lballabio/QuantLib | Build 14910176578 | ql/termstructures/inflationtermstructure.hpp | Coveralls

1

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

2

3

/*

4

 Copyright (C) 2007, 2009 Chris Kenyon

5

6

 This file is part of QuantLib, a free-software/open-source library

7

 for financial quantitative analysts and developers - http://quantlib.org/

8

9

 QuantLib is free software: you can redistribute it and/or modify it

10

 under the terms of the QuantLib license.  You should have received a

11

 copy of the license along with this program; if not, please email

12

 <quantlib-dev@lists.sf.net>. The license is also available online at

13

 <http://quantlib.org/license.shtml>.

14

15

 This program is distributed in the hope that it will be useful, but WITHOUT

16

 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS

17

 FOR A PARTICULAR PURPOSE.  See the license for more details.

18

*/

19

20

/*! \file inflationtermstructure.hpp

21

    \brief Base classes for inflation term structures.

22

*/

23

24

#ifndef quantlib_inflation_termstructure_hpp

25

#define quantlib_inflation_termstructure_hpp

26

27

#include <ql/termstructures/yieldtermstructure.hpp>

28

#include <ql/termstructures/inflation/seasonality.hpp>

29

30

namespace QuantLib {

31

32

    class InflationIndex;

33

34

    //! Interface for inflation term structures.

35

    /*! \ingroup inflationtermstructures */

36

    class InflationTermStructure : public TermStructure {

37

      public:

38

        //! \name Constructors

39

        //@{

40

        InflationTermStructure(Date baseDate,

41

                               Frequency frequency,

42

                               const DayCounter& dayCounter = DayCounter(),

43

                               ext::shared_ptr<Seasonality> seasonality = {},

44

                               Rate baseRate = Null<Rate>());

45

46

        InflationTermStructure(const Date& referenceDate,

47

                               Date baseDate,

48

                               Frequency frequency,

49

                               const DayCounter& dayCounter = DayCounter(),

50

                               ext::shared_ptr<Seasonality> seasonality = {},

51

                               Rate baseRate = Null<Rate>());

52

53

        InflationTermStructure(Natural settlementDays,

54

                               const Calendar& calendar,

55

                               Date baseDate,

56

                               Frequency frequency,

57

                               const DayCounter& dayCounter = DayCounter(),

58

                               ext::shared_ptr<Seasonality> seasonality = {},

59

                               Rate baseRate = Null<Rate>());

60

        //@}

61

62

        QL_DEPRECATED_DISABLE_WARNING

64

        QL_DEPRECATED_ENABLE_WARNING

65

66

        //! \name Inflation interface

67

        //@{

68

        /*! \deprecated Do not use; inflation curves always have an explicit

69

                        base date now.

70

                        Deprecated in version 1.39.

71

*/

72

        [[deprecated("Do not use; inflation curves always have an explicit base date now.")]]

73

        virtual Period observationLag() const;

74

75

        virtual Frequency frequency() const;

76

        virtual Rate baseRate() const;

77

78

        //! minimum (base) date

79

        /*! The last date for which we have information.

80

81

            When not set directly (the recommended option), it is

82

            calculated base on an observation lag relative to today.

83

*/

84

        virtual Date baseDate() const;

85

86

        /*! \deprecated Do not use; inflation curves always have an explicit

87

                        base date now.

88

                        Deprecated in version 1.39.

89

*/

90

        [[deprecated("Do not use; inflation curves always have an explicit base date now.")]]

91

        bool hasExplicitBaseDate() const {

92

            return true;

93

94

        //@}

95

96

        //! \name Seasonality

97

        //@{

98

        void setSeasonality(const ext::shared_ptr<Seasonality>& seasonality);

99

        ext::shared_ptr<Seasonality> seasonality() const;

100

        bool hasSeasonality() const;

101

        //@}

102

103

      protected:

104

        void checkRange(const Date&,

105

                        bool extrapolate) const;

106

        void checkRange(Time t,

107

                        bool extrapolate) const;

108

109

        ext::shared_ptr<Seasonality> seasonality_;

110

111

        /*! \deprecated Do not use; inflation curves always have an explicit

112

                        base date now.

