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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Chris Kenyon
Copyright (C) 2007, 2008 StatPro Italia srl
Copyright (C) 2011 Ferdinando Ametrano
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 piecewisezeroinflationcurve.hpp
\brief Piecewise zero-inflation term structure
*/
#ifndef quantlib_piecewise_zero_inflation_curve_hpp
#define quantlib_piecewise_zero_inflation_curve_hpp
#include <ql/patterns/lazyobject.hpp>
#include <ql/termstructures/inflation/inflationtraits.hpp>
#include <ql/termstructures/iterativebootstrap.hpp>
#include <functional>
#include <utility>
namespace QuantLib {
//! Piecewise zero-inflation term structure
template <class Interpolator,
template <class> class Bootstrap = IterativeBootstrap,
class Traits = ZeroInflationTraits>
class PiecewiseZeroInflationCurve
: public InterpolatedZeroInflationCurve<Interpolator>,
public LazyObject {
private:
typedef InterpolatedZeroInflationCurve<Interpolator> base_curve;
typedef PiecewiseZeroInflationCurve<Interpolator,Bootstrap,Traits>
this_curve;
typedef std::function<Date()> BaseDateFunc;
public:
typedef Traits traits_type;
typedef Interpolator interpolator_type;
//! \name Constructors
//@{
PiecewiseZeroInflationCurve(
const Date& referenceDate,
Date baseDate,
Frequency frequency,
const DayCounter& dayCounter,
std::vector<ext::shared_ptr<typename Traits::helper> > instruments,
const ext::shared_ptr<Seasonality>& seasonality = {},
Real accuracy = 1.0e-14,
const Interpolator& i = Interpolator())
: base_curve(referenceDate,
baseDate,
frequency,
dayCounter,
seasonality,
i),
instruments_(std::move(instruments)), accuracy_(accuracy) {
bootstrap_.setup(this);
}
PiecewiseZeroInflationCurve(
const Date& referenceDate,
BaseDateFunc baseDateFunc,
Frequency frequency,
const DayCounter& dayCounter,
std::vector<ext::shared_ptr<typename Traits::helper> > instruments,
const ext::shared_ptr<Seasonality>& seasonality = {},
Real accuracy = 1.0e-14,
const Interpolator& i = Interpolator())
: base_curve(referenceDate,
Date(),
frequency,
dayCounter,
seasonality,
i),
instruments_(std::move(instruments)), accuracy_(accuracy),
baseDateFunc_(std::move(baseDateFunc)) {
bootstrap_.setup(this);
}
//@}
//! \name Inflation interface
//@{
Date baseDate() const override;
Date maxDate() const override;
//@
//! \name Inspectors
//@{
const std::vector<Time>& times() const;
const std::vector<Date>& dates() const;
const std::vector<Real>& data() const;
std::vector<std::pair<Date, Real> > nodes() const;
//@}
//! \name Observer interface
//@{
void update() override;
//@}
private:
// methods
void performCalculations() const override;
Rate zeroRateImpl(Time t) const override;
// data members
std::vector<ext::shared_ptr<typename Traits::helper> > instruments_;
Real accuracy_;
BaseDateFunc baseDateFunc_;
friend class Bootstrap<this_curve>;
Bootstrap<this_curve> bootstrap_;
};
// inline and template definitions
template <class I, template <class> class B, class T>
inline Date PiecewiseZeroInflationCurve<I,B,T>::baseDate() const {
if (baseDateFunc_)
this->calculate();
return base_curve::baseDate();
}
template <class I, template <class> class B, class T>
inline Date PiecewiseZeroInflationCurve<I,B,T>::maxDate() const {
this->calculate();
return base_curve::maxDate();
}
template <class I, template <class> class B, class T>
const std::vector<Time>& PiecewiseZeroInflationCurve<I,B,T>::times() const {
calculate();
return base_curve::times();
}
template <class I, template <class> class B, class T>
const std::vector<Date>& PiecewiseZeroInflationCurve<I,B,T>::dates() const {
calculate();
return base_curve::dates();
}
template <class I, template <class> class B, class T>
const std::vector<Real>& PiecewiseZeroInflationCurve<I,B,T>::data() const {
calculate();
return base_curve::rates();
}
template <class I, template <class> class B, class T>
std::vector<std::pair<Date, Real> >
PiecewiseZeroInflationCurve<I,B,T>::nodes() const {
calculate();
return base_curve::nodes();
}
template <class I, template <class> class B, class T>
void PiecewiseZeroInflationCurve<I,B,T>::performCalculations() const {
if (baseDateFunc_)
const_cast<this_curve*>(this)->baseDate_ = baseDateFunc_();
bootstrap_.calculate();
}
template <class I, template <class> class B, class T>
Rate PiecewiseZeroInflationCurve<I,B,T>::zeroRateImpl(Time t) const {
calculate();
return base_curve::zeroRateImpl(t);
}
template <class I, template<class> class B, class T>
void PiecewiseZeroInflationCurve<I,B,T>::update() {
base_curve::update();
LazyObject::update();
}
}
#endif
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