16769468566

Committed 06 Aug 2025 06:37AM UTC coverage: 73.865% (-0.002%) from 73.867%

Build # 16769468566

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Commit Message

Deprecate `growthOnly` parameter in CPI bond and helper (#2287)

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3 existing lines in 1 file now uncovered.

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43.4

/ql/termstructures/yield/bondhelpers.cpp

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

/*
 Copyright (C) 2008, 2009 Ferdinando Ametrano
 Copyright (C) 2005 Toyin Akin
 Copyright (C) 2007 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
 <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/yield/bondhelpers.hpp>
#include <ql/pricingengines/bond/discountingbondengine.hpp>
#include <ql/time/schedule.hpp>
#include <ql/settings.hpp>
#include <ql/utilities/null_deleter.hpp>

namespace QuantLib {

    BondHelper::BondHelper(const Handle<Quote>& price,
                           const ext::shared_ptr<Bond>& bond,
                           const Bond::Price::Type priceType)
    : RateHelper(price), bond_(ext::make_shared<Bond>(*bond)), priceType_(priceType) {

        // the bond's last cashflow date, which can be later than
        // bond's maturity date because of adjustment
        latestDate_ = bond_->cashflows().back()->date();
        earliestDate_ = bond_->nextCashFlowDate();

        bond_->setPricingEngine(
             ext::make_shared<DiscountingBondEngine>(termStructureHandle_));
    }

    void BondHelper::setTermStructure(YieldTermStructure* t) {
        // do not set the relinkable handle as an observer -
        // force recalculation when needed
        termStructureHandle_.linkTo(
            ext::shared_ptr<YieldTermStructure>(t, null_deleter()), false);

        BootstrapHelper<YieldTermStructure>::setTermStructure(t);
    }

    Real BondHelper::impliedQuote() const {
        QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
        // we didn't register as observers - force calculation
        bond_->recalculate();

        switch (priceType_) {
            case Bond::Price::Clean:
                return bond_->cleanPrice();
                break;

            case Bond::Price::Dirty:
                return bond_->dirtyPrice();
                break;

            default:
                QL_FAIL("This price type isn't implemented.");
        }
    }

    void BondHelper::accept(AcyclicVisitor& v) {
        auto* v1 = dynamic_cast<Visitor<BondHelper>*>(&v);
        if (v1 != nullptr)
            v1->visit(*this);
        else
            BootstrapHelper<YieldTermStructure>::accept(v);
    }


    FixedRateBondHelper::FixedRateBondHelper(
                                    const Handle<Quote>& price,
                                    Natural settlementDays,
                                    Real faceAmount,
                                    Schedule schedule,
                                    const std::vector<Rate>& coupons,
                                    const DayCounter& dayCounter,
                                    BusinessDayConvention paymentConvention,
                                    Real redemption,
                                    const Date& issueDate,
                                    const Calendar& paymentCalendar,
                                    const Period& exCouponPeriod,
                                    const Calendar& exCouponCalendar,
                                    const BusinessDayConvention exCouponConvention,
                                    bool exCouponEndOfMonth,
                                    const Bond::Price::Type priceType)
    : BondHelper(price,
                 ext::make_shared<FixedRateBond>(settlementDays, faceAmount, std::move(schedule),
                                                 coupons, dayCounter, paymentConvention,
                                                 redemption, issueDate, paymentCalendar,
                                                 exCouponPeriod, exCouponCalendar,
                                                 exCouponConvention, exCouponEndOfMonth),
                 priceType) {}

    void FixedRateBondHelper::accept(AcyclicVisitor& v) {
        auto* v1 = dynamic_cast<Visitor<FixedRateBondHelper>*>(&v);
        if (v1 != nullptr)
            v1->visit(*this);
        else
            BondHelper::accept(v);
    }


