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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007, 2009 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>
#include <ql/indexes/inflationindex.hpp>
namespace QuantLib {
InflationTermStructure::InflationTermStructure(
Rate baseRate,
const Period& observationLag,
Frequency frequency,
bool indexIsInterpolated,
const Handle<YieldTermStructure>& yTS,
const DayCounter& dayCounter,
const boost::shared_ptr<Seasonality> &seasonality)
: TermStructure(dayCounter),
observationLag_(observationLag), frequency_(frequency), indexIsInterpolated_(indexIsInterpolated),
baseRate_(baseRate), nominalTermStructure_(yTS) {
registerWith(nominalTermStructure_);
setSeasonality(seasonality);
}
InflationTermStructure::InflationTermStructure(
const Date& referenceDate,
Rate baseRate,
const Period& observationLag,
Frequency frequency,
const bool indexIsInterpolated,
const Handle<YieldTermStructure>& yTS,
const Calendar& calendar,
const DayCounter& dayCounter,
const boost::shared_ptr<Seasonality> &seasonality)
: TermStructure(referenceDate, calendar, dayCounter),
observationLag_(observationLag),
frequency_(frequency), indexIsInterpolated_(indexIsInterpolated),
baseRate_(baseRate), nominalTermStructure_(yTS) {
registerWith(nominalTermStructure_);
setSeasonality(seasonality);
}
InflationTermStructure::InflationTermStructure(
Natural settlementDays,
const Calendar& calendar,
Rate baseRate,
const Period& observationLag,
Frequency frequency,
bool indexIsInterpolated,
const Handle<YieldTermStructure>& yTS,
const DayCounter &dayCounter,
const boost::shared_ptr<Seasonality> &seasonality)
: TermStructure(settlementDays, calendar, dayCounter),
observationLag_(observationLag),
frequency_(frequency), indexIsInterpolated_(indexIsInterpolated),
baseRate_(baseRate), nominalTermStructure_(yTS) {
registerWith(nominalTermStructure_);
setSeasonality(seasonality);
}
void InflationTermStructure::setSeasonality(
const boost::shared_ptr<Seasonality>& seasonality) {
// always reset, whether with null or new pointer
seasonality_ = seasonality;
if (seasonality_) {
QL_REQUIRE(seasonality_->isConsistent(*this),
"Seasonality inconsistent with "
"inflation term structure");
}
notifyObservers();
}
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,
Rate baseZeroRate,
const Period& observationLag,
Frequency frequency,
bool indexIsInterpolated,
const Handle<YieldTermStructure>& yTS,
const boost::shared_ptr<Seasonality> &seasonality)
: InflationTermStructure(baseZeroRate, observationLag, frequency, indexIsInterpolated,
yTS, dayCounter, seasonality) {
}
ZeroInflationTermStructure::ZeroInflationTermStructure(
const Date& referenceDate,
const Calendar& calendar,
const DayCounter& dayCounter,
Rate baseZeroRate,
const Period& observationLag,
Frequency frequency,
bool indexIsInterpolated,
const Handle<YieldTermStructure>& yTS,
const boost::shared_ptr<Seasonality> &seasonality)
: InflationTermStructure(referenceDate, baseZeroRate, observationLag, frequency, indexIsInterpolated,
yTS, calendar, dayCounter, seasonality) {
}
ZeroInflationTermStructure::ZeroInflationTermStructure(
Natural settlementDays,
const Calendar& calendar,
const DayCounter& dayCounter,
Rate baseZeroRate,
const Period& observationLag,
Frequency frequency,
bool indexIsInterpolated,
const Handle<YieldTermStructure>& yTS,
const boost::shared_ptr<Seasonality> &seasonality)
: InflationTermStructure(settlementDays, calendar, baseZeroRate, observationLag, frequency, indexIsInterpolated,
yTS, dayCounter, seasonality) {
}
Rate ZeroInflationTermStructure::zeroRate(const Date &d, const Period& instObsLag,
bool forceLinearInterpolation,
bool extrapolate) const {
Period useLag = instObsLag;
if (instObsLag == Period(-1,Days)) {
useLag = observationLag();
}
Rate zeroRate;
if (forceLinearInterpolation) {
std::pair<Date,Date> dd = inflationPeriod(d-useLag, frequency());
dd.second = dd.second + Period(1,Days);
Real dp = dd.second - dd.first;
Real dt = d - dd.first;
// if we are interpolating we only check the exact point
// this prevents falling off the end at curve maturity
InflationTermStructure::checkRange(d, extrapolate);
Time t1 = timeFromReference(dd.first);
Time t2 = timeFromReference(dd.second);
zeroRate = zeroRateImpl(t1) + zeroRateImpl(t2) * (dt/dp);
