Merge remote-tracking branch 'origin/master' into QPR-11990

Author: damienbarker

Docker/Dockerfile-Test

@@ -5,7 +5,7 @@ RUN apt-get update \
   && DEBIAN_FRONTEND=noninteractive apt-get install -y dos2unix python3 python3-pip libxml2-utils xsltproc \
   && apt-get clean \
   && rm -rf /var/lib/apt/lists/* \
-  && pip3 install matplotlib pandas nose nose_xunitmp datacompy jsondiff
+  && pip3 install matplotlib pandas nose nose_xunitmp datacompy jsondiff lxml
 
 CMD bash
 

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 +156,22 @@ \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 two adjacent segments overlap w.r.t. the pillar dates of
+their instruments, instruments from the segment with lower priority are removed until the overlap is resolved. In
+addition, a minimum distance (measured in calendar days) between the segments is preserved. This distance is given in
+the \lstinline!MinDistance! node for the instruments of the current and following segment. If not given, the priority of
+a segment defaults to 0 (highest possible priority), the minimum distance defaults to $1$. Consider the example given in
+\ref{lst:priorities_min_distances}. In this case:
+\begin{itemize}
+\item instruments from the start of the second segment with pillar date strictly earlier than $d_1 + 5$, where $d_1$ is
+  the maximum pillar date of instruments in the first segment, will be removed
+\item instruments from the end of the second segment with pillar date strictly later than $d_3 - 10$, where $d_3$ is the
+  mininum pillar date of instruments in the third segment, will be removed
+\end{itemize}
+
 
 \begin{listing}[H]
 %\hrule\medskip
@@ -163,13 +185,37 @@ \subsubsection*{Simple Segment}
   </Quotes>
   <Conventions> </Conventions>
   <PillarChoice> </PillarChoice>
+  <Priority> </Priority>
+  <MinDistance> </MinDistance>
   <ProjectionCurve> </ProjectionCurve>
 </Simple>
 \end{minted}
 \caption{Simple yield curve segment}
 \label{lst:simple_segment}
 \end{listing}
 
+\begin{listing}[H]
+%\hrule\medskip
+\begin{minted}[fontsize=\footnotesize]{xml}
+<Simple>
+  ...
+  <Priority>0</Priority>
+  <MinDistance>5</MinDistance>
+</Simple>
+<Simple>
+  ...
+  <Priority>2</Priority>
+  <MinDistance>10</MinDistance>
+</Simple>
+<Simple>
+  ...
+  <Priority>1</Priority>
+</Simple>
+\end{minted}
+\caption{Example for priorities and min distances}
+\label{lst:priorities_min_distances}
+\end{listing}
+
 \subsubsection*{Average OIS Segment}
 When the node name is \lstinline!AverageOIS!, the \lstinline!Type! node has the value \emph{Average OIS} and the node
 has the structure shown in Listing \ref{lst:average_ois_segment}. This segment is used to hold quotes for Average OIS
@@ -178,7 +224,10 @@ \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 +241,8 @@ \subsubsection*{Average OIS Segment}
   </Quotes>
   <Conventions> </Conventions>
   <PillarChoice> </PillarChoice>
+  <Priority> </Priority>
+  <MinDistance> </MinDistance>
   <ProjectionCurve> </ProjectionCurve>
 </AverageOIS>
 \end{minted}
@@ -229,7 +280,9 @@ \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 +296,8 @@ \subsubsection*{Tenor Basis Segment}
   </Quotes>
   <Conventions> </Conventions>
   <PillarChoice> </PillarChoice>
+  <Priority> </Priority>
+  <MinDistance> </MinDistance>
   <ProjectionCurveLong> </ProjectionCurveLong>
   <ProjectionCurveShort> </ProjectionCurveShort>
 </TenorBasis>
@@ -259,7 +314,7 @@ \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 +328,8 @@ \subsubsection*{Cross Currency Segment}
   </Quotes>
   <Conventions> </Conventions>
   <PillarChoice> </PillarChoice>
+  <Priority> </Priority>
+  <MinDistance> </MinDistance>
   <DiscountCurve> </DiscountCurve>
   <SpotRate> </SpotRate>
 </CrossCurrency>
@@ -294,6 +351,8 @@ \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 +365,8 @@ \subsubsection*{Cross Currency Segment}
   </Quotes>
   <Conventions> </Conventions>
   <PillarChoice> </PillarChoice>
+  <Priority> </Priority>
+  <MinDistance> </MinDistance>
   <DiscountCurve> </DiscountCurve>
   <SpotRate> </SpotRate>
   <ProjectionCurveDomestic> </ProjectionCurveDomestic>