113

                        Deprecated in version 1.39.

114

*/

115

        [[deprecated("Do not use; inflation curves always have an explicit base date now.")]]

116

        Period observationLag_;

117

118

        Frequency frequency_;

119

        mutable Rate baseRate_;

120

121

      private:

122

        Date baseDate_;

123

};

124

125

    //! Interface for zero inflation term structures.

126

    class ZeroInflationTermStructure : public InflationTermStructure {

127

      public:

128

        //! \name Constructors

129

        //@{

130

        ZeroInflationTermStructure(Date baseDate,

131

                                   Frequency frequency,

132

                                   const DayCounter& dayCounter,

133

                                   const ext::shared_ptr<Seasonality>& seasonality = {});

134

135

        ZeroInflationTermStructure(const Date& referenceDate,

136

                                   Date baseDate,

137

                                   Frequency frequency,

138

                                   const DayCounter& dayCounter,

139

                                   const ext::shared_ptr<Seasonality>& seasonality = {});

140

141

        ZeroInflationTermStructure(Natural settlementDays,

142

                                   const Calendar& calendar,

143

                                   Date baseDate,

144

                                   Frequency frequency,

145

                                   const DayCounter& dayCounter,

146

                                   const ext::shared_ptr<Seasonality>& seasonality = {});

147

        //@}

148

149

        //! \name Inspectors

150

        //@{

151

        //! zero-coupon inflation rate.

152

        /*! Essentially the fair rate for a zero-coupon inflation swap

153

            (by definition), i.e. the zero term structure uses yearly

154

            compounding, which is assumed for ZCIIS instrument quotes.

155

156

            \note by default you get the same as lag and interpolation

157

            as the term structure.

158

            If you want to get predictions of RPI/CPI/etc then use an

159

            index.

160

*/

161

        Rate zeroRate(const Date& d, const Period& instObsLag = Period(-1,Days),

162

                      bool forceLinearInterpolation = false,

163

                      bool extrapolate = false) const;

164

        //! zero-coupon inflation rate.

165

        /*! \warning Since inflation is highly linked to dates (lags,

166

                     interpolation, months for seasonality, etc) this

167

                     method cannot account for all effects.  If you

168

                     call it, You'll have to manage lag, seasonality

169

                     etc. yourself.

170

*/

171

        Rate zeroRate(Time t,

172

                      bool extrapolate = false) const;

173

        //@}

174

      protected:

175

        //! to be defined in derived classes

176

        virtual Rate zeroRateImpl(Time t) const = 0;

177

};

178

179

180

    //! Base class for year-on-year inflation term structures.

181

    class YoYInflationTermStructure : public InflationTermStructure {

182

      public:

183

        //! \name Constructors

184

        //@{

185

        YoYInflationTermStructure(Date baseDate,

186

                                  Rate baseYoYRate,

187

                                  Frequency frequency,

188

                                  const DayCounter& dayCounter,

189

                                  const ext::shared_ptr<Seasonality>& seasonality = {});

190

191

        YoYInflationTermStructure(const Date& referenceDate,

192

                                  Date baseDate,

193

                                  Rate baseYoYRate,

194

                                  Frequency frequency,

195

                                  const DayCounter& dayCounter,

196

                                  const ext::shared_ptr<Seasonality>& seasonality = {});

197

198

        YoYInflationTermStructure(Natural settlementDays,

199

                                  const Calendar& calendar,

200

                                  Date baseDate,

201

                                  Rate baseYoYRate,

202

                                  Frequency frequency,

203

                                  const DayCounter& dayCounter,

204

                                  const ext::shared_ptr<Seasonality>& seasonality = {});

205

206

        /*! \deprecated Use an overload with an explicit base date and without indexIsInterpolated.

207

                        Deprecated in version 1.37.

208

*/

209

        [[deprecated("Use an overload with an explicit base date and without indexIsInterpolated")]]

210

        YoYInflationTermStructure(Date baseDate,

211

                                  Rate baseYoYRate,

212

                                  Frequency frequency,

213

                                  bool indexIsInterpolated,

214

                                  const DayCounter& dayCounter,

215

                                  const ext::shared_ptr<Seasonality>& seasonality = {});

216

217

        /*! \deprecated Use an overload with an explicit base date and without indexIsInterpolated.

