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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007, 2008 Chris Kenyon
Copyright (C) 2009 StatPro Italia srl
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.
*/
/*! \file interpolatedzeroinflationcurve.hpp
\brief Inflation term structure based on the interpolation of zero rates.
*/
#ifndef quantlib_interpolated_zeroinflationcurve_hpp
#define quantlib_interpolated_zeroinflationcurve_hpp
#include <ql/termstructures/inflationtermstructure.hpp>
#include <ql/termstructures/interpolatedcurve.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <utility>
namespace QuantLib {
//! Inflation term structure based on the interpolation of zero rates.
/*! \ingroup inflationtermstructures */
template<class Interpolator>
class InterpolatedZeroInflationCurve
: public ZeroInflationTermStructure,
protected InterpolatedCurve<Interpolator> {
public:
InterpolatedZeroInflationCurve(const Date& referenceDate,
std::vector<Date> dates,
const std::vector<Rate>& rates,
Frequency frequency,
const DayCounter& dayCounter,
const ext::shared_ptr<Seasonality>& seasonality = {},
const Interpolator& interpolator = Interpolator());
//! \name InflationTermStructure interface
//@{
Date maxDate() const override;
//@}
//! \name Inspectors
//@{
const std::vector<Date>& dates() const;
const std::vector<Time>& times() const;
const std::vector<Real>& data() const;
const std::vector<Rate>& rates() const;
std::vector<std::pair<Date,Rate> > nodes() const;
//@}
protected:
//! \name ZeroInflationTermStructure Interface
//@{
Rate zeroRateImpl(Time t) const override;
//@}
mutable std::vector<Date> dates_;
/*! Protected version for use when descendents don't want to
(or can't) provide the points for interpolation on
construction.
*/
InterpolatedZeroInflationCurve(const Date& referenceDate,
Date baseDate,
Frequency frequency,
const DayCounter& dayCounter,
const ext::shared_ptr<Seasonality>& seasonality = {},
const Interpolator &interpolator = Interpolator());
};
typedef InterpolatedZeroInflationCurve<Linear> ZeroInflationCurve;
// template definitions
template <class Interpolator>
InterpolatedZeroInflationCurve<Interpolator>::InterpolatedZeroInflationCurve(
const Date& referenceDate,
std::vector<Date> dates,
const std::vector<Rate>& rates,
Frequency frequency,
const DayCounter& dayCounter,
const ext::shared_ptr<Seasonality>& seasonality,
const Interpolator& interpolator)
: ZeroInflationTermStructure(referenceDate, dates.at(0), frequency, dayCounter, seasonality),
InterpolatedCurve<Interpolator>(std::vector<Time>(), rates, interpolator),
dates_(std::move(dates)) {
QL_REQUIRE(dates_.size() > 1, "too few dates: " << dates_.size());
QL_REQUIRE(this->data_.size() == dates_.size(),
"indices/dates count mismatch: " << this->data_.size() << " vs "
<< dates_.size());
for (Size i = 1; i < dates_.size(); i++) {
// must be greater than -1
QL_REQUIRE(this->data_[i] > -1.0, "zero inflation data < -100 %");
}
this->setupTimes(dates_, referenceDate, dayCounter);
this->setupInterpolation();
this->interpolation_.update();
}
template <class Interpolator>
InterpolatedZeroInflationCurve<Interpolator>::
InterpolatedZeroInflationCurve(const Date& referenceDate,
Date baseDate,
Frequency frequency,
const DayCounter& dayCounter,
const ext::shared_ptr<Seasonality>& seasonality,
const Interpolator& interpolator)
: ZeroInflationTermStructure(referenceDate, baseDate, frequency, dayCounter, seasonality),
InterpolatedCurve<Interpolator>(interpolator) {
}
template <class T>
Date InterpolatedZeroInflationCurve<T>::maxDate() const {
return dates_.back();
}
template <class T>
inline Rate InterpolatedZeroInflationCurve<T>::zeroRateImpl(Time t) const {
return this->interpolation_(t, true);
}
template <class T>
inline const std::vector<Time>&
InterpolatedZeroInflationCurve<T>::times() const {
return this->times_;
}
template <class T>
inline const std::vector<Date>&
InterpolatedZeroInflationCurve<T>::dates() const {
return dates_;
}
template <class T>
inline const std::vector<Rate>&
InterpolatedZeroInflationCurve<T>::rates() const {
return this->data_;
}
template <class T>
inline const std::vector<Real>&
InterpolatedZeroInflationCurve<T>::data() const {
return this->data_;
}
template <class T>
inline std::vector<std::pair<Date,Rate> >
InterpolatedZeroInflationCurve<T>::nodes() const {
std::vector<std::pair<Date,Rate> > results(dates_.size());
for (Size i=0; i<dates_.size(); ++i)
results[i] = std::make_pair(dates_[i],this->data_[i]);
return results;
}
}
#endif
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