[Quantlib-dev] DiscountCurve

[Ferdinando A. <fer...@am...>]

Hi Andre

I did a few changes on TermStructures. I also did a few changes to 
DiscountCurve:
1) 2 new methods:
            const std::vector<Date>& dates() const;
            const std::vector<Time>& times() const;
2) required sorted dates and decreasing discount factors in the constructor
3) removed forwardImpl and zeroYieldImpl. Now DiscountCurve uses these 
methods as inherited by DiscountStructure

Point 3 is the most important. Taking a look at your implementation of 
forwardImpl and zeroYieldImpl I spotted some inconsistencies with the 
TermStructures interface, mainly the fact that forward(Date, bool) must 
return an annual continuous compounded rate.
In TermStructure zero and forward rates are assumed to be continuous 
compounded rates: this is probably an error we did in the original design, 
but unless we fix it everywhere this is the way to go.

Please let me know if after my patch DiscountCurve still works the way you 
wanted. I can always roll back my patch if needed.

I would also like to introduce another change: I would require the user to 
provide a discount grid starting with the first discount equal to 1.00, so 
that we can assume that the first date is the settlement date. I think this 
would be safer. Here's what I have in mind:
         DiscountCurve::DiscountCurve(const Date & todaysDate,
             const Calendar & calendar, const DayCounter & dayCounter,
             Currency currency, const std::vector < Date > &dates,
             const std::vector < DiscountFactor > &discounts)
         : todaysDate_(todaysDate), settlementDate_(dates_[0]),
           calendar_(calendar), dayCounter_(dayCounter),
           currency_(currency), dates_(dates), discounts_(discounts) {

              QL_REQUIRE(dates.size()>1, "DiscountCurveDiscountCurve :"
                 " too few dates");
              QL_REQUIRE(discounts_[0]==1.0, "DiscountCurveDiscountCurve :"
                 " invalid first discount, not equal to one");
              QL_REQUIRE(todaysDate_<=settlementDate_,
                 "DiscountCurveDiscountCurve :"
                 " today's date greater than settlement date");

              times_.resize(dates.size());
              times_[0]=0.0;

              for(Size i = 1; i < dates.size(); i++) {
                  QL_REQUIRE(dates_[i]>dates_[i-1],
                     "DiscountCurveDiscountCurve : invalid date");
                  QL_REQUIRE(discounts_[i]<=discounts_[i-1],
                     "DiscountCurveDiscountCurve : invalid discount");
                  times_[i] = dayCounter_.yearFraction(settlementDate_,
                     dates_[i]);
              }

             interpolation_ = Handle < DfInterpolation >
                 (new DfInterpolation(times_.begin(), times_.end(),
                 discounts.begin(), true));
       }

I haven't applied this patch because it will change the constructor 
signature, so I will wait for your approval.

thank you for your contribution

ciao -- Nando

PS please note this message is for the quantlib-dev list, not quantlib-users

PS2 I would also remove settlementDays() from the TermStructure interface. 
It is not used anywhere in the library and it is misleading (e.g. it has no 
relation with the settlement days of the instruments used to bootstrap the 
curve).
Anyone against this change?