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Nov 5, 2025
Merged

Remove day counter argument from spreaded curves #2365

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5cb1bff
Remove day counter argument from spreaded curves
eltoder Oct 30, 2025
7419a68
Show deprecation in generated docs
lballabio Nov 5, 2025
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71 changes: 14 additions & 57 deletions ql/cashflows/cashflows.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -1142,55 +1142,6 @@ namespace QuantLib {
}

// Z-spread utility functions
namespace {

class ZSpreadFinder {
public:
ZSpreadFinder(const Leg& leg,
const ext::shared_ptr<YieldTermStructure>& discountCurve,
Real npv,
const DayCounter& dc,
Compounding comp,
Frequency freq,
bool includeSettlementDateFlows,
Date settlementDate,
Date npvDate)
: leg_(leg), npv_(npv), zSpread_(new SimpleQuote(0.0)),
curve_(Handle<YieldTermStructure>(discountCurve),
Handle<Quote>(zSpread_), comp, freq, dc),
includeSettlementDateFlows_(includeSettlementDateFlows),
settlementDate_(settlementDate),
npvDate_(npvDate) {

if (settlementDate_ == Date())
settlementDate_ = Settings::instance().evaluationDate();

if (npvDate_ == Date())
npvDate_ = settlementDate_;

// if the discount curve allows extrapolation, let's
// the spreaded curve do too.
curve_.enableExtrapolation(
discountCurve->allowsExtrapolation());
}
Real operator()(Rate zSpread) const {
zSpread_->setValue(zSpread);
Real NPV = CashFlows::npv(leg_, curve_,
includeSettlementDateFlows_,
settlementDate_, npvDate_);
return npv_ - NPV;
}
private:
const Leg& leg_;
Real npv_;
ext::shared_ptr<SimpleQuote> zSpread_;
ZeroSpreadedTermStructure curve_;
bool includeSettlementDateFlows_;
Date settlementDate_, npvDate_;
};

} // anonymous namespace ends here

Real CashFlows::npv(const Leg& leg,
const ext::shared_ptr<YieldTermStructure>& discountCurve,
Spread zSpread,
Expand All @@ -1216,9 +1167,7 @@ namespace QuantLib {

ZeroSpreadedTermStructure spreadedCurve(discountCurveHandle,
zSpreadQuoteHandle,
comp, freq, dc);

spreadedCurve.enableExtrapolation(discountCurveHandle->allowsExtrapolation());
comp, freq);

return npv(leg, spreadedCurve,
includeSettlementDateFlows,
Expand All @@ -1244,13 +1193,21 @@ namespace QuantLib {
if (npvDate == Date())
npvDate = settlementDate;

auto zSpreadQuote = ext::make_shared<SimpleQuote>();
ZeroSpreadedTermStructure spreadedCurve(Handle<YieldTermStructure>(discount),
Handle<Quote>(zSpreadQuote),
compounding,
frequency);
auto objFunction = [&](Rate zSpread) {
zSpreadQuote->setValue(zSpread);
Real NPV = CashFlows::npv(leg, spreadedCurve,
includeSettlementDateFlows,
settlementDate, npvDate);
return npv - NPV;
};

Brent solver;
solver.setMaxEvaluations(maxIterations);
ZSpreadFinder objFunction(leg,
discount,
npv,
dayCounter, compounding, frequency, includeSettlementDateFlows,
settlementDate, npvDate);
Real step = 0.01;
return solver.solve(objFunction, accuracy, guess, step);
}
Expand Down
4 changes: 1 addition & 3 deletions ql/methods/finitedifferences/operators/fdmbatesop.cpp
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Expand Up @@ -49,9 +49,7 @@ namespace QuantLib {
Handle<YieldTermStructure>(ext::make_shared<ZeroSpreadedTermStructure>(
batesProcess->dividendYield(),
Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(lambda_ * m_))),
Continuous,
NoFrequency,
batesProcess->dividendYield()->dayCounter())),
Continuous)),
batesProcess->s0(),
batesProcess->v0(),
batesProcess->kappa(),
Expand Down
45 changes: 33 additions & 12 deletions ql/termstructures/yield/piecewiseforwardspreadedtermstructure.hpp
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Expand Up @@ -49,10 +49,19 @@ namespace QuantLib {
class InterpolatedPiecewiseForwardSpreadedTermStructure : public ForwardRateStructure {
public:
InterpolatedPiecewiseForwardSpreadedTermStructure(Handle<YieldTermStructure>,
std::vector<Handle<Quote> > spreads,
const std::vector<Date>& dates,
DayCounter dc = DayCounter(),
const Interpolator& factory = Interpolator());
std::vector<Handle<Quote>> spreads,
std::vector<Date> dates,
Interpolator factory = Interpolator());

