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jenkins
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git subrepo pull (merge) ore
subrepo: subdir: "ore" merged: "f226b078e1" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "55b27cc66a" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "73a0129"
2 parents 969e128 + 55b27cc commit 97d42eb

5 files changed

Lines changed: 107 additions & 9 deletions

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‎Docs/UserGuide/curve_configurations/yieldcurves.tex‎

Lines changed: 8 additions & 4 deletions
Original file line numberDiff line numberDiff line change
@@ -83,14 +83,18 @@ \subsubsection{Yield Curves}
8383
\hline
8484
Linear & Linear interpolation \\ \hline
8585
LogLinear & Linear interpolation on the natural log of the interpolation variable \\ \hline
86-
NaturalCubic & Monotonic Kruger cubic interpolation with second derivative at left and right \\ \hline
87-
FinancialCubic & Monotonic Kruger cubic interpolation with second derivative at left and
88-
first derivative at right \\ \hline
86+
NaturalCubic & Monotonic Kruger cubic interpolation with zero second derivative at left and right \\ \hline
87+
FinancialCubic & Monotonic Kruger cubic interpolation with zero second derivative at left and
88+
zero first derivative at right \\ \hline
8989
ConvexMonotone & Convex Monotone Interpolation (Hagan, West) \\ \hline
9090
Quadratic & Quadratic interpolation \\ \hline
9191
LogQuadratic & Quadratic interpolation on the natural log of the interpolation variable \\ \hline
92+
LogNaturalCubic & Monotonic Kruger cubic interpolation with zero second derivative at left and right \\hline
93+
LogFinancialCubic & Monotonic Kruger cubic interpolation with zero second derivative at left and
94+
zero first derivative at right \\hline
95+
LogCubicSpline & Non-monotonic cubic spline interpolation with zero second derivative at left and right \\hline
9296
Hermite & Hermite cubic spline interpolation \\ \hline
93-
CubicSpline & Non-monotonic cubic spline interpolation with second derivative at left and right \\ \hline
97+
CubicSpline & Non-monotonic cubic spline interpolation with zero second derivative at left and right \\ \hline
9498
DefaultLogMixedLinearCubic & Mixed interpolation, first linear, then monotonic Kruger cubic spline \\ \hline
9599
MonotonicLogMixedLinearCubic & Mixed interpolation, first linear, then monotonic natural cubic spline \\ \hline
96100
KrugerLogMixedLinearCubic & Mixed interpolation, first linear, then non-monotonic Kruger cubic spline \\ \hline

‎Docs/UserGuide/tradedata/fx_barrieroption.tex‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -82,8 +82,8 @@ \subsubsection{FX Barrier Option}
8282

8383

8484
\item \lstinline!BarrierData!: This is a trade component sub-node outlined in section \ref{ss:barrier_data}.
85-
Level specified in BarrierData should be quoted as the amount in SoldCurrency per unit BoughtCurrency, with both currencies as defined in FxBarrierOptionData node.
86-
Changing the option from Call to Put or vice versa does not require switching the barrier level, i.e. the level stays quoted as SoldCurrency per unit BoughtCurrency, regardless of Put/Call.
85+
\lstinline!Level! specified in BarrierData should be quoted as the amount in SoldCurrency per unit BoughtCurrency, with both currencies as defined in FxBarrierOptionData node.
86+
Note that the barrier \lstinline!Level! stays quoted as SoldCurrency per unit BoughtCurrency, regardless of Put/Call.
8787

8888
\item \lstinline!StartDate! [Optional]: The start date for checking if a barrier has been breached prior to today's date. If omitted or left blank no check is made and it is assumed no barrier has been breached in the past. Has no impact if set to today's date or a date in the future.
8989

