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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Piero Del Boca
Copyright (C) 2009 Chris Kenyon
Copyright (C) 2015 Bernd Lewerenz
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/inflation/seasonality.hpp>
#include <ql/termstructures/inflationtermstructure.hpp>
#include <ql/errors.hpp>
namespace QuantLib {
bool Seasonality::isConsistent(const InflationTermStructure&) const {
return true;
}
//Multiplicative Seasonality on price = on CPI/RPI/HICP/etc
void MultiplicativePriceSeasonality::validate() const
{
switch (this->frequency()) {
case Semiannual: //2
case EveryFourthMonth: //3
case Quarterly: //4
case Bimonthly: //6
case Monthly: //12
case Biweekly: // etc.
case Weekly:
case Daily:
QL_REQUIRE(!this->seasonalityFactors().empty(), "no seasonality factors given");
QL_REQUIRE( (this->seasonalityFactors().size() %
this->frequency()) == 0,
"For frequency " << this->frequency()
<< " require multiple of " << ((int)this->frequency()) << " factors "
<< this->seasonalityFactors().size() << " were given.");
break;
default:
QL_FAIL("bad frequency specified: " << this->frequency()
<< ", only semi-annual through daily permitted.");
break;
}
}
bool MultiplicativePriceSeasonality::isConsistent(const InflationTermStructure& iTS) const
{
// If multi-year is the specification consistent with the term structure start date?
// We do NOT test daily seasonality because this will, in general, never be consistent
// given weekends, holidays, leap years, etc.
if(this->frequency() == Daily) return true;
if(Size(this->frequency()) == seasonalityFactors().size()) return true;
// how many years do you need to test?
Size nTest = seasonalityFactors().size() / this->frequency();
// ... relative to the start of the inflation curve
std::pair<Date,Date> lim = inflationPeriod(iTS.baseDate(), iTS.frequency());
Date curveBaseDate = lim.second;
Real factorBase = this->seasonalityFactor(curveBaseDate);
Real eps = 0.00001;
for (Size i = 1; i < nTest; i++) {
Real factorAt = this->seasonalityFactor(curveBaseDate+Period(i,Years));
QL_REQUIRE(std::fabs(factorAt-factorBase)<eps,"seasonality is inconsistent with inflation term structure, factors "
<< factorBase << " and later factor " << factorAt << ", " << i << " years later from inflation curve "
<<" with base date at " << curveBaseDate);
}
return true;
}
MultiplicativePriceSeasonality::MultiplicativePriceSeasonality(const Date& seasonalityBaseDate, const Frequency frequency,
const std::vector<Rate>& seasonalityFactors)
{
set(seasonalityBaseDate, frequency, seasonalityFactors);
}
void MultiplicativePriceSeasonality::set(const Date& seasonalityBaseDate, const Frequency frequency,
const std::vector<Rate>& seasonalityFactors)
{
frequency_ = frequency;
seasonalityFactors_ = std::vector<Rate>(seasonalityFactors.size());
for(Size i=0; i<seasonalityFactors.size(); i++) {
seasonalityFactors_[i] = seasonalityFactors[i];
}
seasonalityBaseDate_ = seasonalityBaseDate;
validate();
}
Date MultiplicativePriceSeasonality::seasonalityBaseDate() const {
return seasonalityBaseDate_;
}
Frequency MultiplicativePriceSeasonality::frequency() const {
return frequency_;
}
std::vector<Rate> MultiplicativePriceSeasonality::seasonalityFactors() const {
return seasonalityFactors_;
}
Rate MultiplicativePriceSeasonality::correctZeroRate(const Date &d,
const Rate r,
const InflationTermStructure& iTS) const {
// Mimic the logic in ZeroInflationIndex::forecastFixing for choosing the
// curveBaseDate and effective fixing date. This means that we should retrieve
// the input seasonality adjustments when we look at I_{SA}(t) / I_{NSA}(t).
