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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/indexes/inflationindex.hpp>
#include <ql/termstructures/inflationtermstructure.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
namespace QuantLib {
InflationIndex::InflationIndex(const std::string& familyName,
const Region& region,
bool revised,
bool interpolated,
Frequency frequency,
const Period& availabilityLag,
const Currency& currency)
: familyName_(familyName), region_(region),
revised_(revised), interpolated_(interpolated),
frequency_(frequency), availabilityLag_(availabilityLag),
currency_(currency) {
name_ = region_.name() + " " + familyName_;
registerWith(Settings::instance().evaluationDate());
registerWith(IndexManager::instance().notifier(name()));
}
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 = 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,
const Handle<ZeroInflationTermStructure>& zeroInflation)
: InflationIndex(familyName, region, revised, interpolated,
frequency, availabilityLag, currency),
zeroInflation_(zeroInflation) {
registerWith(zeroInflation_);
}
Rate ZeroInflationIndex::fixing(const Date& aFixingDate,
bool /*forecastTodaysFixing*/) const {
if (!needsForecast(aFixingDate)) {
const TimeSeries<Real>& ts = timeSeries();
Real pastFixing = ts[aFixingDate];
QL_REQUIRE(pastFixing != Null<Real>(),
"Missing " << name() << " fixing for " << aFixingDate);
Real theFixing = pastFixing;
if (interpolated_) {
// fixings stored flat & for every day
std::pair<Date,Date> lim =
inflationPeriod(aFixingDate, frequency_);
if (aFixingDate == lim.first) {
// we don't actually need the next fixing
theFixing = pastFixing;
} else {
Date fixingDate2 = aFixingDate + Period(frequency_);
Real pastFixing2 = ts[fixingDate2];
QL_REQUIRE(pastFixing2 != Null<Real>(),
"Missing " << name() << " fixing for " << fixingDate2);
// now linearly interpolate
Real daysInPeriod = lim.second+1 - lim.first;
theFixing = pastFixing
+ (pastFixing2-pastFixing)*(aFixingDate-lim.first)/daysInPeriod;
}
}
return theFixing;
} else {
return forecastFixing(aFixingDate);
}
}
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;
if (interpolated_) { // might need the next one too
std::pair<Date,Date> p = inflationPeriod(fixingDate, frequency_);
if (fixingDate > p.first)
latestNeededDate += Period(frequency_);
}
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
Real f = timeSeries()[latestNeededDate];
return (f == Null<Real>());
}
}
Rate 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 is not available");
Real baseFixing = fixing(baseDate);
Date effectiveFixingDate;
if (interpolated()) {
effectiveFixingDate = fixingDate;
} else {
// start of period is the convention
// so it's easier to do linear interpolation on fixings
effectiveFixingDate = inflationPeriod(fixingDate, frequency()).first;
}
// no observation lag because it is the fixing for the date
// but if index is not interpolated then that fixing is constant
// for each period, hence the t uses the effectiveFixingDate
// However, it's slightly safe to get the zeroRate with the
// fixingDate to avoid potential problems at the edges of periods
Time t = zeroInflation_->dayCounter().yearFraction(baseDate, effectiveFixingDate);
bool forceLinearInterpolation = false;
Rate zero = zeroInflation_->zeroRate(fixingDate, Period(0,Days), forceLinearInterpolation);
// Annual compounding is the convention for zero inflation rates (or quotes)
return baseFixing * std::pow(1.0 + zero, t);
}
boost::shared_ptr<ZeroInflationIndex> ZeroInflationIndex::clone(
const Handle<ZeroInflationTermStructure>& h) const {
return boost::shared_ptr<ZeroInflationIndex>(
new ZeroInflationIndex(familyName_, region_, revised_,
interpolated_, frequency_,
availabilityLag_, currency_, h));
}
// 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,
const Handle<YoYInflationTermStructure>& yoyInflation)
: InflationIndex(familyName, region, revised, interpolated,
frequency, availabilityLag, currency),
ratio_(ratio), yoyInflation_(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
// recall that they are stored flat for every day
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 =
IndexManager::instance().getHistory(name())[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
Rate pastFixing = ts[fixingDate];
QL_REQUIRE(pastFixing != Null<Rate>(),
"Missing " << name() << " fixing for "
<< fixingDate);
Date previousDate = fixingDate - 1*Years;
Rate previousFixing = ts[previousDate];
QL_REQUIRE(previousFixing != Null<Rate>(),
"Missing " << name() << " fixing for "
<< previousDate );
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
Rate pastFixing = ts[fixingDate];
QL_REQUIRE(pastFixing != Null<Rate>(),
"Missing " << name() << " fixing for "
<< fixingDate);
return pastFixing;
}
}
// QL_FAIL("YoYInflationIndex::fixing, should never get here");
}
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);
}
boost::shared_ptr<YoYInflationIndex> YoYInflationIndex::clone(
const Handle<YoYInflationTermStructure>& h) const {
return boost::shared_ptr<YoYInflationIndex>(
new YoYInflationIndex(familyName_, region_, revised_,
interpolated_, ratio_, frequency_,
availabilityLag_, currency_, h));
}
}
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