QPR-12159 QPR-9557 update documentation

Author: pcaspers

Docs/UserGuide/curve_configurations/yieldcurves.tex

@@ -13,6 +13,7 @@ \subsubsection{Yield Curves}
   <Segments> </Segments>
   <InterpolationVariable> </InterpolationVariable>
   <InterpolationMethod> </InterpolationMethod>
+  <MixedInterpolationCutoff> </MixedInterpolationCutoff>
   <YieldCurveDayCounter> </YieldCurveDayCounter>
   <Tolerance> </Tolerance>
   <Extrapolation> </Extrapolation>
@@ -40,6 +41,8 @@ \subsubsection{Yield Curves}
 \emph{Discount}.
 \item InterpolationMethod [Optional]: The interpolation method to use. The allowable values are given in Table
 \ref{tab:allow_interp_methods}. If the element is omitted or left blank, then it defaults to \emph{LogLinear}.
+\item MixedInterpolationCutoff [Optional]: If a mixed interpolation method is used, the number of segments to which the
+  first interpolation method is applied. Defaults to 1.
 \item YieldCurveDayCounter [Optional]: The day count basis used internally by the yield curve to calculate the time between
 dates. In particular, if the curve is queried for a zero rate without specifying the day count basis, the zero rate that
 is returned has this basis. If the element is omitted or left blank, then it defaults to \emph{A365}.
@@ -88,6 +91,10 @@ \subsubsection{Yield Curves}
     LogQuadratic & Quadratic interpolation on the natural log of the interpolation variable \\ \hline
     Hermite & Hermite cubic spline interpolation \\ \hline
     CubicSpline & Non-monotonic cubic spline interpolation with second derivative at left and right \\ \hline
+    DefaultLogMixedLinearCubic & Mixed interpolation, first linear, then monotonic Kruger cubic spline \\ \hline
+    MonotonicLogMixedLinearCubic & Mixed interpolation, first linear, then monotonic natural cubic spline \\ \hline
+    KrugerLogMixedLinearCubic & Mixed interpolation, first linear, then non-monotonic Kruger cubic spline \\ \hline
+    LogMixedLinearCubicNaturalSpline & Mixed interpolation, first linear, then non-monotonic natural cubic spline \\ \hline
     ExponentialSplines & Exponential Spline curve fitting, for Fitted Bond Curves only \\ \hline
     NelsonSiegel & Nelson-Siegel curve fitting, for Fitted Bond Curves only \\ \hline
     Svensson & Svensson curve fitting, for Fitted Bond Curves only \\ \hline
@@ -149,7 +156,15 @@ \subsubsection*{Simple Segment}
 floating rates on the instruments underlying the quotes listed in the \lstinline!Quote! nodes during the bootstrap
 procedure. This is an optional node. If it is left blank or omitted, then the projection curve is assumed to equal the
 curve being bootstrapped i.e.\ the current CurveId. The \lstinline!PillarChoice! node determines the bootstrap pillars
-that are used (MaturityDate, LastRelevantDate).
+that are used (MaturityDate, LastRelevantDate, if not given 'LastRelevantDate' is the default value).
+
+The \lstinline!Priority! node determines the priority of the segment, this has to be a non-negative integer. A lower
+number means a higher priority (more ``important'') segment. If not given, the priority defaults to 0 (highest possible
+priority). The \lstinline!MinDistance! node determines the minimum distance in calendar days that is kept for the pillar
+dates of instruments between segments with different priority. This has to be a non-negative integer. If not given the
+minimum distance defaults to 1 (minimal possible distance between two bootstrap instruments). If instruments of two
+segments with different priority overlap w.r.t. the minimum distance defined for the segment with lower priority,
+instruments from the segments with lower priority are removed until the overlap is resolved.
 
