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Fixes #356 #357

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Fixes #356 #357

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25 changes: 17 additions & 8 deletions OREData/ored/marketdata/yieldcurve.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -1306,15 +1306,11 @@ void YieldCurve::buildZeroSpreadedCurve(const std::size_t index) {

QuantLib::ext::shared_ptr<Conventions> conventions = InstrumentConventions::instance().conventions();

// Fill a vector of zero spread quotes.
vector<QuantLib::ext::shared_ptr<ZeroQuote>> quotes;
QuantLib::ext::shared_ptr<ZeroSpreadedYieldCurveSegment> segment =
QuantLib::ext::dynamic_pointer_cast<ZeroSpreadedYieldCurveSegment>(curveSegments_[index][0]);
auto quoteIDs = segment->quotes();

Date today = Settings::instance().evaluationDate();
vector<Date> dates;
vector<Handle<Quote>> quoteHandles;

vector<string> quotesVector;
quotesVector.reserve(quoteIDs.size());
Expand All @@ -1331,6 +1327,9 @@ void YieldCurve::buildZeroSpreadedCurve(const std::size_t index) {
}
}

vector<pair<Date, Handle<Quote>>> nodes;
nodes.reserve(marketData.size());

// process market data
for (const auto& marketQuote : marketData) {
QL_REQUIRE(marketQuote->instrumentType() == MarketDatum::InstrumentType::ZERO,
Expand All @@ -1345,14 +1344,24 @@ void YieldCurve::buildZeroSpreadedCurve(const std::size_t index) {
if (it == quoteIDs.end())
continue;
}
quotes.push_back(zeroQuote);
dates.push_back(zeroQuote->tenorBased() ? today + zeroQuote->tenor() : zeroQuote->date());
quoteHandles.push_back(zeroQuote->quote());
nodes.emplace_back(zeroQuote->tenorBased() ? today + zeroQuote->tenor() : zeroQuote->date(),
zeroQuote->quote());
}

QL_REQUIRE(!quotes.empty(),
QL_REQUIRE(!nodes.empty(),
"Cannot build curve with spec " << curveSpec_[index]->name() << " because there are no spread quotes");

std::sort(nodes.begin(), nodes.end(), [](const auto& lhs, const auto& rhs) { return lhs.first < rhs.first; });

vector<Date> dates;
vector<Handle<Quote>> quoteHandles;
dates.reserve(nodes.size());
quoteHandles.reserve(nodes.size());
for (auto& [date, quote] : nodes) {
dates.emplace_back(date);
quoteHandles.emplace_back(std::move(quote));
}

string referenceCurveID = segment->referenceCurveID();
QuantLib::Handle<YieldTermStructure> referenceCurve;
if (referenceCurveID != curveConfig_[index]->curveID() && !referenceCurveID.empty()) {
Expand Down
74 changes: 60 additions & 14 deletions OREData/test/todaysmarket.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -50,8 +50,9 @@ namespace {

class MarketDataLoader : public Loader {
public:
MarketDataLoader();
explicit MarketDataLoader(bool cloneZeroSpreadQuotes = false);
std::vector<QuantLib::ext::shared_ptr<MarketDatum>> loadQuotes(const QuantLib::Date&) const override;
QuantLib::ext::shared_ptr<MarketDatum> get(const std::string& name, const QuantLib::Date& d) const override;
std::set<QuantLib::Date> asofDates() const override { return {}; }
std::set<Fixing> loadFixings() const override { return fixings_; }
std::set<QuantExt::Dividend> loadDividends() const override { return dividends_; }
Expand All @@ -63,6 +64,7 @@ class MarketDataLoader : public Loader {
std::map<QuantLib::Date, std::vector<QuantLib::ext::shared_ptr<MarketDatum>>> data_;
std::set<Fixing> fixings_;
std::set<QuantExt::Dividend> dividends_;
bool cloneZeroSpreadQuotes_;
};

vector<QuantLib::ext::shared_ptr<MarketDatum>> MarketDataLoader::loadQuotes(const Date& d) const {
Expand All @@ -71,7 +73,15 @@ vector<QuantLib::ext::shared_ptr<MarketDatum>> MarketDataLoader::loadQuotes(cons
return it->second;
}

MarketDataLoader::MarketDataLoader() {
QuantLib::ext::shared_ptr<MarketDatum> MarketDataLoader::get(const std::string& name, const Date& d) const {
auto marketDatum = Loader::get(name, d);
// Clone Zero quotes so allocation follows the deliberately non-chronological lookup order.
if (cloneZeroSpreadQuotes_ && marketDatum->instrumentType() == MarketDatum::InstrumentType::ZERO)
return marketDatum->clone();
return marketDatum;
}