    QL_DEPRECATED_DISABLE_WARNING

    CPIBondHelper::CPIBondHelper(
                            const Handle<Quote>& price,
                            Natural settlementDays,
                            Real faceAmount,
                            Real baseCPI,
                            const Period& observationLag,
                            const ext::shared_ptr<ZeroInflationIndex>& cpiIndex,
                            CPI::InterpolationType observationInterpolation,
                            Schedule schedule,
                            const std::vector<Rate>& fixedRate,
                            const DayCounter& accrualDayCounter,
                            BusinessDayConvention paymentConvention,
                            const Date& issueDate,
                            const Calendar& paymentCalendar,
                            const Period& exCouponPeriod,
                            const Calendar& exCouponCalendar,
                            const BusinessDayConvention exCouponConvention,
                            bool exCouponEndOfMonth,
                            const Bond::Price::Type priceType)
    : CPIBondHelper(price, settlementDays, faceAmount, false, baseCPI, observationLag,
                    cpiIndex, observationInterpolation, std::move(schedule), fixedRate,
                    accrualDayCounter, paymentConvention, issueDate, paymentCalendar,
                    exCouponPeriod, exCouponCalendar, exCouponConvention, exCouponEndOfMonth,
                    priceType) {}

    CPIBondHelper::CPIBondHelper(
                            const Handle<Quote>& price,
                            Natural settlementDays,
                            Real faceAmount,
                            const bool growthOnly,
                            Real baseCPI,
                            const Period& observationLag,
                            const ext::shared_ptr<ZeroInflationIndex>& cpiIndex,
                            CPI::InterpolationType observationInterpolation,
                            Schedule schedule,
                            const std::vector<Rate>& fixedRate,
                            const DayCounter& accrualDayCounter,
                            BusinessDayConvention paymentConvention,
                            const Date& issueDate,
                            const Calendar& paymentCalendar,
                            const Period& exCouponPeriod,
                            const Calendar& exCouponCalendar,
                            const BusinessDayConvention exCouponConvention,
                            bool exCouponEndOfMonth,
                            const Bond::Price::Type priceType)
    : BondHelper(price,
                 // make_shared and deprecation interfere; restore later
                 ext::shared_ptr<Bond>(new CPIBond(settlementDays, faceAmount, growthOnly, baseCPI,
                                           observationLag, cpiIndex, observationInterpolation,
                                           std::move(schedule), fixedRate, accrualDayCounter, paymentConvention,
                                           issueDate, paymentCalendar, exCouponPeriod, exCouponCalendar,
                                           exCouponConvention, exCouponEndOfMonth)),
                 priceType) {}

    QL_DEPRECATED_ENABLE_WARNING

    void CPIBondHelper::accept(AcyclicVisitor& v) {
        auto* v1 = dynamic_cast<Visitor<CPIBondHelper>*>(&v);
        if (v1 != nullptr)
            v1->visit(*this);
        else
            BondHelper::accept(v);
    }

