Merge branch 'feature/QPR-13648' into 'master'

QPR-13648 t0 curve extrapolation (contains the changes from QPR-13703 to avoid conflicts)

Closes QPR-13648

See merge request qs/oreplus!3138

Author: damienbarker

Docs/UserGuide/curve_configurations/yieldcurves.tex

@@ -56,11 +56,19 @@ \subsubsection{Yield Curves}
 \item Extrapolation [Optional]: Set to \emph{True} or \emph{False} to enable or disable extrapolation respectively. If
 the element is omitted or left blank, then it defaults to \emph{True}.
 
-\item ExcludeT0FromInterpolation [Optional]: Set to \emph{True} to exclude the synthetic time-zero (t0) point from
-yield curve interpolation. When enabled, the curve interpolates only on actual market pillar dates, while still
-ensuring proper behavior at the reference date (e.g., $DF(t_0) = 1.0$ for discount curves). This is useful when the
-first market pillar date does not coincide with the as-of date and you want to avoid including a synthetic point in
-the interpolation.
+\item ExtrapolationMethod [Optional]: Only applies to bootstrapped curves and interpolated zero / discount curves.
+Controls how the curve is extrapolated:
+\begin{itemize}
+\item \emph{ContinuousForward}: The instantaneous forward rate at the last curve pillar date $T$ is kept constant
+\item \emph{DiscreteForward}: The discrete forward rate between $T-1$ and $T$ is kept constant, where $T$ is the last
+curve pillar date and $T-1$ lies one calendar day before $T$.
+\end{itemize}
+
+\item ExcludeT0FromInterpolation [Optional]: Only applies to bootstrapped curves and interpolated zero / discount curves.
+Set to \emph{True} to exclude the  synthetic time-zero (t0) point from yield curve interpolation. When enabled, the curve
+interpolates only on actual market pillar dates, while still ensuring proper behavior at the reference date
+(e.g., $DF(t_0) = 1.0$ for discount curves). This is useful when the first market pillar date does not coincide with the
+as-of date and you want to avoid including a synthetic point in the interpolation.
 
 This feature is supported for all three interpolation variables:
 \begin{itemize}

ORE-SWIG/OREData-SWIG/SWIG/ored_yieldcurveconfig.i

@@ -259,6 +259,7 @@ public:
                      const std::string& discountCurveID, const std::vector<ext::shared_ptr<YieldCurveSegment>>& curveSegments,
                      const std::string& interpolationVariable = "Discount", const std::string& interpolationMethod = "LogLinear",
                      const std::string& zeroDayCounter = "A365", bool extrapolation = true,
+                     const std::string& extrapolationMethod = "ContinuousForward",
                      const BootstrapConfig& bootstrapConfig = BootstrapConfig(),
                      const QuantLib::Size mixedInterpolationCutoff = 1);
 

ORE-SWIG/QuantLib-SWIG

@@ -179,14 +179,14 @@ YieldCurveConfig::YieldCurveConfig(const string& curveID, const string& curveDes
                                    const string& discountCurveID,
                                    const vector<QuantLib::ext::shared_ptr<YieldCurveSegment>>& curveSegments,
                                    const string& interpolationVariable, const string& interpolationMethod,
-                                   const string& zeroDayCounter, bool extrapolation,
+                                   const string& zeroDayCounter, bool extrapolation, const string& extrapolationMethod,
                                    const BootstrapConfig& bootstrapConfig, const Size mixedInterpolationCutoff,
                                    QuantLib::ext::shared_ptr<IborFallbackConfig> iborFallbackConfig)
     : CurveConfig(curveID, curveDescription), currency_(currency), discountCurveID_(discountCurveID),
       curveSegments_(curveSegments), interpolationVariable_(interpolationVariable),
       interpolationMethod_(interpolationMethod), zeroDayCounter_(zeroDayCounter), extrapolation_(extrapolation),
-      bootstrapConfig_(bootstrapConfig), mixedInterpolationCutoff_(mixedInterpolationCutoff),
-      iborFallbackConfig_(iborFallbackConfig) {}
+      extrapolationMethod_(extrapolationMethod), bootstrapConfig_(bootstrapConfig),
+      mixedInterpolationCutoff_(mixedInterpolationCutoff), iborFallbackConfig_(iborFallbackConfig) {}
 
 const vector<string>& YieldCurveConfig::quotes() {
     if (quotes_.size() == 0) {
@@ -284,6 +284,7 @@ void YieldCurveConfig::fromXML(XMLNode* node) {
     mixedInterpolationCutoff_ = XMLUtils::getChildValueAsInt(node, "MixedInterpolationCutoff", false, 1);
     zeroDayCounter_ = XMLUtils::getChildValue(node, "YieldCurveDayCounter", false, "A365");
     extrapolation_ = XMLUtils::getChildValueAsBool(node, "Extrapolation", false, true);
+    extrapolationMethod_ = XMLUtils::getChildValue(node, "ExtrapolationMethod", false, "ContinuousForward");
     excludeT0FromInterpolation_ = XMLUtils::getChildValueAsBool(node, "ExcludeT0FromInterpolation", false, false);
 
