+42
-14
lines changedFilter options
+42
-14
lines changed Original file line number Diff line number Diff line change
@@ -1,3 +1,18 @@
1 +
2021-08-26 Dirk Eddelbuettel <edd@debian.org>
2 + 3 +
* src/bonds.cpp (fittedBondCurveEngine): Use Actual365Fixed() instead
4 +
of deprecated ActualActual()
5 +
* src/discount.cpp (discountCurveEngine): Idem
6 +
* src/utils.cpp (rebuildCurveFromZeroRates): Idem
7 +
* src/zero.cpp (zbtyield): Idem
8 + 9 +
* src/utils.cpp (buildTermStructure): Switch to
10 +
ActualActual::Convention::ISDA in ctor following
11 +
(getDayCounter): Condition away ActualActual() and Thirty360()
12 + 13 +
* man/BondUtilities.Rd: Document that ActualActual() and Thirty360()
14 +
can be enabled locally via #define
15 + 1 16
2021-08-17 Dirk Eddelbuettel <edd@debian.org>
2 17 3 18
* man/Enum.Rd: Correct eleven-year old typo
@@ -1,4 +1,3 @@
1 -
% $Id$
2 1
\name{BondUtilities}
3 2
\alias{matchBDC}
4 3
\alias{matchCompounding}
@@ -16,7 +15,7 @@ possible values---the user is not expected to call these functions directly..}
16 15
matchBDC(bdc = c("Following", "ModifiedFollowing", "Preceding",
17 16
"ModifiedPreceding", "Unadjusted",
18 17
"HalfMonthModifiedFollowing", "Nearest"))
19 -
matchCompounding(cp = c("Simple", "Compounded", "Continuous", "SimpleThenCompounded"))
18 +
matchCompounding(cp = c("Simple", "Compounded", "Continuous", "SimpleThenCompounded"))
20 19
matchDayCounter(daycounter = c("Actual360", "ActualFixed", "ActualActual", "Business252",
21 20
"OneDayCounter", "SimpleDayCounter", "Thirty360",
22 21
"Actual365NoLeap", "ActualActual.ISMA", "ActualActual.Bond",
@@ -28,7 +27,7 @@ matchFrequency(freq = c("NoFrequency","Once", "Annual", "Semiannual",
28 27
"EveryFourthMonth", "Quarterly", "Bimonthly",
29 28
"Monthly", "EveryFourthWeek", "Biweekly",
30 29
"Weekly", "Daily"))
31 -
matchParams(params)
30 +
matchParams(params)
32 31
}
33 32
\arguments{
34 33
\item{bdc}{A string identifying one of the possible business day convention values.}
@@ -49,6 +48,12 @@ matchParams(params)
49 48
Note that \code{Actual365NoLeap} is deprecated as of QuantLib 1.11 and
50 49
no longer supported by default. It can be reinstated by defining
51 50
\code{RQUANTLIB_USE_ACTUAL365NOLEAP}.
51 + 52 +
Also note that \code{ActualActual} and \code{Thirty360} are deprecated as
53 +
of QuantLib 1.23 and no longer supported by default. They can be reinstated
54 +
by defining, respectively, \code{RQUANTLIB_USE_ACTUALACTUAL} and
55 +
\code{RQUANTLIB_USE_THIRTY360}.