Date curveBaseDate = iTS.baseDate();
Date effectiveFixingDate = inflationPeriod(d, iTS.frequency()).first;
return seasonalityCorrection(r, effectiveFixingDate, iTS.dayCounter(), curveBaseDate, true);
}
Rate MultiplicativePriceSeasonality::correctYoYRate(const Date &d,
const Rate r,
const InflationTermStructure& iTS) const {
std::pair<Date,Date> lim = inflationPeriod(iTS.baseDate(), iTS.frequency());
Date curveBaseDate = lim.second;
return seasonalityCorrection(r, d, iTS.dayCounter(), curveBaseDate, false);
}
Real MultiplicativePriceSeasonality::seasonalityFactor(const Date &to) const {
Date from = seasonalityBaseDate();
Frequency factorFrequency = frequency();
Size nFactors = seasonalityFactors().size();
Period factorPeriod(factorFrequency);
Size which = 0;
if (from==to) {
which = 0;
} else {
// days, weeks, months, years are the only time unit possibilities
Integer diffDays = std::abs(to - from); // in days
Integer dir = 1;
if(from > to)dir = -1;
Integer diff;
if (factorPeriod.units() == Days) {
diff = dir*diffDays;
} else if (factorPeriod.units() == Weeks) {
diff = dir * (diffDays / 7);
} else if (factorPeriod.units() == Months) {
std::pair<Date,Date> lim = inflationPeriod(to, factorFrequency);
diff = diffDays / (31*factorPeriod.length());
Date go = from + dir*diff*factorPeriod;
while ( !(lim.first <= go && go <= lim.second) ) {
go += dir*factorPeriod;
diff++;
}
diff=dir*diff;
} else if (factorPeriod.units() == Years) {
QL_FAIL("seasonality period time unit is not allowed to be : " << factorPeriod.units());
} else {
QL_FAIL("Unknown time unit: " << factorPeriod.units());
}
// now adjust to the available number of factors, direction dependent
if (dir==1) {
which = diff % nFactors;
} else {
which = (nFactors - (-diff % nFactors)) % nFactors;
}
}
return seasonalityFactors()[which];
}
Rate MultiplicativePriceSeasonality::seasonalityCorrection(Rate rate,
const Date& atDate,
const DayCounter& dc,
const Date& curveBaseDate,
const bool isZeroRate) const {
// need _two_ corrections in order to get: seasonality = factor[atDate-seasonalityBase] / factor[reference-seasonalityBase]
// i.e. for ZERO inflation rates you have the true fixing at the curve base so this factor must be normalized to one
// for YoY inflation rates your reference point is the year before
Real factorAt = this->seasonalityFactor(atDate);
//Getting seasonality correction for either ZC or YoY
Rate f;
if (isZeroRate) {
Rate factorBase = this->seasonalityFactor(curveBaseDate);
Real seasonalityAt = factorAt / factorBase;
std::pair<Date,Date> p = inflationPeriod(atDate,frequency());
Time timeFromCurveBase = dc.yearFraction(curveBaseDate, p.first);
f = std::pow(seasonalityAt, 1/timeFromCurveBase);
}
else {
Rate factor1Ybefore = this->seasonalityFactor(atDate - Period(1,Years));
f = factorAt / factor1Ybefore;
}
return (rate + 1)*f - 1;
}
Real KerkhofSeasonality::seasonalityFactor(const Date &to) const {
Integer dir = 1;
Date from = seasonalityBaseDate();
Size fromMonth = from.month();
Size toMonth = to.month();
Period factorPeriod(frequency());
if (toMonth < fromMonth)
{
Size dummy = fromMonth;
fromMonth = toMonth;
toMonth = dummy;
dir = 0; // We calculate invers Factor in loop
}
QL_REQUIRE(seasonalityFactors().size() == 12 &&
factorPeriod.units() == Months,
"12 monthly seasonal factors needed for Kerkhof Seasonality:"
<< " got " << seasonalityFactors().size());
Real seasonalCorrection = 1.0;
for (Size i = fromMonth ; i<toMonth; i++)
{
seasonalCorrection *= seasonalityFactors()[i];
}
if (dir == 0) // invers Factor required
{
seasonalCorrection = 1/seasonalCorrection;
}
return seasonalCorrection;
}
Rate KerkhofSeasonality::seasonalityCorrection(Rate rate,
const Date& atDate,
const DayCounter& dc,
const Date& curveBaseDate,
const bool isZeroRate) const {
Real indexFactor = this->seasonalityFactor(atDate);
// Getting seasonality correction
Rate f;
if (isZeroRate) {
std::pair<Date,Date> lim = inflationPeriod(curveBaseDate, Monthly);
Time timeFromCurveBase = dc.yearFraction(lim.first, atDate);
f = std::pow(indexFactor, 1/timeFromCurveBase);
}
else {
QL_FAIL("Seasonal Kerkhof model is not defined on YoY rates");
}
return (rate + 1)*f - 1;
}
}
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