218

                        Deprecated in version 1.37.

219

*/

220

        [[deprecated("Use an overload with an explicit base date and without indexIsInterpolated")]]

221

        YoYInflationTermStructure(const Date& referenceDate,

222

                                  Date baseDate,

223

                                  Rate baseYoYRate,

224

                                  Frequency frequency,

225

                                  bool indexIsInterpolated,

226

                                  const DayCounter& dayCounter,

227

                                  const ext::shared_ptr<Seasonality>& seasonality = {});

228

229

        /*! \deprecated Use an overload with an explicit base date and without indexIsInterpolated.

230

                        Deprecated in version 1.37.

231

*/

232

        [[deprecated("Use an overload with an explicit base date and without indexIsInterpolated")]]

233

        YoYInflationTermStructure(Natural settlementDays,

234

                                  const Calendar& calendar,

235

                                  Date baseDate,

236

                                  Rate baseYoYRate,

237

                                  Frequency frequency,

238

                                  bool indexIsInterpolated,

239

                                  const DayCounter& dayCounter,

240

                                  const ext::shared_ptr<Seasonality>& seasonality = {});

241

        //@}

242

243

        QL_DEPRECATED_DISABLE_WARNING

245

        QL_DEPRECATED_ENABLE_WARNING

246

247

        //! \name Inspectors

248

        //@{

249

        //! year-on-year inflation rate.

250

        /*! The forceLinearInterpolation parameter is relative to the

251

            frequency of the TS.

252

253

            \note this is not the year-on-year swap (YYIIS) rate.

254

*/

255

        Rate yoyRate(const Date& d, const Period& instObsLag = Period(-1,Days),

256

                     bool forceLinearInterpolation = false,

257

                     bool extrapolate = false) const;

258

        //! year-on-year inflation rate.

259

        /*! \warning Since inflation is highly linked to dates (lags,

260

                     interpolation, months for seasonality, etc) this

261

                     method cannot account for all effects.  If you

262

                     call it, You'll have to manage lag, seasonality

263

                     etc. yourself.

264

*/

265

        Rate yoyRate(Time t,

266

                     bool extrapolate = false) const;

267

        //@}

268

269

        /*! \deprecated This method will disappear. When it does, the curve will behave as if it returned false.

270

                        Deprecated in version 1.37.

271

*/

272

        [[deprecated("This method will disappear. When it does, the curve will behave as if it returned false")]]

273

        virtual bool indexIsInterpolated() const;

274

      protected:

275

        //! to be defined in derived classes

276

        virtual Rate yoyRateImpl(Time time) const = 0;

277

278

        /*! \deprecated This data member will disappear. When it does, the curve will behave as if it was false.

279

                        Deprecated in version 1.37.

280

*/

281

        [[deprecated("This data member will disappear. When it does, the curve will behave as if it was false")]]

282

        bool indexIsInterpolated_ = false;

283

};

284

285

286

    //! utility function giving the inflation period for a given date

287

    std::pair<Date,Date> inflationPeriod(const Date&,

288

                                         Frequency);

289

290

    //! utility function giving the time between two dates depending on

291

    //! index frequency and interpolation, and a day counter

292

    Time inflationYearFraction(Frequency ,

293

                               bool indexIsInterpolated,

294

                               const DayCounter&,

295

                               const Date&, const Date&);

296

297

298

    // inline

299

301

        QL_DEPRECATED_DISABLE_WARNING

303

        QL_DEPRECATED_ENABLE_WARNING

304

305

308

309

313

314

315

    inline ext::shared_ptr<Seasonality> InflationTermStructure::seasonality() const {

316

        return seasonality_;

317

318

319

    inline bool InflationTermStructure::hasSeasonality() const {

320

        return static_cast<bool>(seasonality_);