56 + 52 57
}
53 58
\references{\url{http://quantlib.org} for details on \code{QuantLib}.}
54 59
\author{Khanh Nguyen \email{knguyen@cs.umb.edu} for the \R interface;
@@ -57,4 +62,3 @@ matchParams(params)
57 62
stabilises its own API.}
58 63
%\examples{}
59 64
\keyword{misc}
60 -
@@ -8,6 +8,11 @@
8 8 9 9
using namespace Rcpp;
10 10 11 +
#ifdef RCPP_USE_GLOBAL_ROSTREAM
12 +
Rcpp::Rostream<true>& Rcpp::Rcout = Rcpp::Rcpp_cout_get();
13 +
Rcpp::Rostream<false>& Rcpp::Rcerr = Rcpp::Rcpp_cerr_get();
14 +
#endif
15 + 11 16
// affineWithRebuiltCurveEngine
12 17
Rcpp::List affineWithRebuiltCurveEngine(Rcpp::List rparam, Rcpp::List legparams, std::vector<QuantLib::Date> dateVec, std::vector<double> zeroVec, Rcpp::NumericVector swaptionMat, Rcpp::NumericVector swapLengths, Rcpp::NumericVector swaptionVols);
13 18
RcppExport SEXP _RQuantLib_affineWithRebuiltCurveEngine(SEXP rparamSEXP, SEXP legparamsSEXP, SEXP dateVecSEXP, SEXP zeroVecSEXP, SEXP swaptionMatSEXP, SEXP swapLengthsSEXP, SEXP swaptionVolsSEXP) {
@@ -1,7 +1,7 @@
1 1 2 2
// RQuantLib -- R interface to the QuantLib libraries
3 3
//
4 -
// Copyright (C) 2002 - 2019 Dirk Eddelbuettel
4 +
// Copyright (C) 2002 - 2021 Dirk Eddelbuettel
5 5
// Copyright (C) 2009 - 2012 Khanh Nguyen and Dirk Eddelbuettel
6 6
//
7 7
// This file is part of RQuantLib.
@@ -1101,7 +1101,7 @@ Rcpp::List fittedBondCurveEngine(Rcpp::List curveparam,
1101 1101
for (int i = 0; i < n; i++) {
1102 1102
QuantLib::Date d = current;
1103 1103
dates[i] = Rcpp::Date(d.month(), d.dayOfMonth(), d.year());
1104 -
zr[i] = curve->zeroRate(current, QuantLib::ActualActual(), QuantLib::Continuous);
1104 +
zr[i] = curve->zeroRate(current, QuantLib::Actual365Fixed(), QuantLib::Continuous);
1105 1105
di[i] = curve->discount(current);
1106 1106
current++;
1107 1107
}
@@ -2,7 +2,7 @@
2 2
// RQuantLib function DiscountCurve
3 3
//
4 4
// Copyright (C) 2005 - 2007 Dominick Samperi
5 -
// Copyright (C) 2007 - 2019 Dirk Eddelbuettel
5 +
// Copyright (C) 2007 - 2021 Dirk Eddelbuettel
6 6
// Copyright (C) 2009 - 2011 Dirk Eddelbuettel and Khanh Nguyen
7 7
//
8 8
// This file is part of RQuantLib.
@@ -67,7 +67,7 @@ Rcpp::List discountCurveEngine(Rcpp::List rparams,
67 67
// Handle<Quote>(flatRate),
68 68
// ActualActual()));
69 69
QuantLib::ext::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote(rateQuote));
70 -
curve = flatRate(settlementDate,rRate,QuantLib::ActualActual());
70 +
curve = flatRate(settlementDate,rRate,QuantLib::Actual365Fixed());
71 71 72 72
} else { // Build curve based on a set of observed rates and/or prices.