MarketDataLoader::MarketDataLoader(bool cloneZeroSpreadQuotes) : cloneZeroSpreadQuotes_(cloneZeroSpreadQuotes) {
// clang-format off
vector<string> data = boost::assign::list_of
// borrow spread curve
Expand All @@ -80,10 +90,10 @@ MarketDataLoader::MarketDataLoader() {
("20160226 ZERO/YIELD_SPREAD/EUR/BANK_EUR_BORROW/A365/10Y -0.0010")
("20160226 ZERO/YIELD_SPREAD/EUR/BANK_EUR_BORROW/A365/20Y -0.0010")
// lending spread curve
("20160226 ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/2Y 0.0050")
("20160226 ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/2Y 0.0020")
("20160226 ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/5Y 0.0050")
("20160226 ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/10Y 0.0050")
("20160226 ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/20Y 0.0050")
("20160226 ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/10Y 0.0100")
("20160226 ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/20Y 0.0200")
// Eonia curve
("20160226 MM/RATE/EUR/0D/1D -0.0025")
("20160226 IR_SWAP/RATE/EUR/0D/1D/1D -0.0025")
Expand Down Expand Up @@ -567,10 +577,10 @@ QuantLib::ext::shared_ptr<CurveConfigurations> curveConfigurations() {
// Lending curve
segments.clear();
// clang-format off
quotes = {"ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/2Y",
"ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/5Y",
"ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/10Y",
"ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/20Y"};
quotes = {"ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/5Y",
"ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/20Y",
"ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/2Y",
"ZERO/YIELD_SPREAD/EUR/BANK_EUR_LEND/A365/10Y"};
// clang-format on
segments.push_back(QuantLib::ext::make_shared<ZeroSpreadedYieldCurveSegment>(
"Zero Spread", "EUR-ZERO-CONVENTIONS-TENOR-BASED", quotes, "EUR1D"));
Expand Down Expand Up @@ -777,11 +787,11 @@ class F : public TopLevelFixture {
public:
QuantLib::ext::shared_ptr<TodaysMarket> market;

F() {
explicit F(bool cloneZeroSpreadQuotes = false) {
Date asof(26, February, 2016);
Settings::instance().evaluationDate() = asof;

auto loader = QuantLib::ext::make_shared<MarketDataLoader>();
auto loader = QuantLib::ext::make_shared<MarketDataLoader>(cloneZeroSpreadQuotes);
auto params = marketParameters();
auto configs = curveConfigurations();
auto convs = conventions();
Expand All @@ -798,6 +808,29 @@ class F : public TopLevelFixture {
}
};

class FWithClonedZeroSpreadQuotes : public F {
public:
FWithClonedZeroSpreadQuotes() : F(true) {}
};

const vector<pair<Period, Real>> lendingCurveSpreads = {
{2 * Years, 0.002}, {5 * Years, 0.005}, {10 * Years, 0.010}, {20 * Years, 0.020}};

void checkLendingCurveSpreads(const Handle<YieldTermStructure>& referenceCurve,
const Handle<YieldTermStructure>& spreadedCurve) {
const Date today = Settings::instance().evaluationDate();
const DayCounter dc = Actual365Fixed();
constexpr Real tolerance = 1.0e-5;

for (const auto& [tenor, expectedSpread] : lendingCurveSpreads) {
const Date d = today + tenor;
const Real referenceZero = referenceCurve->zeroRate(d, dc, Continuous);
const Real spreadedZero = spreadedCurve->zeroRate(d, dc, Continuous);
BOOST_CHECK_MESSAGE(fabs(spreadedZero - referenceZero - expectedSpread) < tolerance,
"zero spread at " << io::iso_date(d) << " is not paired with its resolved maturity");
}
}

} // namespace

BOOST_FIXTURE_TEST_SUITE(OREDataTestSuite, TopLevelFixture)
Expand All @@ -819,16 +852,15 @@ BOOST_AUTO_TEST_CASE(testZeroSpreadedYieldCurve) {
Date today = Settings::instance().evaluationDate();
DayCounter dc = Actual365Fixed();
Real tolerance = 1.0e-5; // 0.1 bp
Real expected1 = 0.005;
Real expected2 = -0.001;
for (Size i = 1; i <= 120; i++) {
Date d = today + i * Months;
Real z0 = dts->zeroRate(d, dc, Continuous);
Real z1 = dtsLend->zeroRate(d, dc, Continuous);
Real z2 = dtsBorrow->zeroRate(d, dc, Continuous);
BOOST_CHECK_MESSAGE(fabs(z1 - z0 - expected1) < tolerance, "error in lending spread curve setup");
BOOST_CHECK_MESSAGE(fabs(z2 - z0 - expected2) < tolerance, "error in borrowing spread curve setup");
}

checkLendingCurveSpreads(dts, dtsLend);
}

BOOST_AUTO_TEST_CASE(testNormalOptionletVolatility) {
Expand Down Expand Up @@ -1041,4 +1073,18 @@ BOOST_AUTO_TEST_CASE(testCorrelationCurve) {

BOOST_AUTO_TEST_SUITE_END()

BOOST_FIXTURE_TEST_SUITE(ZeroSpreadRegressionTests, FWithClonedZeroSpreadQuotes)

BOOST_AUTO_TEST_CASE(testZeroSpreadedYieldCurveOrdersNodesByResolvedMaturity) {
Handle<YieldTermStructure> referenceCurve = market->discountCurve("EUR");
Handle<YieldTermStructure> spreadedCurve = market->yieldCurve("EUR_LEND");

QL_REQUIRE(!referenceCurve.empty(), "EUR discount curve not found");
QL_REQUIRE(!spreadedCurve.empty(), "EUR lending curve not found");

checkLendingCurveSpreads(referenceCurve, spreadedCurve);
}

BOOST_AUTO_TEST_SUITE_END()

BOOST_AUTO_TEST_SUITE_END()