD spread for currency " << ctdCurveCcys[i] << " is not defined in Spreads.");
}
}

QL_REQUIRE(ctdCurves_.size() == ctdSpreads_.size(), "size of ctd spreads " << ctdSpreads_.size() << " does not correspond to size of ctd curves " << ctdCurves_.size());

}

XMLNode* CheapestToDeliverCurveSegment::toXML(XMLDocument& doc) {
XMLNode* node = YieldCurveSegment::toXML(doc);
XMLUtils::setNodeName(doc, node, "CheapestToDeliver");
//XMLUtils::addChild(doc, node, "CCBasisIncluded", ccBasisIncluded_);
XMLUtils::addChild(doc, node, "CollateralCurves");
XMLUtils::addChild(doc, node, "CollateralSpreads");
XMLUtils::addGenericChildAsList(doc, node, "Pillars", pillars_);
XMLUtils::addChild(doc, node, "Conventions");
XMLUtils::addChild(doc, node, "PillarsGeneration");
return node;
}

void CheapestToDeliverCurveSegment::accept(AcyclicVisitor& v) {
Visitor<CheapestToDeliverCurveSegment>* v1 = dynamic_cast<Visitor<CheapestToDeliverCurveSegment>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
YieldCurveSegment::accept(v);
}

IborFallbackCurveSegment::IborFallbackCurveSegment(const string& typeID, const string& iborIndex,
const string& rfrCurve, const boost::optional<string>& rfrIndex,
const boost::optional<Real>& spread)
Expand Down
55 changes: 53 additions & 2 deletions OREData/ored/configuration/yieldcurveconfig.hpp
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,6 +1,6 @@
/*
Copyright (C) 2016 Quaternion Risk Management Ltd
Copyright (C) 2023 Oleg Kulkov
Copyright (C) 2023,2024 Oleg Kulkov
All rights reserved.

This file is part of ORE, a free-software/open-source library
Expand Down Expand Up @@ -79,7 +79,8 @@ class YieldCurveSegment : public XMLSerializable {
WeightedAverage,
YieldPlusDefault,
IborFallback,
BondYieldShifted
BondYieldShifted,
CheapestToDeliver
};
//! Default destructor
virtual ~YieldCurveSegment() {}
Expand Down Expand Up @@ -517,6 +518,56 @@ class DiscountRatioYieldCurveSegment : public YieldCurveSegment {
std::string denominatorCurveCurrency_;
};

//! Cheapest To Deliver curve segment
/*! Used to configure a QuantExt::Type::CheapestToDeliver.
\ingroup configuration
*/
class CheapestToDeliverCurveSegment : public YieldCurveSegment {
public:
//! \name Constructors/Destructors
//@{
//! Default constructor
CheapestToDeliverCurveSegment() {}
//! Detailed constructor
CheapestToDeliverCurveSegment(const std::string& typeId,
const bool ccBasisIncluded,
const map<std::string, std::string>& ctdCurvesId,
const std::vector<Period> pillars,
const vector<Real>& ctdSpreads);
//@}

//! \name Serialisation
//@{
virtual void fromXML(XMLNode* node) override;
virtual XMLNode* toXML(XMLDocument& doc) override;
//@}

//! \name Inspectors
//@{
//const bool CCBasisIncluded() const { return ccBasisIncluded_; }
const map<std::string, std::string>& ctdCurves() const { return ctdCurves_; }
const std::vector<Period> pillars() { return pillars_; }
const map<std::string, Real>& ctdSpreads() const { return ctdSpreads_; }
const bool getRule() { return rule_; }
const std::vector<pair<Period, Period>> getPeriods() { return periods_; }

//@}

//! \name Visitability
//@{
void accept(QuantLib::AcyclicVisitor& v) override;
//@}

private:
//bool ccBasisIncluded_;
map<std::string, std::string> ctdCurves_;
std::vector<pair<Period, Period>> periods_;
std::vector<Period> pillars_;
map<std::string, Real> ctdSpreads_;
bool rule_;

};

//! FittedBond yield curve segment
/*!
A bond segment is used to build a yield curve from liquid bond quotes.
Expand Down
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