} else {
if (indexIsInterpolated()) {
InflationTermStructure::checkRange(d-useLag, extrapolate);
Time t = timeFromReference(d-useLag);
zeroRate = zeroRateImpl(t);
} else {
std::pair<Date,Date> dd = inflationPeriod(d-useLag, frequency());
InflationTermStructure::checkRange(dd.first, extrapolate);
Time t = timeFromReference(dd.first);
zeroRate = zeroRateImpl(t);
}
}
if (hasSeasonality()) {
zeroRate = seasonality()->correctZeroRate(d-useLag, zeroRate, *this);
}
return zeroRate;
}
Rate ZeroInflationTermStructure::zeroRate(Time t,
bool extrapolate) const {
checkRange(t, extrapolate);
return zeroRateImpl(t);
}
YoYInflationTermStructure::YoYInflationTermStructure(
const DayCounter& dayCounter,
Rate baseYoYRate,
const Period& observationLag,
Frequency frequency,
bool indexIsInterpolated,
const Handle<YieldTermStructure>& yTS,
const boost::shared_ptr<Seasonality> &seasonality)
: InflationTermStructure(baseYoYRate, observationLag, frequency, indexIsInterpolated,
yTS, dayCounter, seasonality) {}
YoYInflationTermStructure::YoYInflationTermStructure(
const Date& referenceDate,
const Calendar& calendar,
const DayCounter& dayCounter,
Rate baseYoYRate,
const Period& observationLag,
Frequency frequency,
bool indexIsInterpolated,
const Handle<YieldTermStructure>& yTS,
const boost::shared_ptr<Seasonality> &seasonality)
: InflationTermStructure(referenceDate, baseYoYRate, observationLag, frequency, indexIsInterpolated,
yTS, calendar, dayCounter, seasonality) {}
YoYInflationTermStructure::YoYInflationTermStructure(
Natural settlementDays,
const Calendar& calendar,
const DayCounter& dayCounter,
Rate baseYoYRate,
const Period& observationLag,
Frequency frequency,
bool indexIsInterpolated,
const Handle<YieldTermStructure>& yTS,
const boost::shared_ptr<Seasonality> &seasonality)
: InflationTermStructure(settlementDays, calendar, baseYoYRate, observationLag,
frequency, indexIsInterpolated,
yTS, dayCounter, seasonality) {}
Rate YoYInflationTermStructure::yoyRate(const Date &d, const Period& instObsLag,
bool forceLinearInterpolation,
bool extrapolate) const {
Period useLag = instObsLag;
if (instObsLag == Period(-1,Days)) {
useLag = observationLag();
}
Rate yoyRate;
if (forceLinearInterpolation) {
std::pair<Date,Date> dd = inflationPeriod(d-useLag, frequency());
dd.second = dd.second + Period(1,Days);
Real dp = dd.second - dd.first;
Real dt = (d-useLag) - dd.first;
// if we are interpolating we only check the exact point
// this prevents falling off the end at curve maturity
InflationTermStructure::checkRange(d, extrapolate);
Time t1 = timeFromReference(dd.first);
Time t2 = timeFromReference(dd.second);
yoyRate = yoyRateImpl(t1) + (yoyRateImpl(t2)-yoyRateImpl(t1)) * (dt/dp);
} else {
if (indexIsInterpolated()) {
InflationTermStructure::checkRange(d-useLag, extrapolate);
Time t = timeFromReference(d-useLag);
yoyRate = yoyRateImpl(t);
} else {
std::pair<Date,Date> dd = inflationPeriod(d-useLag, frequency());
InflationTermStructure::checkRange(dd.first, extrapolate);
Time t = timeFromReference(dd.first);
yoyRate = yoyRateImpl(t);
}
}
if (hasSeasonality()) {
yoyRate = seasonality()->correctYoYRate(d-useLag, yoyRate, *this);
}
return yoyRate;
}
Rate YoYInflationTermStructure::yoyRate(Time t,
bool extrapolate) const {
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(6*((month-1)/6) + 1);
endMonth = Month(startMonth + 5);
break;
case Quarterly:
startMonth = Month(3*((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);
}
Time inflationYearFraction(Frequency f, bool indexIsInterpolated,
const DayCounter &dayCounter,
const Date &d1, const Date &d2) {
Time t=0;
if (indexIsInterpolated) {
// N.B. we do not use linear interpolation between flat
// fixing forecasts for forecasts. This avoids awkwardnesses
// when bootstrapping the inflation curve.
t = dayCounter.yearFraction(d1, d2);
} else {
// I.e. fixing is constant for the whole inflation period.
// Use the value for half way along the period.
// But the inflation time is the time between period starts
std::pair<Date,Date> limD1 = inflationPeriod(d1, f);
std::pair<Date,Date> limD2 = inflationPeriod(d2, f);
t = dayCounter.yearFraction(limD1.first, limD2.first);
}
return t;
}
}
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