‎OREData/ored/marketdata/yieldcurve.cpp‎

Lines changed: 91 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -194,6 +194,12 @@ YieldCurve::InterpolationMethod parseYieldCurveInterpolationMethod(const string&
194194
return YieldCurve::InterpolationMethod::Quadratic;
195195
else if (s == "LogQuadratic")
196196
return YieldCurve::InterpolationMethod::LogQuadratic;
197+
else if (s == "LogNaturalCubic")
198+
return YieldCurve::InterpolationMethod::LogNaturalCubic;
199+
else if (s == "LogFinancialCubic")
200+
return YieldCurve::InterpolationMethod::LogFinancialCubic;
201+
else if (s == "LogCubicSpline")
202+
return YieldCurve::InterpolationMethod::LogCubicSpline;
197203
else if (s == "Hermite")
198204
return YieldCurve::InterpolationMethod::Hermite;
199205
else if (s == "CubicSpline")
@@ -242,6 +248,12 @@ std::ostream& operator<<(std::ostream& out, const YieldCurve::InterpolationMetho
242248
return out << "Quadratic";
243249
else if (m == YieldCurve::InterpolationMethod::LogQuadratic)
244250
return out << "LogQuadratic";
251+
else if (m == YieldCurve::InterpolationMethod::LogNaturalCubic)
252+
return out << "LogNaturalCubic";
253+
else if (m == YieldCurve::InterpolationMethod::LogFinancialCubic)
254+
return out << "LogFinancialCubic";
255+
else if (m == YieldCurve::InterpolationMethod::LogCubicSpline)
256+
return out << "LogCubicSpline";
245257
else if (m == YieldCurve::InterpolationMethod::Hermite)
246258
return out << "Hermite";
247259
else if (m == YieldCurve::InterpolationMethod::CubicSpline)
@@ -442,9 +454,10 @@ YieldCurve::piecewisecurve(vector<QuantLib::ext::shared_ptr<RateHelper>> instrum
442454
typedef PiecewiseYieldCurve<ZeroYield, Cubic, QuantExt::IterativeBootstrap> my_curve;
443455
yieldts = QuantLib::ext::make_shared<my_curve>(
444456
asofDate_, instruments, zeroDayCounter_,
445-
Cubic(CubicInterpolation::Spline, false, CubicInterpolation::SecondDerivative, 0.0, CubicInterpolation::SecondDerivative, 0.0),
446-
my_curve::bootstrap_type(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor,
447-
minFactor, dontThrowSteps));
457+
Cubic(CubicInterpolation::Spline, false, CubicInterpolation::SecondDerivative, 0.0,
458+
CubicInterpolation::SecondDerivative, 0.0),
459+
my_curve::bootstrap_type(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor, minFactor,
460+
dontThrowSteps));
448461
} break;
449462
case InterpolationMethod::Quadratic: {
450463
typedef PiecewiseYieldCurve<ZeroYield, QuantExt::Quadratic, QuantExt::IterativeBootstrap> my_curve;
@@ -461,6 +474,31 @@ YieldCurve::piecewisecurve(vector<QuantLib::ext::shared_ptr<RateHelper>> instrum
461474
my_curve::bootstrap_type(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor,
462475
minFactor, dontThrowSteps));
463476
} break;
477+
case InterpolationMethod::LogNaturalCubic: {
478+
typedef PiecewiseYieldCurve<ZeroYield, LogCubic, QuantExt::IterativeBootstrap> my_curve;
479+
yieldts = QuantLib::ext::make_shared<my_curve>(
480+
asofDate_, instruments, zeroDayCounter_, LogCubic(CubicInterpolation::Kruger, true),
481+
my_curve::bootstrap_type(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor,
482+
minFactor, dontThrowSteps));
483+
} break;
484+
case InterpolationMethod::LogFinancialCubic: {
485+
typedef PiecewiseYieldCurve<ZeroYield, LogCubic, QuantExt::IterativeBootstrap> my_curve;
486+
yieldts = QuantLib::ext::make_shared<my_curve>(
487+
asofDate_, instruments, zeroDayCounter_,
488+
LogCubic(CubicInterpolation::Kruger, true, CubicInterpolation::SecondDerivative, 0.0,
489+
CubicInterpolation::FirstDerivative),
490+
my_curve::bootstrap_type(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor, minFactor,
491+
dontThrowSteps));
492+
} break;
493+
case InterpolationMethod::LogCubicSpline: {
494+
typedef PiecewiseYieldCurve<ZeroYield, LogCubic, QuantExt::IterativeBootstrap> my_curve;
495+
yieldts = QuantLib::ext::make_shared<my_curve>(
496+
asofDate_, instruments, zeroDayCounter_,
497+
LogCubic(CubicInterpolation::Spline, false, CubicInterpolation::SecondDerivative, 0.0,
498+
CubicInterpolation::SecondDerivative, 0.0),
499+
my_curve::bootstrap_type(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor, minFactor,
500+
dontThrowSteps));
501+
} break;
464502
case InterpolationMethod::DefaultLogMixedLinearCubic: {
465503
typedef PiecewiseYieldCurve<ZeroYield, DefaultLogMixedLinearCubic, QuantExt::IterativeBootstrap> my_curve;
466504
yieldts = QuantLib::ext::make_shared<my_curve>(
@@ -565,6 +603,31 @@ YieldCurve::piecewisecurve(vector<QuantLib::ext::shared_ptr<RateHelper>> instrum
565603
my_curve::bootstrap_type(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor,