/*! \deprecated Use the constructor without a day counter.
Deprecated in version 1.41.
*/
[[deprecated("Use the constructor without DayCounter")]]
InterpolatedPiecewiseForwardSpreadedTermStructure(Handle<YieldTermStructure>,
std::vector<Handle<Quote>> spreads,
std::vector<Date> dates,
DayCounter dc,
Interpolator factory = Interpolator());
//! \name YieldTermStructure interface
//@{
DayCounter dayCounter() const override;
Expand All @@ -78,23 +87,22 @@ namespace QuantLib {
std::vector<Spread> spreadValues_;
Compounding comp_;
Frequency freq_;
DayCounter dc_;
Interpolator factory_;
Interpolation interpolator_;
};

// inline definitions

#ifndef __DOXYGEN__

template <class T>
inline InterpolatedPiecewiseForwardSpreadedTermStructure<
T>::InterpolatedPiecewiseForwardSpreadedTermStructure(Handle<YieldTermStructure> h,
std::vector<Handle<Quote> > spreads,
const std::vector<Date>& dates,
DayCounter dc,
const T& factory)
: originalCurve_(std::move(h)), spreads_(std::move(spreads)), dates_(dates),
times_(dates.size()), spreadValues_(dates.size()), dc_(std::move(dc)),
factory_(factory) {
std::vector<Handle<Quote>> spreads,
std::vector<Date> dates,
T factory)
: originalCurve_(std::move(h)), spreads_(std::move(spreads)), dates_(std::move(dates)),
times_(dates_.size()), spreadValues_(dates_.size()), factory_(std::move(factory)) {
QL_REQUIRE(!spreads_.empty(), "no spreads given");
QL_REQUIRE(spreads_.size() == dates_.size(),
"spread and date vector have different sizes");
Expand All @@ -105,6 +113,19 @@ namespace QuantLib {
updateInterpolation();
}

template <class T>
inline InterpolatedPiecewiseForwardSpreadedTermStructure<
T>::InterpolatedPiecewiseForwardSpreadedTermStructure(Handle<YieldTermStructure> h,
std::vector<Handle<Quote>> spreads,
std::vector<Date> dates,
DayCounter dc,
T factory)
: InterpolatedPiecewiseForwardSpreadedTermStructure(
std::move(h), std::move(spreads), std::move(dates), std::move(factory)
) {}

#endif

template <class T>
inline DayCounter InterpolatedPiecewiseForwardSpreadedTermStructure<T>::dayCounter() const {
return originalCurve_->dayCounter();
Expand Down
52 changes: 39 additions & 13 deletions ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp
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Expand Up @@ -49,12 +49,23 @@ namespace QuantLib {
class InterpolatedPiecewiseZeroSpreadedTermStructure : public ZeroYieldStructure {
public:
InterpolatedPiecewiseZeroSpreadedTermStructure(Handle<YieldTermStructure>,
std::vector<Handle<Quote> > spreads,
const std::vector<Date>& dates,
std::vector<Handle<Quote>> spreads,
std::vector<Date> dates,
Compounding comp = Continuous,
Frequency freq = NoFrequency,
DayCounter dc = DayCounter(),
const Interpolator& factory = Interpolator());
Interpolator factory = Interpolator());

/*! \deprecated Use the constructor without a day counter.
Deprecated in version 1.41.
*/
[[deprecated("Use the constructor without DayCounter")]]
InterpolatedPiecewiseZeroSpreadedTermStructure(Handle<YieldTermStructure>,
std::vector<Handle<Quote>> spreads,
std::vector<Date> dates,
Compounding comp,
Frequency freq,
DayCounter dc,
Interpolator factory = Interpolator());
//! \name YieldTermStructure interface
//@{
DayCounter dayCounter() const override;
Expand All @@ -78,7 +89,6 @@ namespace QuantLib {
std::vector<Spread> spreadValues_;
Compounding comp_;
Frequency freq_;
DayCounter dc_;
Interpolator factory_;
Interpolation interpolator_;
};
Expand All @@ -91,18 +101,19 @@ namespace QuantLib {

// inline definitions

#ifndef __DOXYGEN__

template <class T>
inline InterpolatedPiecewiseZeroSpreadedTermStructure<
T>::InterpolatedPiecewiseZeroSpreadedTermStructure(Handle<YieldTermStructure> h,
std::vector<Handle<Quote> > spreads,
const std::vector<Date>& dates,
std::vector<Handle<Quote>> spreads,
std::vector<Date> dates,
Compounding comp,
Frequency freq,
DayCounter dc,
const T& factory)
: originalCurve_(std::move(h)), spreads_(std::move(spreads)), dates_(dates),
times_(dates.size()), spreadValues_(dates.size()), comp_(comp), freq_(freq),
dc_(std::move(dc)), factory_(factory) {
T factory)
: originalCurve_(std::move(h)), spreads_(std::move(spreads)), dates_(std::move(dates)),
times_(dates_.size()), spreadValues_(dates_.size()), comp_(comp), freq_(freq),
factory_(std::move(factory)) {
QL_REQUIRE(!spreads_.empty(), "no spreads given");
QL_REQUIRE(spreads_.size() == dates_.size(),
"spread and date vector have different sizes");
Expand All @@ -113,6 +124,21 @@ namespace QuantLib {
updateInterpolation();
}

template <class T>
inline InterpolatedPiecewiseZeroSpreadedTermStructure<
T>::InterpolatedPiecewiseZeroSpreadedTermStructure(Handle<YieldTermStructure> h,
std::vector<Handle<Quote>> spreads,
std::vector<Date> dates,
Compounding comp,
Frequency freq,
DayCounter dc,
T factory)
: InterpolatedPiecewiseZeroSpreadedTermStructure(
std::move(h), std::move(spreads), std::move(dates), comp, freq, std::move(factory)
) {}