321

322

324

        QL_DEPRECATED_DISABLE_WARNING

326

        QL_DEPRECATED_ENABLE_WARNING

327

328

329

330

331

#endif

lballabio / QuantLib / 14910176578

Source File
Press 'n' to go to next uncovered line, 'b' for previous

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2007, 2009 Chris Kenyon
5
6	This file is part of QuantLib, a free-software/open-source library
7	for financial quantitative analysts and developers - http://quantlib.org/
8
9	QuantLib is free software: you can redistribute it and/or modify it
10	under the terms of the QuantLib license. You should have received a
11	copy of the license along with this program; if not, please email
12	<quantlib-dev@lists.sf.net>. The license is also available online at
13	<http://quantlib.org/license.shtml>.
14
15	This program is distributed in the hope that it will be useful, but WITHOUT
16	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17	FOR A PARTICULAR PURPOSE. See the license for more details.
18	*/
19
20	/*! \file inflationtermstructure.hpp
21	\brief Base classes for inflation term structures.
22	*/
23
24	#ifndef quantlib_inflation_termstructure_hpp
25	#define quantlib_inflation_termstructure_hpp
26
27	#include <ql/termstructures/yieldtermstructure.hpp>
28	#include <ql/termstructures/inflation/seasonality.hpp>
29
30	namespace QuantLib {
31
32	class InflationIndex;
33
34	//! Interface for inflation term structures.
35	/! \ingroup inflationtermstructures /
36	class InflationTermStructure : public TermStructure {
37	public:
38	//! \name Constructors
39	//@{
40	InflationTermStructure(Date baseDate,
41	Frequency frequency,
42	const DayCounter& dayCounter = DayCounter(),
43	ext::shared_ptr<Seasonality> seasonality = {},
44	Rate baseRate = Null<Rate>());
45
46	InflationTermStructure(const Date& referenceDate,
47	Date baseDate,
48	Frequency frequency,
49	const DayCounter& dayCounter = DayCounter(),
50	ext::shared_ptr<Seasonality> seasonality = {},
51	Rate baseRate = Null<Rate>());
52
53	InflationTermStructure(Natural settlementDays,
54	const Calendar& calendar,
55	Date baseDate,
56	Frequency frequency,
57	const DayCounter& dayCounter = DayCounter(),
58	ext::shared_ptr<Seasonality> seasonality = {},
59	Rate baseRate = Null<Rate>());
60	//@}
61
62	QL_DEPRECATED_DISABLE_WARNING
63	~InflationTermStructure() override = default;	26✔
64	QL_DEPRECATED_ENABLE_WARNING
65
66	//! \name Inflation interface
67	//@{
68	/*! \deprecated Do not use; inflation curves always have an explicit
69	base date now.
70	Deprecated in version 1.39.
71	*/
72	[[deprecated("Do not use; inflation curves always have an explicit base date now.")]]
73	virtual Period observationLag() const;
74
75	virtual Frequency frequency() const;
76	virtual Rate baseRate() const;
77
78	//! minimum (base) date
79	/*! The last date for which we have information.
80
81	When not set directly (the recommended option), it is
82	calculated base on an observation lag relative to today.
83	*/
84	virtual Date baseDate() const;
85
86	/*! \deprecated Do not use; inflation curves always have an explicit
87	base date now.
88	Deprecated in version 1.39.
89	*/
90	[[deprecated("Do not use; inflation curves always have an explicit base date now.")]]
91	bool hasExplicitBaseDate() const {
92	return true;
93	}
94	//@}
95
96	//! \name Seasonality
97	//@{
98	void setSeasonality(const ext::shared_ptr<Seasonality>& seasonality);
99	ext::shared_ptr<Seasonality> seasonality() const;
100	bool hasSeasonality() const;
101	//@}
102
103	protected:
104	void checkRange(const Date&,
105	bool extrapolate) const;
106	void checkRange(Time t,
107	bool extrapolate) const;
108
109	ext::shared_ptr<Seasonality> seasonality_;
110
111	/*! \deprecated Do not use; inflation curves always have an explicit
112	base date now.