     // Optional bootstrap configuration
@@ -330,6 +331,7 @@ XMLNode* YieldCurveConfig::toXML(XMLDocument& doc) const {
     XMLUtils::addChild(doc, node, "YieldCurveDayCounter", zeroDayCounter_);
     XMLUtils::addChild(doc, node, "Tolerance", bootstrapConfig_.accuracy());
     XMLUtils::addChild(doc, node, "Extrapolation", extrapolation_);
+    XMLUtils::addChild(doc, node, "ExtrapolationMethod", extrapolationMethod_);
     XMLUtils::addChild(doc, node, "ExcludeT0FromInterpolation", excludeT0FromInterpolation_);
     XMLUtils::appendNode(node, bootstrapConfig_.toXML(doc));
     XMLUtils::appendNode(node, reportConfig_.toXML(doc));

OREData/ored/configuration/yieldcurveconfig.cpp

@@ -667,12 +667,15 @@ class YieldCurveConfig : public CurveConfig {
     //! \name Constructors/Destructors
     //@{
     //! Default constructor
-    YieldCurveConfig(QuantLib::ext::shared_ptr<IborFallbackConfig> iborFallbackConfig = nullptr) : iborFallbackConfig_(iborFallbackConfig) {}
+    YieldCurveConfig(QuantLib::ext::shared_ptr<IborFallbackConfig> iborFallbackConfig = nullptr) : iborFallbackConfig_(
+        iborFallbackConfig) {}
     //! Detailed constructor
     YieldCurveConfig(const string& curveID, const string& curveDescription, const string& currency,
-                     const string& discountCurveID, const vector<QuantLib::ext::shared_ptr<YieldCurveSegment>>& curveSegments,
+                     const string& discountCurveID,
+                     const vector<QuantLib::ext::shared_ptr<YieldCurveSegment>>& curveSegments,
                      const string& interpolationVariable = "Discount", const string& interpolationMethod = "LogLinear",
                      const string& zeroDayCounter = "A365", bool extrapolation = true,
+                     const string& extrapolationMethod = "ContinuousForward",
                      const BootstrapConfig& bootstrapConfig = BootstrapConfig(),
                      const Size mixedInterpolationCutoff = 1,
                      QuantLib::ext::shared_ptr<IborFallbackConfig> iborFallbackConfig = nullptr);
@@ -696,6 +699,7 @@ class YieldCurveConfig : public CurveConfig {
     Size mixedInterpolationCutoff() const { return mixedInterpolationCutoff_; }
     const string& zeroDayCounter() const { return zeroDayCounter_; }
     bool extrapolation() const { return extrapolation_; }
+    const string& extrapolationMethod() const { return extrapolationMethod_; }
     const BootstrapConfig& bootstrapConfig() const { return bootstrapConfig_; }
     bool excludeT0FromInterpolation() const { return excludeT0FromInterpolation_; }
     //@}
@@ -707,6 +711,7 @@ class YieldCurveConfig : public CurveConfig {
     Size& mixedInterpolationCutoff() { return mixedInterpolationCutoff_; }
     string& zeroDayCounter() { return zeroDayCounter_; }
     bool& extrapolation() { return extrapolation_; }
+    string& extrapolationMethod() { return extrapolationMethod_; }
     void setBootstrapConfig(const BootstrapConfig& bootstrapConfig) { bootstrapConfig_ = bootstrapConfig; }
     //@}
     const ReportConfig& reportConfig() const { return reportConfig_; }
@@ -725,9 +730,10 @@ class YieldCurveConfig : public CurveConfig {
     string interpolationVariable_;
     string interpolationMethod_;
     string zeroDayCounter_;
-    bool extrapolation_;
+    bool extrapolation_ = true;
+    string extrapolationMethod_;
     BootstrapConfig bootstrapConfig_;
-    Size mixedInterpolationCutoff_;
+    Size mixedInterpolationCutoff_ = 1;
     ReportConfig reportConfig_;
     QuantLib::ext::shared_ptr<IborFallbackConfig> iborFallbackConfig_;
     bool excludeT0FromInterpolation_ = false;