#endif

template <class T>
inline DayCounter InterpolatedPiecewiseZeroSpreadedTermStructure<T>::dayCounter() const {
return originalCurve_->dayCounter();
Expand Down Expand Up @@ -192,4 +218,4 @@ namespace QuantLib {
}


#endif
#endif
27 changes: 20 additions & 7 deletions ql/termstructures/yield/zerospreadedtermstructure.hpp
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Expand Up @@ -49,8 +49,17 @@ namespace QuantLib {
ZeroSpreadedTermStructure(Handle<YieldTermStructure>,
Handle<Quote> spread,
Compounding comp = Continuous,
Frequency freq = NoFrequency,
DayCounter dc = DayCounter());
Frequency freq = NoFrequency);

/*! \deprecated Use the constructor without a day counter.
Deprecated in version 1.41.
*/
[[deprecated("Use the constructor without DayCounter")]]
ZeroSpreadedTermStructure(Handle<YieldTermStructure>,
Handle<Quote> spread,
Compounding comp,
Frequency freq,
DayCounter dc);
//! \name YieldTermStructure interface
//@{
DayCounter dayCounter() const override;
Expand All @@ -75,22 +84,26 @@ namespace QuantLib {
Handle<Quote> spread_;
Compounding comp_;
Frequency freq_;
DayCounter dc_;
};

inline ZeroSpreadedTermStructure::ZeroSpreadedTermStructure(Handle<YieldTermStructure> h,
Handle<Quote> spread,
Compounding comp,
Frequency freq,
DayCounter dc)
: originalCurve_(std::move(h)), spread_(std::move(spread)), comp_(comp), freq_(freq),
dc_(std::move(dc)) {
Frequency freq)
: originalCurve_(std::move(h)), spread_(std::move(spread)), comp_(comp), freq_(freq) {
if (!originalCurve_.empty())
enableExtrapolation(originalCurve_->allowsExtrapolation());
registerWith(originalCurve_);
registerWith(spread_);
}

inline ZeroSpreadedTermStructure::ZeroSpreadedTermStructure(Handle<YieldTermStructure> h,
Handle<Quote> spread,
Compounding comp,
Frequency freq,
DayCounter dc)
: ZeroSpreadedTermStructure(std::move(h), std::move(spread), comp, freq) {}

inline DayCounter ZeroSpreadedTermStructure::dayCounter() const {
return originalCurve_->dayCounter();
}
Expand Down
8 changes: 2 additions & 6 deletions test-suite/capfloor.cpp
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Expand Up @@ -663,9 +663,7 @@ BOOST_AUTO_TEST_CASE(testOptionLetsDelta) {
ext::shared_ptr<YieldTermStructure> spreadCurve(new ZeroSpreadedTermStructure(
baseCurveHandle,
Handle<Quote>(spread),
Continuous,
Annual,
Actual360()));
Continuous));
vars.termStructure.linkTo(spreadCurve);
Date startDate = vars.termStructure->referenceDate();
Leg leg = vars.makeLeg(startDate,20);
Expand Down Expand Up @@ -784,9 +782,7 @@ BOOST_AUTO_TEST_CASE(testBachelierOptionLetsDelta) {
ext::shared_ptr<YieldTermStructure> spreadCurve(new ZeroSpreadedTermStructure(
baseCurveHandle,
Handle<Quote>(spread),
Continuous,
Annual,
Actual360()));
Continuous));
vars.termStructure.linkTo(spreadCurve);
Date startDate = vars.termStructure->referenceDate();
Leg leg = vars.makeLeg(startDate,20);
Expand Down
5 changes: 1 addition & 4 deletions test-suite/piecewisezerospreadedtermstructure.cpp
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Expand Up @@ -368,14 +368,11 @@ BOOST_AUTO_TEST_CASE(testSetInterpolationFactory) {

Frequency freq = NoFrequency;

Cubic factory;
factory = Cubic(CubicInterpolation::Spline, false);

spreadedTermStructure =
ext::make_shared<InterpolatedPiecewiseZeroSpreadedTermStructure<Cubic> >(
Handle<YieldTermStructure>(vars.termStructure),
spreads, spreadDates, vars.compounding,
freq, vars.dayCount,factory);
freq, Cubic(CubicInterpolation::Spline, false));

Time t = vars.dayCount.yearFraction(vars.today, interpolationDate);
Rate interpolatedZeroRate = spreadedTermStructure->zeroRate(t,vars.compounding);
Expand Down
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