113	Deprecated in version 1.39.
114	*/
115	[[deprecated("Do not use; inflation curves always have an explicit base date now.")]]
116	Period observationLag_;
117
118	Frequency frequency_;
119	mutable Rate baseRate_;
120
121	private:
122	Date baseDate_;
123	};
124
125	//! Interface for zero inflation term structures.
126	class ZeroInflationTermStructure : public InflationTermStructure {
127	public:
128	//! \name Constructors
129	//@{
130	ZeroInflationTermStructure(Date baseDate,
131	Frequency frequency,
132	const DayCounter& dayCounter,
133	const ext::shared_ptr<Seasonality>& seasonality = {});
134
135	ZeroInflationTermStructure(const Date& referenceDate,
136	Date baseDate,
137	Frequency frequency,
138	const DayCounter& dayCounter,
139	const ext::shared_ptr<Seasonality>& seasonality = {});
140
141	ZeroInflationTermStructure(Natural settlementDays,
142	const Calendar& calendar,
143	Date baseDate,
144	Frequency frequency,
145	const DayCounter& dayCounter,
146	const ext::shared_ptr<Seasonality>& seasonality = {});
147	//@}
148
149	//! \name Inspectors
150	//@{
151	//! zero-coupon inflation rate.
152	/*! Essentially the fair rate for a zero-coupon inflation swap
153	(by definition), i.e. the zero term structure uses yearly
154	compounding, which is assumed for ZCIIS instrument quotes.
155
156	\note by default you get the same as lag and interpolation
157	as the term structure.
158	If you want to get predictions of RPI/CPI/etc then use an
159	index.
160	*/
161	Rate zeroRate(const Date& d, const Period& instObsLag = Period(-1,Days),
162	bool forceLinearInterpolation = false,
163	bool extrapolate = false) const;
164	//! zero-coupon inflation rate.
165	/*! \warning Since inflation is highly linked to dates (lags,
166	interpolation, months for seasonality, etc) this
167	method cannot account for all effects. If you
168	call it, You'll have to manage lag, seasonality
169	etc. yourself.
170	*/
171	Rate zeroRate(Time t,
172	bool extrapolate = false) const;
173	//@}
174	protected:
175	//! to be defined in derived classes
176	virtual Rate zeroRateImpl(Time t) const = 0;
177	};
178
179
180	//! Base class for year-on-year inflation term structures.
181	class YoYInflationTermStructure : public InflationTermStructure {
182	public:
183	//! \name Constructors
184	//@{
185	YoYInflationTermStructure(Date baseDate,
186	Rate baseYoYRate,
187	Frequency frequency,
188	const DayCounter& dayCounter,
189	const ext::shared_ptr<Seasonality>& seasonality = {});
190
191	YoYInflationTermStructure(const Date& referenceDate,
192	Date baseDate,
193	Rate baseYoYRate,
194	Frequency frequency,
195	const DayCounter& dayCounter,
196	const ext::shared_ptr<Seasonality>& seasonality = {});
197
198	YoYInflationTermStructure(Natural settlementDays,
199	const Calendar& calendar,
200	Date baseDate,
201	Rate baseYoYRate,
202	Frequency frequency,
203	const DayCounter& dayCounter,
204	const ext::shared_ptr<Seasonality>& seasonality = {});
205
206	/*! \deprecated Use an overload with an explicit base date and without indexIsInterpolated.
207	Deprecated in version 1.37.
208	*/
209	[[deprecated("Use an overload with an explicit base date and without indexIsInterpolated")]]
210	YoYInflationTermStructure(Date baseDate,
211	Rate baseYoYRate,
212	Frequency frequency,
213	bool indexIsInterpolated,
214	const DayCounter& dayCounter,
215	const ext::shared_ptr<Seasonality>& seasonality = {});
216
217	/*! \deprecated Use an overload with an explicit base date and without indexIsInterpolated.
218	Deprecated in version 1.37.
219	*/
220	[[deprecated("Use an overload with an explicit base date and without indexIsInterpolated")]]
221	YoYInflationTermStructure(const Date& referenceDate,
222	Date baseDate,
223	Rate baseYoYRate,
224	Frequency frequency,
225	bool indexIsInterpolated,
