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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Chris Kenyon
Copyright (C) 2021 Ralf Konrad Eckel
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/indexes/inflationindex.hpp>
#include <ql/termstructures/inflationtermstructure.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <utility>
namespace QuantLib {
Real CPI::laggedFixing(const ext::shared_ptr<ZeroInflationIndex>& index,
const Date& date,
const Period& observationLag,
CPI::InterpolationType interpolationType) {
switch (interpolationType) {
case AsIndex: {
return index->fixing(date - observationLag);
}
case Flat: {
auto fixingPeriod = inflationPeriod(date - observationLag, index->frequency());
return index->fixing(fixingPeriod.first);
}
case Linear: {
auto fixingPeriod = inflationPeriod(date - observationLag, index->frequency());
auto interpolationPeriod = inflationPeriod(date, index->frequency());
if (date == interpolationPeriod.first) {
// special case; no interpolation. This avoids asking for
// the fixing at the end of the period, which might need a
// forecast curve to be set.
return index->fixing(fixingPeriod.first);
}
static const auto oneDay = Period(1, Days);
auto I0 = index->fixing(fixingPeriod.first);
auto I1 = index->fixing(fixingPeriod.second + oneDay);
return I0 + (I1 - I0) * (date - interpolationPeriod.first) /
(Real)((interpolationPeriod.second + oneDay) - interpolationPeriod.first);
}
default:
QL_FAIL("unknown CPI interpolation type: " << int(interpolationType));
}
}
InflationIndex::InflationIndex(std::string familyName,
Region region,
bool revised,
bool interpolated,
Frequency frequency,
const Period& availabilityLag,
Currency currency)
: InflationIndex(std::move(familyName),
std::move(region),
revised,
frequency,
availabilityLag,
std::move(currency)) {
QL_DEPRECATED_DISABLE_WARNING
interpolated_ = interpolated;
QL_DEPRECATED_ENABLE_WARNING
}
/* gcc complains in the constructor about the deprecated call of initializing
* `bool InflationIndex::interpolated_ = false;` that's why we need to disable the warning here.
*/
QL_DEPRECATED_DISABLE_WARNING
InflationIndex::InflationIndex(std::string familyName,
Region region,
bool revised,
Frequency frequency,
const Period& availabilityLag,
Currency currency)
: familyName_(std::move(familyName)), region_(std::move(region)), revised_(revised),
frequency_(frequency), availabilityLag_(availabilityLag), currency_(std::move(currency)) {
name_ = region_.name() + " " + familyName_;
registerWith(Settings::instance().evaluationDate());
registerWith(IndexManager::instance().notifier(name()));
}
QL_DEPRECATED_ENABLE_WARNING
bool InflationIndex::interpolated() const {
QL_DEPRECATED_DISABLE_WARNING
return interpolated_;
QL_DEPRECATED_ENABLE_WARNING
}
Calendar InflationIndex::fixingCalendar() const {
static NullCalendar c;
return c;
}
void InflationIndex::addFixing(const Date& fixingDate,
Real fixing,
bool forceOverwrite) {
std::pair<Date,Date> lim = inflationPeriod(fixingDate, frequency_);
Size n = static_cast<QuantLib::Size>(lim.second - lim.first) + 1;
std::vector<Date> dates(n);
std::vector<Rate> rates(n);
for (Size i=0; i<n; ++i) {
dates[i] = lim.first + i;
rates[i] = fixing;
}
Index::addFixings(dates.begin(), dates.end(),
rates.begin(), forceOverwrite);
}
ZeroInflationIndex::ZeroInflationIndex(const std::string& familyName,
