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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Chris Kenyon
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/termstructures/inflationtermstructure.hpp>
namespace QuantLib {
InflationTermStructure::InflationTermStructure(
const Period& lag,
Frequency frequency,
Rate baseRate,
const Handle<YieldTermStructure>& yTS,
const DayCounter& dayCounter)
: TermStructure(dayCounter), nominalTermStructure_(yTS),
lag_(lag), frequency_(frequency), baseRate_(baseRate) {
registerWith(nominalTermStructure_);
}
InflationTermStructure::InflationTermStructure(
const Date& referenceDate,
const Period& lag,
Frequency frequency,
Rate baseRate,
const Handle<YieldTermStructure>& yTS,
const Calendar& calendar,
const DayCounter& dayCounter)
: TermStructure(referenceDate, calendar, dayCounter),
nominalTermStructure_(yTS), lag_(lag),
frequency_(frequency), baseRate_(baseRate) {
registerWith(nominalTermStructure_);
}
InflationTermStructure::InflationTermStructure(
Natural settlementDays,
const Calendar& calendar,
const Period& lag,
Frequency frequency,
Rate baseRate,
const Handle<YieldTermStructure>& yTS,
const DayCounter &dayCounter)
: TermStructure(settlementDays, calendar, dayCounter),
nominalTermStructure_(yTS), lag_(lag),
frequency_(frequency), baseRate_(baseRate) {
registerWith(nominalTermStructure_);
}
Period InflationTermStructure::lag() const {
return lag_;
}
Frequency InflationTermStructure::frequency() const {
return frequency_;
}
Handle<YieldTermStructure>
InflationTermStructure::nominalTermStructure() const {
return nominalTermStructure_;
}
Rate InflationTermStructure::baseRate() const {
return baseRate_;
}
void InflationTermStructure::checkRange(const Date& d,
bool extrapolate) const {
QL_REQUIRE(d >= baseDate(),
"date (" << d << ") is before base date");
QL_REQUIRE(extrapolate || allowsExtrapolation() || d <= maxDate(),
"date (" << d << ") is past max curve date ("
<< maxDate() << ")");
}
void InflationTermStructure::checkRange(Time t,
bool extrapolate) const {
QL_REQUIRE(t >= timeFromReference(baseDate()),
"time (" << t << ") is before base date");
QL_REQUIRE(extrapolate || allowsExtrapolation() || t <= maxTime(),
"time (" << t << ") is past max curve time ("
<< maxTime() << ")");
}
ZeroInflationTermStructure::ZeroInflationTermStructure(
const DayCounter& dayCounter,
const Period& lag,
Frequency frequency,
Rate baseZeroRate,
const Handle<YieldTermStructure>& yTS)
: InflationTermStructure(lag, frequency, baseZeroRate, yTS, dayCounter) {}
ZeroInflationTermStructure::ZeroInflationTermStructure(
const Date& referenceDate,
const Calendar& calendar,
const DayCounter& dayCounter,
const Period& lag,
Frequency frequency,
Rate baseZeroRate,
const Handle<YieldTermStructure>& yTS)
: InflationTermStructure(referenceDate, lag, frequency, baseZeroRate,
yTS, calendar, dayCounter) {}
ZeroInflationTermStructure::ZeroInflationTermStructure(
Natural settlementDays,
const Calendar& calendar,
const DayCounter& dayCounter,
const Period& lag,
Frequency frequency,
Rate baseZeroRate,
const Handle<YieldTermStructure>& yTS)
: InflationTermStructure(settlementDays, calendar, lag, frequency,
baseZeroRate, yTS, dayCounter) {}
Rate ZeroInflationTermStructure::zeroRate(const Date &d,
bool extrapolate) const {
InflationTermStructure::checkRange(d, extrapolate);
return zeroRateImpl(timeFromReference(d));
}
Rate ZeroInflationTermStructure::zeroRate(Time t,
bool extrapolate) const {
InflationTermStructure::checkRange(t, extrapolate);
return zeroRateImpl(t);
}
YoYInflationTermStructure::YoYInflationTermStructure(
const DayCounter& dayCounter,
const Period& lag,
Frequency frequency,
Rate baseYoYRate,
const Handle<YieldTermStructure>& yTS)
: InflationTermStructure(lag, frequency, baseYoYRate, yTS, dayCounter) {}
YoYInflationTermStructure::YoYInflationTermStructure(
const Date& referenceDate,
const Calendar& calendar,
const DayCounter& dayCounter,
const Period& lag,
Frequency frequency,
Rate baseYoYRate,
const Handle<YieldTermStructure>& yTS)
: InflationTermStructure(referenceDate, lag, frequency, baseYoYRate,
yTS, calendar, dayCounter) {}
YoYInflationTermStructure::YoYInflationTermStructure(
Natural settlementDays,
const Calendar& calendar,
const DayCounter& dayCounter,
const Period& lag,
Frequency frequency,
Rate baseYoYRate,
const Handle<YieldTermStructure>& yTS)
: InflationTermStructure(settlementDays, calendar,lag, frequency,
baseYoYRate, yTS, dayCounter) {}
Rate YoYInflationTermStructure::yoyRate(const Date &d,
bool extrapolate) const {
InflationTermStructure::checkRange(d, extrapolate);
return yoyRateImpl(timeFromReference(d));
}
Rate YoYInflationTermStructure::yoyRate(Time t,
bool extrapolate) const {
InflationTermStructure::checkRange(t, extrapolate);
return yoyRateImpl(t);
}
std::pair<Date,Date> inflationPeriod(const Date& d,
Frequency frequency) {
Month month = d.month();
Year year = d.year();
Month startMonth, endMonth;
switch (frequency) {
case Annual:
startMonth = January;
endMonth = December;
break;
case Semiannual:
startMonth = Month((month-1)/6 + 1);
endMonth = Month(startMonth + 5);
break;
case Quarterly:
startMonth = Month((month-1)/3 + 1);
endMonth = Month(startMonth + 2);
break;
case Monthly:
startMonth = endMonth = month;
break;
default:
QL_FAIL("Frequency not handled: " << frequency);
break;
};
Date startDate = Date(1, startMonth, year);
Date endDate = Date::endOfMonth(Date(1, endMonth, year));
return std::make_pair(startDate,endDate);
}
}
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