226	const DayCounter& dayCounter,
227	const ext::shared_ptr<Seasonality>& seasonality = {});
228
229	/*! \deprecated Use an overload with an explicit base date and without indexIsInterpolated.
230	Deprecated in version 1.37.
231	*/
232	[[deprecated("Use an overload with an explicit base date and without indexIsInterpolated")]]
233	YoYInflationTermStructure(Natural settlementDays,
234	const Calendar& calendar,
235	Date baseDate,
236	Rate baseYoYRate,
237	Frequency frequency,
238	bool indexIsInterpolated,
239	const DayCounter& dayCounter,
240	const ext::shared_ptr<Seasonality>& seasonality = {});
241	//@}
242
243	QL_DEPRECATED_DISABLE_WARNING
244	~YoYInflationTermStructure() override = default;	11✔
245	QL_DEPRECATED_ENABLE_WARNING
246
247	//! \name Inspectors
248	//@{
249	//! year-on-year inflation rate.
250	/*! The forceLinearInterpolation parameter is relative to the
251	frequency of the TS.
252
253	\note this is not the year-on-year swap (YYIIS) rate.
254	*/
255	Rate yoyRate(const Date& d, const Period& instObsLag = Period(-1,Days),
256	bool forceLinearInterpolation = false,
257	bool extrapolate = false) const;
258	//! year-on-year inflation rate.
259	/*! \warning Since inflation is highly linked to dates (lags,
260	interpolation, months for seasonality, etc) this
261	method cannot account for all effects. If you
262	call it, You'll have to manage lag, seasonality
263	etc. yourself.
264	*/
265	Rate yoyRate(Time t,
266	bool extrapolate = false) const;
267	//@}
268
269	/*! \deprecated This method will disappear. When it does, the curve will behave as if it returned false.
270	Deprecated in version 1.37.
271	*/
272	[[deprecated("This method will disappear. When it does, the curve will behave as if it returned false")]]
273	virtual bool indexIsInterpolated() const;
274	protected:
275	//! to be defined in derived classes
276	virtual Rate yoyRateImpl(Time time) const = 0;
277
278	/*! \deprecated This data member will disappear. When it does, the curve will behave as if it was false.
279	Deprecated in version 1.37.
280	*/
281	[[deprecated("This data member will disappear. When it does, the curve will behave as if it was false")]]
282	bool indexIsInterpolated_ = false;
283	};
284
285
286	//! utility function giving the inflation period for a given date
287	std::pair<Date,Date> inflationPeriod(const Date&,
288	Frequency);
289
290	//! utility function giving the time between two dates depending on
291	//! index frequency and interpolation, and a day counter
292	Time inflationYearFraction(Frequency ,
293	bool indexIsInterpolated,
294	const DayCounter&,
295	const Date&, const Date&);
296
297
298	// inline
299
UNCOV 300	inline Period InflationTermStructure::observationLag() const {	×
301	QL_DEPRECATED_DISABLE_WARNING
UNCOV 302	return observationLag_;	×
303	QL_DEPRECATED_ENABLE_WARNING
304	}
305
306	inline Frequency InflationTermStructure::frequency() const {	237,589✔
307	return frequency_;	237,589✔
308	}
309
310	inline Rate InflationTermStructure::baseRate() const {	9✔
311	QL_REQUIRE(baseRate_ != Null<Real>(), "base rate not available");	9✔
312	return baseRate_;	9✔
313	}
314
315	inline ext::shared_ptr<Seasonality> InflationTermStructure::seasonality() const {
316	return seasonality_;
317	}
318
319	inline bool InflationTermStructure::hasSeasonality() const {
320	return static_cast<bool>(seasonality_);
321	}
322
323	inline bool YoYInflationTermStructure::indexIsInterpolated() const {	234,533✔
324	QL_DEPRECATED_DISABLE_WARNING
325	return indexIsInterpolated_;	234,533✔
326	QL_DEPRECATED_ENABLE_WARNING
327	}
328
329	}
330
331	#endif

lballabio / QuantLib / 14910176578

Source File Press 'n' to go to next uncovered line, 'b' for previous

Source File
Press 'n' to go to next uncovered line, 'b' for previous