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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
<https://www.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:
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());
auto I0 = index->fixing(fixingPeriod.first);
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 I0;
}
static const auto oneDay = Period(1, Days);
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));
}
}
Real CPI::laggedYoYRate(const ext::shared_ptr<YoYInflationIndex>& 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: {
if (index->ratio() && !index->needsForecast(date)) {
// in the case of a ratio, the convention seems to be to interpolate
// the underlying index fixings first, then take the ratio. This is
// not the same as taking the ratios and then interpolate, which is
// equivalent to what the else clause does.
// However, we can only do this if the fixings we need are in the past,
// because forecasts need to be done through the YoY forecast curve,
// and not the underlying index.
auto underlying = index->underlyingIndex();
Rate Z1 = CPI::laggedFixing(underlying, date, observationLag, interpolationType);
Rate Z0 = CPI::laggedFixing(underlying, date - 1*Years, observationLag, interpolationType);
return Z1/Z0 - 1.0;
} else {
static const auto oneDay = Period(1, Days);
auto fixingPeriod = inflationPeriod(date - observationLag, index->frequency());
auto interpolationPeriod = inflationPeriod(date, index->frequency());
auto Y0 = index->fixing(fixingPeriod.first);
if (date == interpolationPeriod.first) {
// special case; no interpolation anyway.
return Y0;
}
auto Y1 = index->fixing(fixingPeriod.second + oneDay);
return Y0 + (Y1 - Y0) * (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,
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(notifier());
}
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,
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)) {
const Real I1 = pastFixing(fixingDate);
QL_REQUIRE(I1 != Null<Real>(),
"Missing " << name() << " fixing for "
<< inflationPeriod(fixingDate, frequency_).first);
return I1;
} else {
return forecastFixing(fixingDate);
}
}
Real ZeroInflationIndex::pastFixing(const Date& fixingDate) const {
const auto p = inflationPeriod(fixingDate, frequency_);
const auto& ts = timeSeries();
return ts[p.first];
}
Date ZeroInflationIndex::lastFixingDate() const {
const auto& fixings = timeSeries();
QL_REQUIRE(!fixings.empty(), "no fixings stored for " << name());
// attribute fixing to first day of the underlying period
return inflationPeriod(fixings.lastDate(), frequency_).first;
}
bool ZeroInflationIndex::needsForecast(const Date& fixingDate) const {
Date today = Settings::instance().evaluationDate();
auto latestPossibleHistoricalFixingPeriod =
inflationPeriod(today - availabilityLag_, frequency_);
// Zero-index fixings are always non-interpolated.
auto fixingPeriod = inflationPeriod(fixingDate, frequency_);
Date latestNeededDate = fixingPeriod.first;
if (latestNeededDate < latestPossibleHistoricalFixingPeriod.first) {
// the fixing date is well before the availability lag, so
// we know that fixings must be provided.
return false;
} else if (latestNeededDate > latestPossibleHistoricalFixingPeriod.second) {
// the fixing can't be available yet
return true;
} else {
// we're not sure, but the fixing might be there so we check.
Real f = timeSeries()[latestNeededDate];
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> fixingPeriod = inflationPeriod(fixingDate, frequency_);
Date firstDateInPeriod = fixingPeriod.first;
Rate Z1 = zeroInflation_->zeroRate(firstDateInPeriod, Period(0,Days), false);
Time t1 = inflationYearFraction(frequency_, false, zeroInflation_->dayCounter(),
baseDate, firstDateInPeriod);
return baseFixing * std::pow(1.0 + Z1, t1);
}
ext::shared_ptr<ZeroInflationIndex> ZeroInflationIndex::clone(
const Handle<ZeroInflationTermStructure>& h) const {
return ext::make_shared<ZeroInflationIndex>(
familyName_, region_, revised_, frequency_, availabilityLag_, currency_, h);
}
YoYInflationIndex::YoYInflationIndex(const ext::shared_ptr<ZeroInflationIndex>& underlyingIndex,
Handle<YoYInflationTermStructure> yoyInflation)
: InflationIndex("YYR_" + underlyingIndex->familyName(), underlyingIndex->region(),
underlyingIndex->revised(), underlyingIndex->frequency(),
underlyingIndex->availabilityLag(), underlyingIndex->currency()),
interpolated_(false), ratio_(true), underlyingIndex_(underlyingIndex),
yoyInflation_(std::move(yoyInflation)) {
registerWith(underlyingIndex_);
registerWith(yoyInflation_);
}
YoYInflationIndex::YoYInflationIndex(const ext::shared_ptr<ZeroInflationIndex>& underlyingIndex,
bool interpolated,
Handle<YoYInflationTermStructure> yoyInflation)
: YoYInflationIndex(underlyingIndex, std::move(yoyInflation)) {
interpolated_ = interpolated;
}
YoYInflationIndex::YoYInflationIndex(const std::string& familyName,
const Region& region,