566604
minFactor, dontThrowSteps));
567605
} break;
606+
case InterpolationMethod::LogNaturalCubic: {
607+
typedef PiecewiseYieldCurve<Discount, LogCubic, QuantExt::IterativeBootstrap> my_curve;
608+
yieldts = QuantLib::ext::make_shared<my_curve>(
609+
asofDate_, instruments, zeroDayCounter_, LogCubic(CubicInterpolation::Kruger, true),
610+
my_curve::bootstrap_type(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor,
611+
minFactor, dontThrowSteps));
612+
} break;
613+
case InterpolationMethod::LogFinancialCubic: {
614+
typedef PiecewiseYieldCurve<Discount, LogCubic, QuantExt::IterativeBootstrap> my_curve;
615+
yieldts = QuantLib::ext::make_shared<my_curve>(
616+
asofDate_, instruments, zeroDayCounter_,
617+
QuantLib::LogCubic(CubicInterpolation::Kruger, true, CubicInterpolation::SecondDerivative, 0.0,
618+
CubicInterpolation::FirstDerivative),
619+
my_curve::bootstrap_type(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor, minFactor,
620+
dontThrowSteps));
621+
} break;
622+
case InterpolationMethod::LogCubicSpline: {
623+
typedef PiecewiseYieldCurve<Discount,LogCubic, QuantExt::IterativeBootstrap> my_curve;
624+
yieldts = QuantLib::ext::make_shared<my_curve>(
625+
asofDate_, instruments, zeroDayCounter_,
626+
LogCubic(CubicInterpolation::Spline, false, CubicInterpolation::SecondDerivative, 0.0,
627+
CubicInterpolation::SecondDerivative, 0.0),
628+
my_curve::bootstrap_type(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor, minFactor,
629+
dontThrowSteps));
630+
} break;
568631
case InterpolationMethod::DefaultLogMixedLinearCubic: {
569632
typedef PiecewiseYieldCurve<Discount, DefaultLogMixedLinearCubic, QuantExt::IterativeBootstrap> my_curve;
570633
yieldts = QuantLib::ext::make_shared<my_curve>(
@@ -669,6 +732,31 @@ YieldCurve::piecewisecurve(vector<QuantLib::ext::shared_ptr<RateHelper>> instrum
669732
my_curve::bootstrap_type(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor,
670733
minFactor, dontThrowSteps));
671734
} break;
735+
case InterpolationMethod::LogNaturalCubic: {
736+
typedef PiecewiseYieldCurve<ForwardRate, LogCubic, QuantExt::IterativeBootstrap> my_curve;
737+
yieldts = QuantLib::ext::make_shared<my_curve>(
738+
asofDate_, instruments, zeroDayCounter_, LogCubic(CubicInterpolation::Kruger, true),
739+
my_curve::bootstrap_type(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor, minFactor,
740+
dontThrowSteps));
741+
} break;
742+
case InterpolationMethod::LogFinancialCubic: {
743+
typedef PiecewiseYieldCurve<ForwardRate, LogCubic, QuantExt::IterativeBootstrap> my_curve;
744+
yieldts = QuantLib::ext::make_shared<my_curve>(
745+
asofDate_, instruments, zeroDayCounter_,
746+
LogCubic(CubicInterpolation::Kruger, true, CubicInterpolation::SecondDerivative, 0.0,
747+
CubicInterpolation::FirstDerivative),
748+
my_curve::bootstrap_type(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor, minFactor,
749+
dontThrowSteps));
750+
} break;
751+
case InterpolationMethod::LogCubicSpline: {
752+
typedef PiecewiseYieldCurve<ForwardRate, LogCubic, QuantExt::IterativeBootstrap> my_curve;
753+
yieldts = QuantLib::ext::make_shared<my_curve>(
754+
asofDate_, instruments, zeroDayCounter_,
755+
LogCubic(CubicInterpolation::Spline, false, CubicInterpolation::SecondDerivative, 0.0,
756+
CubicInterpolation::SecondDerivative, 0.0),
757+
my_curve::bootstrap_type(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor, minFactor,
758+
dontThrowSteps));
759+
} break;
672760
case InterpolationMethod::DefaultLogMixedLinearCubic: {
673761
typedef PiecewiseYieldCurve<ForwardRate, DefaultLogMixedLinearCubic, QuantExt::IterativeBootstrap> my_curve;
674762
yieldts = QuantLib::ext::make_shared<my_curve>(

‎OREData/ored/marketdata/yieldcurve.hpp‎

Lines changed: 3 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -72,6 +72,9 @@ class YieldCurve {
7272
ConvexMonotone,
7373
Quadratic,
7474
LogQuadratic,
75+
LogNaturalCubic,
76+
LogFinancialCubic,
77+
LogCubicSpline,
7578
Hermite,
7679
CubicSpline,
7780
DefaultLogMixedLinearCubic,

‎xsd/ore_types.xsd‎

Lines changed: 3 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -480,6 +480,9 @@
480480
<xs:enumeration value="Hermite"/>
481481
<xs:enumeration value="Quadratic"/>
482482
<xs:enumeration value="LogQuadratic"/>
483+
<xs:enumeration value="LogNaturalCubic"/>
484+
<xs:enumeration value="LogFinancialCubic"/>
485+
<xs:enumeration value="LogCubicSpline"/>
483486
<xs:enumeration value="CubicSpline"/>
484487
<xs:enumeration value="LinearFlat"/>
485488
<xs:enumeration value="LogLinearFlat"/>

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