const Region& region,
bool revised,
bool interpolated,
Frequency frequency,
const Period& availabilityLag,
const Currency& currency,
Handle<ZeroInflationTermStructure> zeroInflation)
: ZeroInflationIndex(
familyName, region, revised, frequency, availabilityLag, currency, std::move(zeroInflation)) {
QL_DEPRECATED_DISABLE_WARNING
interpolated_ = interpolated;
QL_DEPRECATED_ENABLE_WARNING
}
ZeroInflationIndex::ZeroInflationIndex(const std::string& familyName,
const Region& region,
bool revised,
Frequency frequency,
const Period& availabilityLag,
const Currency& currency,
Handle<ZeroInflationTermStructure> zeroInflation)
: InflationIndex(familyName, region, revised, frequency, availabilityLag, currency),
zeroInflation_(std::move(zeroInflation)) {
registerWith(zeroInflation_);
}
Real ZeroInflationIndex::fixing(const Date& fixingDate,
bool /*forecastTodaysFixing*/) const {
if (!needsForecast(fixingDate)) {
std::pair<Date,Date> p = inflationPeriod(fixingDate, frequency_);
const TimeSeries<Real>& ts = timeSeries();
Real I1 = ts[p.first];
QL_REQUIRE(I1 != Null<Real>(),
"Missing " << name() << " fixing for " << p.first);
QL_DEPRECATED_DISABLE_WARNING
if (interpolated_ && fixingDate > p.first) {
QL_DEPRECATED_ENABLE_WARNING
Real I2 = ts[p.second+1];
QL_REQUIRE(I2 != Null<Real>(),
"Missing " << name() << " fixing for " << p.second+1);
// Use non-lagged period for interpolation
Date observationDate = fixingDate + zeroInflation_->observationLag();
std::pair<Date, Date> p2 = inflationPeriod(observationDate, frequency_);
Real daysInPeriod = (p2.second + 1) - p2.first;
Real interpolationCoefficient = (observationDate - p2.first) / daysInPeriod;
return I1 + (I2 - I1) * interpolationCoefficient;
} else {
// we don't need the next fixing
return I1;
}
} else {
return forecastFixing(fixingDate);
}
}
bool ZeroInflationIndex::needsForecast(const Date& fixingDate) const {
// Stored fixings are always non-interpolated.
// If an interpolated fixing is required then
// the availability lag + one inflation period
// must have passed to use historical fixings
// (because you need the next one to interpolate).
// The interpolation is calculated (linearly) on demand.
Date today = Settings::instance().evaluationDate();
Date todayMinusLag = today - availabilityLag_;
Date historicalFixingKnown =
inflationPeriod(todayMinusLag, frequency_).first-1;
Date latestNeededDate = fixingDate;
QL_DEPRECATED_DISABLE_WARNING
if (interpolated_) { // might need the next one too
std::pair<Date,Date> p = inflationPeriod(fixingDate, frequency_);
if (fixingDate > p.first)
latestNeededDate += Period(frequency_);
}
QL_DEPRECATED_ENABLE_WARNING
if (latestNeededDate <= historicalFixingKnown) {
// the fixing date is well before the availability lag, so
// we know that fixings were provided.
return false;
} else if (latestNeededDate > today) {
// the fixing can't be available, no matter what's in the
// time series
return true;
} else {
// we're not sure, but the fixing might be there so we
// check. Todo: check which fixings are not possible, to
// avoid using fixings in the future
Date first = Date(1, latestNeededDate.month(), latestNeededDate.year());
Real f = timeSeries()[first];
return (f == Null<Real>());
}
}
Real ZeroInflationIndex::forecastFixing(const Date& fixingDate) const {
// the term structure is relative to the fixing value at the base date.
