bootstrap.cpp

#include <iostream>
#include <string>
#include <sstream>
#include <vector>
#include <iomanip>
#include <math.h>
 
using namespace std;
 
int main() {
     
    int compounding = 0;
    cout << "Please enter the frequency of compounding? " << endl
         << "1 for Annual Compounding, 2 for Semi-Annual Compounding : " ; cin >> compounding;
    cin.get(); // ignore return carriage
 
    cout << "Please enter Swap Rates:";
    vector<double> swapRates;
    string buffer;
    getline(cin, buffer);
    istringstream ssin(buffer);
    double input;
    // We keep all swap rates in "swapRates".
    while (ssin >> input) {
        swapRates.push_back(input);
    }
         
    int terms = swapRates.size();
    vector<double> df;
    vector<double> spotRates;
    vector<double> forwardRates;
 
    // We use algorithms discussed above to find DF,Spot Rates,
    // Forward Rates as follows.
 
    // find discount factors
    for (int i=0; i<terms; i++) {
        double sum = 0;
        double discount = 0;
        for (int j=0; j<i; j++) {
            sum += (swapRates[i] / compounding)*df[j];
        }
        discount = (1.0 - sum) / (1.0 + swapRates[i] / compounding);
        df.push_back(discount);
    }
 
    // find Spot Rates
    for (int i = 0; i < terms; i++) {
         
        double spot = compounding * ( pow( 1.0/df[i] , 1.0/(i+1.0)) - 1.0);
        spotRates.push_back(spot);
    }
     
    // find Forward Rates
    for (int i = 0; i < terms; i++) {
        double products = 1;
        double forward;
        for (int j = 0; j < i; j++) {
            products *= 1 / (1 + forwardRates[j]/compounding);
        }
        products *= 1 / df[i];
        forward = compounding * (products - 1);
        forwardRates.push_back(forward);
    }
 
    // Display Results.
    cout << endl;
    cout << left << setw(15) << setfill(' ') << "Term (years)";
    cout << left << setw(15) << setfill(' ') << "Swap Rates";
    cout << left << setw(15) << setfill(' ') << "DF";
    cout << left << setw(15) << setfill(' ') << "Spot Rates";
    cout << left << setw(15) << setfill(' ') << "Forward Rates" << endl;
 
    cout << "===========================================================" << endl;
    for (int i = 0; i < terms; i++) {
        cout << left << setw(15) << setfill(' ') << (1.0 / compounding)*(i+1);
        cout << left << setw(15) << setfill(' ') << swapRates[i];
        cout << left << setw(15) << setfill(' ') << df[i];
        cout << left << setw(15) << setfill(' ') << spotRates[i];
        cout << left << setw(15) << setfill(' ') << forwardRates[i] << endl;
    }
 
    return 0;
}