bool revised,
Frequency frequency,
const Period& availabilityLag,
const Currency& currency,
Handle<YoYInflationTermStructure> yoyInflation)
: InflationIndex(familyName, region, revised, frequency, availabilityLag, currency),
interpolated_(false), ratio_(false), yoyInflation_(std::move(yoyInflation)) {
registerWith(yoyInflation_);
}
YoYInflationIndex::YoYInflationIndex(const std::string& familyName,
const Region& region,
bool revised,
bool interpolated,
Frequency frequency,
const Period& availabilityLag,
const Currency& currency,
Handle<YoYInflationTermStructure> yoyInflation)
: YoYInflationIndex(familyName, region, revised, frequency, availabilityLag, currency, std::move(yoyInflation)) {
interpolated_ = interpolated;
}
Rate YoYInflationIndex::fixing(const Date& fixingDate,
bool /*forecastTodaysFixing*/) const {
if (needsForecast(fixingDate)) {
return forecastFixing(fixingDate);
} else {
return pastFixing(fixingDate);
}
}
Date YoYInflationIndex::lastFixingDate() const {
if (ratio()) {
return underlyingIndex_->lastFixingDate();
} else {
const auto& fixings = timeSeries();
QL_REQUIRE(!fixings.empty(), "no fixings stored for " << name());
// attribute fixing to first day of the underlying period
return inflationPeriod(fixings.lastDate(), frequency_).first;
}
}
bool YoYInflationIndex::needsForecast(const Date& fixingDate) const {
Date today = Settings::instance().evaluationDate();
auto fixingPeriod = inflationPeriod(fixingDate, frequency_);
Date latestNeededDate;
if (!interpolated() || fixingDate == fixingPeriod.first)
latestNeededDate = fixingPeriod.first;
else
latestNeededDate = fixingPeriod.second + 1;
if (ratio()) {
return underlyingIndex_->needsForecast(latestNeededDate);
} else {
auto latestPossibleHistoricalFixingPeriod =
inflationPeriod(today - availabilityLag_, frequency_);
if (latestNeededDate < latestPossibleHistoricalFixingPeriod.first) {
// the fixing date is well before the availability lag, so
// we know that fixings must be provided.
return false;
} else if (latestNeededDate > latestPossibleHistoricalFixingPeriod.second) {
// the fixing can't be available yet
return true;
} else {
// we're not sure, but the fixing might be there so we check.
Real f = timeSeries()[latestNeededDate];
return (f == Null<Real>());
}
}
}
Real YoYInflationIndex::pastFixing(const Date& fixingDate) const {
if (ratio()) {
auto interpolationType = interpolated() ? CPI::Linear : CPI::Flat;
Rate pastFixing = CPI::laggedFixing(underlyingIndex_, fixingDate, Period(0, Months), interpolationType);
Rate previousFixing = CPI::laggedFixing(underlyingIndex_, fixingDate - 1*Years, Period(0, Months), interpolationType);
return pastFixing/previousFixing - 1.0;
} else { // NOT ratio
const auto& ts = timeSeries();
auto [periodStart, periodEnd] = inflationPeriod(fixingDate, frequency_);
Rate YY0 = ts[periodStart];
QL_REQUIRE(YY0 != Null<Rate>(),
"Missing " << name() << " fixing for " << periodStart);
if (!interpolated() || /* degenerate case */ fixingDate == periodStart) {
return YY0;
} else {
Real dp = periodEnd + 1 - periodStart;
Real dl = fixingDate - periodStart;
Rate YY1 = ts[periodEnd+1];
QL_REQUIRE(YY1 != Null<Rate>(),
"Missing " << name() << " fixing for " << periodEnd+1);
return YY0 + (YY1 - YY0) * dl / dp;
}
}
}
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> fixingPeriod = inflationPeriod(fixingDate, frequency_);
d = fixingPeriod.first;
}
return yoyInflation_->yoyRate(d,0*Days);
}
ext::shared_ptr<YoYInflationIndex> YoYInflationIndex::clone(
const Handle<YoYInflationTermStructure>& h) const {
QL_DEPRECATED_DISABLE_WARNING
if (ratio_) {
// NOLINTNEXTLINE(modernize-make-shared)
return ext::shared_ptr<YoYInflationIndex>(
new YoYInflationIndex(underlyingIndex_, interpolated_, h));
} else {
// NOLINTNEXTLINE(modernize-make-shared)
return ext::shared_ptr<YoYInflationIndex>(
new YoYInflationIndex(familyName_, region_, revised_,
interpolated_, frequency_,
availabilityLag_, currency_, h));
}
QL_DEPRECATED_ENABLE_WARNING
}
CPI::InterpolationType
detail::CPI::effectiveInterpolationType(const QuantLib::CPI::InterpolationType& type) {
if (type == QuantLib::CPI::AsIndex) {
return QuantLib::CPI::Flat;
} else {
return type;
}
}
CPI::InterpolationType
detail::CPI::effectiveInterpolationType(const QuantLib::CPI::InterpolationType& type,
const ext::shared_ptr<YoYInflationIndex>& index) {
if (type == QuantLib::CPI::AsIndex) {
return index->interpolated() ? QuantLib::CPI::Linear : QuantLib::CPI::Flat;
} else {
return type;
}
}
bool detail::CPI::isInterpolated(const QuantLib::CPI::InterpolationType& type) {
return detail::CPI::effectiveInterpolationType(type) == QuantLib::CPI::Linear;
}
bool detail::CPI::isInterpolated(const QuantLib::CPI::InterpolationType& type,
const ext::shared_ptr<YoYInflationIndex>& index) {
return detail::CPI::effectiveInterpolationType(type, index) == QuantLib::CPI::Linear;
}
}
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