Date baseDate = zeroInflation_->baseDate();
QL_REQUIRE(!needsForecast(baseDate),
name() << " index fixing at base date " << baseDate << " is not available");
Real baseFixing = fixing(baseDate);
std::pair<Date, Date> p = inflationPeriod(fixingDate, frequency_);
QL_DEPRECATED_DISABLE_WARNING
Date firstDateInPeriod = p.first;
Rate Z1 = zeroInflation_->zeroRate(firstDateInPeriod, Period(0,Days), false);
Time t1 = inflationYearFraction(frequency_, interpolated_, zeroInflation_->dayCounter(),
baseDate, firstDateInPeriod);
Real I1 = baseFixing * std::pow(1.0 + Z1, t1);
if (interpolated_ && fixingDate > firstDateInPeriod) {
Date firstDateInNextPeriod = p.second + 1;
Rate Z2 = zeroInflation_->zeroRate(firstDateInNextPeriod, Period(0,Days), false);
Time t2 = inflationYearFraction(frequency_, interpolated_, zeroInflation_->dayCounter(),
baseDate, firstDateInNextPeriod);
Real I2 = baseFixing * std::pow(1.0 + Z2, t2);
// // Use non-lagged period for interpolation
Date observationDate = fixingDate + zeroInflation_->observationLag();
std::pair<Date, Date> p2 = inflationPeriod(observationDate, frequency_);
Real daysInPeriod = (p2.second + 1) - p2.first;
Real interpolationCoefficient = (observationDate - p2.first) / daysInPeriod;
return I1 + (I2 - I1) * interpolationCoefficient;
} else {
return I1;
}
QL_DEPRECATED_ENABLE_WARNING
}
ext::shared_ptr<ZeroInflationIndex> ZeroInflationIndex::clone(
const Handle<ZeroInflationTermStructure>& h) const {
/* using the new constructor and set interpolated to avoid the deprecated warning and
* error... */
auto clonedIndex = ext::make_shared<ZeroInflationIndex>(
familyName_, region_, revised_, frequency_, availabilityLag_, currency_, h);
QL_DEPRECATED_DISABLE_WARNING
clonedIndex->interpolated_ = interpolated_;
QL_DEPRECATED_ENABLE_WARNING
return clonedIndex;
}
// these still need to be fixed to latest versions
YoYInflationIndex::YoYInflationIndex(const std::string& familyName,
const Region& region,
bool revised,
bool interpolated,
bool ratio,
Frequency frequency,
const Period& availabilityLag,
const Currency& currency,
Handle<YoYInflationTermStructure> yoyInflation)
: InflationIndex(familyName, region, revised, frequency, availabilityLag, currency),
interpolated_(interpolated), ratio_(ratio), yoyInflation_(std::move(yoyInflation)) {
registerWith(yoyInflation_);
}
Rate YoYInflationIndex::fixing(const Date& fixingDate,
bool /*forecastTodaysFixing*/) const {
Date today = Settings::instance().evaluationDate();
Date todayMinusLag = today - availabilityLag_;
std::pair<Date,Date> lim = inflationPeriod(todayMinusLag, frequency_);
Date lastFix = lim.first-1;
Date flatMustForecastOn = lastFix+1;
Date interpMustForecastOn = lastFix+1 - Period(frequency_);
if (interpolated() && fixingDate >= interpMustForecastOn) {
return forecastFixing(fixingDate);
}
if (!interpolated() && fixingDate >= flatMustForecastOn) {
return forecastFixing(fixingDate);
}
// four cases with ratio() and interpolated()
const TimeSeries<Real>& ts = timeSeries();
if (ratio()) {
if(interpolated()){ // IS ratio, IS interpolated
std::pair<Date,Date> lim = inflationPeriod(fixingDate, frequency_);
Date fixMinus1Y = NullCalendar().advance(fixingDate, -1*Years, ModifiedFollowing);
std::pair<Date,Date> limBef = inflationPeriod(fixMinus1Y, frequency_);
Real dp = lim.second + 1 - lim.first;