 \begin{listing}[H]
 %\hrule\medskip
@@ -163,6 +178,8 @@ \subsubsection*{Simple Segment}
   </Quotes>
   <Conventions> </Conventions>
   <PillarChoice> </PillarChoice>
+  <Priority> </Priority>
+  <MinDistance> </MinDistance>
   <ProjectionCurve> </ProjectionCurve>
 </Simple>
 \end{minted}
@@ -178,7 +195,10 @@ \subsubsection*{Average OIS Segment}
 IRS quote and an OIS-LIBOR basis swap spread quote.  The IDs of these two quotes are stored in the
 \lstinline!CompositeQuote! node. The \lstinline!RateQuote! node holds the ID of the vanilla IRS quote and the
 \lstinline!SpreadQuote! node holds the ID of the OIS-LIBOR basis swap spread quote. The \lstinline!PillarChoice! node
-determines the bootstrap pillars that are used (MaturityDate, LastRelevantDate).
+determines the bootstrap pillars that are used (MaturityDate, LastRelevantDate, if not given 'LastRelevantDate' is the
+default value).
+
+For the \lstinline!Priority! and \lstinline!MinDistance! nodes see the explanation under ``Simple Segment''.
 
 \begin{listing}[H]
 %\hrule\medskip
@@ -192,6 +212,8 @@ \subsubsection*{Average OIS Segment}
   </Quotes>
   <Conventions> </Conventions>
   <PillarChoice> </PillarChoice>
+  <Priority> </Priority>
+  <MinDistance> </MinDistance>
   <ProjectionCurve> </ProjectionCurve>
 </AverageOIS>
 \end{minted}
@@ -229,7 +251,9 @@ \subsubsection*{Tenor Basis Segment}
 optional nodes. If they are left blank or omitted, then the projection curve is assumed to equal the curve being
 bootstrapped i.e.\ the current CurveId. However, at least one of the nodes needs to be populated to allow the bootstrap
 to proceed. The \lstinline!PillarChoice! node determines the bootstrap pillars that are used (MaturityDate,
-LastRelevantDate).
+LastRelevantDate, if not given 'LastRelevantDate' is the default value).
+
+For the \lstinline!Priority! and \lstinline!MinDistance! nodes see the explanation under ``Simple Segment''.
 
 \begin{listing}[H]
 %\hrule\medskip
@@ -243,6 +267,8 @@ \subsubsection*{Tenor Basis Segment}
   </Quotes>
   <Conventions> </Conventions>
   <PillarChoice> </PillarChoice>
+  <Priority> </Priority>
+  <MinDistance> </MinDistance>
   <ProjectionCurveLong> </ProjectionCurveLong>
   <ProjectionCurveShort> </ProjectionCurveShort>
 </TenorBasis>
@@ -259,7 +285,7 @@ \subsubsection*{Cross Currency Segment}
 in the other currency i.e.\ the currency in the currency pair that is not equal to the currency in Listing
 \ref{lst:top_level_yc}. The \lstinline!SpotRate! node holds the ID of a spot FX quote for the currency pair that is
 looked up in the {\tt market.txt} file. The \lstinline!PillarChoice! node determines the bootstrap pillars that are used
-(MaturityDate, LastRelevantDate).
+(MaturityDate, LastRelevantDate, if not given 'LastRelevantDate' is the default value).
 
 \begin{listing}[H]
 %\hrule\medskip
@@ -273,6 +299,8 @@ \subsubsection*{Cross Currency Segment}
   </Quotes>
   <Conventions> </Conventions>
   <PillarChoice> </PillarChoice>
+  <Priority> </Priority>
+  <MinDistance> </MinDistance>
   <DiscountCurve> </DiscountCurve>
   <SpotRate> </SpotRate>
 </CrossCurrency>
@@ -294,6 +322,8 @@ \subsubsection*{Cross Currency Segment}
 the other currency. If it is left blank or omitted, then it is assumed to equal the CurveId provided in the
 \lstinline!DiscountCurve! node in this segment.
 
+For the \lstinline!Priority! and \lstinline!MinDistance! nodes see the explanation under ``Simple Segment''.
+
 \begin{listing}[H]
 %\hrule\medskip
 \begin{minted}[fontsize=\footnotesize]{xml}
@@ -306,6 +336,8 @@ \subsubsection*{Cross Currency Segment}
   </Quotes>
   <Conventions> </Conventions>
   <PillarChoice> </PillarChoice>
+  <Priority> </Priority>
+  <MinDistance> </MinDistance>
   <DiscountCurve> </DiscountCurve>
   <SpotRate> </SpotRate>
   <ProjectionCurveDomestic> </ProjectionCurveDomestic>