73 73
std::vector<QuantLib::ext::shared_ptr<QuantLib::RateHelper> > curveInput;
@@ -114,7 +114,7 @@ Rcpp::List discountCurveEngine(Rcpp::List rparams,
114 114
QuantLib::Date d = current;
115 115
QuantLib::Date maxDate(31, QuantLib::December, 2150);
116 116
while (d < curve->maxDate() && d < maxDate) { // TODO set a max of, say, 5 or 10 years for flat curve
117 -
double z = curve->zeroRate(d, QuantLib::ActualActual(), QuantLib::Continuous);
117 +
double z = curve->zeroRate(d, QuantLib::Actual365Fixed(), QuantLib::Continuous);
118 118
dates.push_back(d);
119 119
zeroRates.push_back(z);
120 120
d = advanceDate(d, 21); // TODO: make the increment a parameter
@@ -1,7 +1,7 @@
1 1 2 2
// RQuantLib -- R interface to the QuantLib libraries
3 3
//
4 -
// Copyright (C) 2002 - 2020 Dirk Eddelbuettel
4 +
// Copyright (C) 2002 - 2021 Dirk Eddelbuettel
5 5
// Copyright (C) 2005 - 2006 Dominick Samperi
6 6
// Copyright (C) 2009 - 2012 Dirk Eddelbuettel and Khanh Nguyen
7 7
//
@@ -128,7 +128,7 @@ QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure> buildTermStructure(Rcpp:
128 128
//Integer fixingDays = RQLContext::instance().fixingDays;
129 129 130 130
// Any DayCounter would be fine; ActualActual::ISDA ensures that 30 years is 30.0
131 -
QuantLib::DayCounter termStructureDayCounter = QuantLib::ActualActual(QuantLib::ActualActual::ISDA);
131 +
QuantLib::DayCounter termStructureDayCounter = QuantLib::ActualActual(QuantLib::ActualActual::Convention::ISDA);
132 132
double tolerance = 1.0e-15;
133 133 134 134
if (firstQuoteName.compare("flat") == 0) { // Create a flat term structure.
@@ -269,7 +269,7 @@ rebuildCurveFromZeroRates(std::vector<QuantLib::Date> dates,
269 269
QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure>
270 270
rebuilt_curve(new QuantLib::InterpolatedZeroCurve<QuantLib::LogLinear>(dates,
271 271
zeros,
272 -
QuantLib::ActualActual()));
272 +
QuantLib::Actual365Fixed()));
273 273
return rebuilt_curve;
274 274
}
275 275
@@ -367,16 +367,20 @@ QuantLib::DayCounter getDayCounter(const double n){
367 367
return QuantLib::Actual360();
368 368
else if (n==1)
369 369
return QuantLib::Actual365Fixed();
370 +
#ifdef RQUANTLIB_USE_ACTUALACTUAL
370 371
else if (n==2)
371 372
return QuantLib::ActualActual();
373 +
#endif
372 374
else if (n==3)
373 375
return QuantLib::Business252();
374 376
else if (n==4)
375 377
return QuantLib::OneDayCounter();
376 378
else if (n==5)
377 379
return QuantLib::SimpleDayCounter();
380 +
#ifdef RQUANTLIB_USE_THIRTY360
378 381
else if (n==6)
379 382
return QuantLib::Thirty360();
383 +
#endif
380 384
#ifdef RQUANTLIB_USE_ACTUAL365NOLEAP
381 385
else if (n==7)
382 386
return QuantLib::Actual365NoLeap();
@@ -2,7 +2,7 @@
2 2
// RQuantLib -- R interface to the QuantLib libraries
3 3
//
4 4
// Copyright (C) 2009 - 2012 Dirk Eddelbuettel and Khanh Nguyen
5 -
// Copyright (C) 2013 - 2019 Dirk Eddelbuettel
5 +
// Copyright (C) 2013 - 2021 Dirk Eddelbuettel
6 6
//
7 7
// RQuantLib is free software: you can redistribute it and/or modify
8 8
// it under the terms of the GNU General Public License as published by
@@ -143,7 +143,7 @@ Rcpp::DataFrame zbtyield(std::vector<QuantLib::Date> MatDates,
143 143
for (unsigned int i = 0; i<numberOfBonds;i++){
144 144
QuantLib::Date d = MatDates[i];
145 145
dates[i] = Rcpp::Date(d.month(), d.dayOfMonth(), d.year());
146 -
zeros[i] = curve->zeroRate(d, QuantLib::ActualActual(), QuantLib::Simple);
146 +
zeros[i] = curve->zeroRate(d, QuantLib::Actual365Fixed(), QuantLib::Simple);
147 147
current++; // ?
148 148
}
149 149 You can’t perform that action at this time.
RetroSearch is an open source project built by @garambo | Open a GitHub Issue
Search and Browse the WWW like it's 1997 | Search results from DuckDuckGo
HTML:
3.2
| Encoding:
UTF-8
| Version:
0.7.4