Real dpBef = limBef.second + 1 - limBef.first;
Real dl = fixingDate-lim.first;
// potentially does not work on 29th Feb
Real dlBef = fixMinus1Y - limBef.first;
// get the four relevant fixings
Rate limFirstFix = ts[lim.first];
QL_REQUIRE(limFirstFix != Null<Rate>(),
"Missing " << name() << " fixing for " << lim.first );
Rate limSecondFix = ts[lim.second+1];
QL_REQUIRE(limSecondFix != Null<Rate>(),
"Missing " << name() << " fixing for " << lim.second+1 );
Rate limBefFirstFix = ts[limBef.first];
QL_REQUIRE(limBefFirstFix != Null<Rate>(),
"Missing " << name() << " fixing for " << limBef.first );
Rate limBefSecondFix = ts[limBef.second+1];
QL_REQUIRE(limBefSecondFix != Null<Rate>(),
"Missing " << name() << " fixing for " << limBef.second+1 );
Real linearNow = limFirstFix + (limSecondFix-limFirstFix)*dl/dp;
Real linearBef = limBefFirstFix + (limBefSecondFix-limBefFirstFix)*dlBef/dpBef;
Rate wasYES = linearNow / linearBef - 1.0;
return wasYES;
} else { // IS ratio, NOT interpolated
std::pair<Date,Date> lim = inflationPeriod(fixingDate, frequency_);
Rate pastFixing = ts[lim.first];
QL_REQUIRE(pastFixing != Null<Rate>(),
"Missing " << name() << " fixing for " << fixingDate);
Date previousDate = fixingDate - 1*Years;
std::pair<Date,Date> limBef = inflationPeriod(previousDate, frequency_);
Rate previousFixing = ts[limBef.first];
QL_REQUIRE(previousFixing != Null<Rate>(),
"Missing " << name() << " fixing for " << limBef.first );
return pastFixing/previousFixing - 1.0;
}
} else { // NOT ratio
if (interpolated()) { // NOT ratio, IS interpolated
std::pair<Date,Date> lim = inflationPeriod(fixingDate, frequency_);
Real dp = lim.second + 1 - lim.first;
Real dl = fixingDate - lim.first;
Rate limFirstFix = ts[lim.first];
QL_REQUIRE(limFirstFix != Null<Rate>(),
"Missing " << name() << " fixing for "
<< lim.first );
Rate limSecondFix = ts[lim.second+1];
QL_REQUIRE(limSecondFix != Null<Rate>(),
"Missing " << name() << " fixing for "
<< lim.second+1 );
Real linearNow = limFirstFix + (limSecondFix-limFirstFix)*dl/dp;
return linearNow;
} else { // NOT ratio, NOT interpolated
// so just flat
std::pair<Date,Date> lim = inflationPeriod(fixingDate, frequency_);
Rate pastFixing = ts[lim.first];
QL_REQUIRE(pastFixing != Null<Rate>(),
"Missing " << name() << " fixing for " << lim.first);
return pastFixing;
}
}
}
Real YoYInflationIndex::forecastFixing(const Date& fixingDate) const {
Date d;
if (interpolated()) {
d = fixingDate;
} else {
// if the value is not interpolated use the starting value
// by internal convention this will be consistent
std::pair<Date,Date> lim = inflationPeriod(fixingDate, frequency_);
d = lim.first;
}
return yoyInflation_->yoyRate(d,0*Days);
}
ext::shared_ptr<YoYInflationIndex> YoYInflationIndex::clone(
const Handle<YoYInflationTermStructure>& h) const {
return ext::make_shared<YoYInflationIndex>(
familyName_, region_, revised_,
interpolated_, ratio_, frequency_,
availabilityLag_, currency_, h);
}
CPI::InterpolationType
detail::CPI::effectiveInterpolationType(const ext::shared_ptr<ZeroInflationIndex>& index,
const QuantLib::CPI::InterpolationType& type) {
if (type == QuantLib::CPI::AsIndex) {
QL_DEPRECATED_DISABLE_WARNING
return index->interpolated() ? QuantLib::CPI::Linear : QuantLib::CPI::Flat;
QL_DEPRECATED_ENABLE_WARNING
} else {
return type;
}
}
}
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