}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2008, 2009 Ferdinando Ametrano
5	Copyright (C) 2005 Toyin Akin
6	Copyright (C) 2007 StatPro Italia srl
7
8	This file is part of QuantLib, a free-software/open-source library
9	for financial quantitative analysts and developers - http://quantlib.org/
10
11	QuantLib is free software: you can redistribute it and/or modify it
12	under the terms of the QuantLib license. You should have received a
13	copy of the license along with this program; if not, please email
14	<quantlib-dev@lists.sf.net>. The license is also available online at
15	<http://quantlib.org/license.shtml>.
16
17	This program is distributed in the hope that it will be useful, but WITHOUT
18	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19	FOR A PARTICULAR PURPOSE. See the license for more details.
20	*/
21
22	#include <ql/termstructures/yield/bondhelpers.hpp>
23	#include <ql/pricingengines/bond/discountingbondengine.hpp>
24	#include <ql/time/schedule.hpp>
25	#include <ql/settings.hpp>
26	#include <ql/utilities/null_deleter.hpp>
27
28	namespace QuantLib {
29
30	BondHelper::BondHelper(const Handle<Quote>& price,	144✔
31	const ext::shared_ptr<Bond>& bond,
32	const Bond::Price::Type priceType)	144✔
33	: RateHelper(price), bond_(ext::make_shared<Bond>(*bond)), priceType_(priceType) {	288✔
34
35	// the bond's last cashflow date, which can be later than
36	// bond's maturity date because of adjustment
37	latestDate_ = bond_->cashflows().back()->date();	144✔
38	earliestDate_ = bond_->nextCashFlowDate();	144✔
39
40	bond_->setPricingEngine(	432✔
41	ext::make_shared<DiscountingBondEngine>(termStructureHandle_));	144✔
42	}	144✔
43
44	void BondHelper::setTermStructure(YieldTermStructure* t) {	963✔
45	// do not set the relinkable handle as an observer -
46	// force recalculation when needed
47	termStructureHandle_.linkTo(	963✔
48	ext::shared_ptr<YieldTermStructure>(t, null_deleter()), false);	963✔
49
50	BootstrapHelper<YieldTermStructure>::setTermStructure(t);	963✔
51	}	963✔
52
53	Real BondHelper::impliedQuote() const {	746,351✔
54	QL_REQUIRE(termStructure_ != nullptr, "term structure not set");	746,351✔
55	// we didn't register as observers - force calculation
56	bond_->recalculate();	746,351✔
57
58	switch (priceType_) {	746,351✔
59	case Bond::Price::Clean:	746,351✔
60	return bond_->cleanPrice();	746,351✔
61	break;
62
63	case Bond::Price::Dirty:	×
64	return bond_->dirtyPrice();	×
65	break;
66
67	default:	×
68	QL_FAIL("This price type isn't implemented.");	×
69	}
70	}
71
72	void BondHelper::accept(AcyclicVisitor& v) {	×
73	auto* v1 = dynamic_cast<Visitor<BondHelper>*>(&v);	×
74	if (v1 != nullptr)	×
75	v1->visit(*this);	×
76	else
77	BootstrapHelper<YieldTermStructure>::accept(v);	×
78	}	×
79
80
81	FixedRateBondHelper::FixedRateBondHelper(	130✔
82	const Handle<Quote>& price,
83	Natural settlementDays,
84	Real faceAmount,
85	Schedule schedule,
86	const std::vector<Rate>& coupons,
87	const DayCounter& dayCounter,
88	BusinessDayConvention paymentConvention,
89	Real redemption,
90	const Date& issueDate,
91	const Calendar& paymentCalendar,
92	const Period& exCouponPeriod,
93	const Calendar& exCouponCalendar,
94	const BusinessDayConvention exCouponConvention,
95	bool exCouponEndOfMonth,
96	const Bond::Price::Type priceType)	130✔
97	: BondHelper(price,
98	ext::make_shared<FixedRateBond>(settlementDays, faceAmount, std::move(schedule),	260✔
99	coupons, dayCounter, paymentConvention,
100	redemption, issueDate, paymentCalendar,
101	exCouponPeriod, exCouponCalendar,
102	exCouponConvention, exCouponEndOfMonth),
103	priceType) {}	260✔
104
UNCOV 105	void FixedRateBondHelper::accept(AcyclicVisitor& v) {	×
UNCOV 106	auto* v1 = dynamic_cast<Visitor<FixedRateBondHelper>*>(&v);	×
107	if (v1 != nullptr)	×
108	v1->visit(*this);	×
109	else
110	BondHelper::accept(v);	×
111	}	×
112
113
114	QL_DEPRECATED_DISABLE_WARNING
115
NEW 116	CPIBondHelper::CPIBondHelper(	×
117	const Handle<Quote>& price,
118	Natural settlementDays,
119	Real faceAmount,
120	Real baseCPI,
121	const Period& observationLag,
122	const ext::shared_ptr<ZeroInflationIndex>& cpiIndex,
123	CPI::InterpolationType observationInterpolation,
124	Schedule schedule,
125	const std::vector<Rate>& fixedRate,
126	const DayCounter& accrualDayCounter,
127	BusinessDayConvention paymentConvention,
128	const Date& issueDate,
129	const Calendar& paymentCalendar,
130	const Period& exCouponPeriod,
131	const Calendar& exCouponCalendar,
132	const BusinessDayConvention exCouponConvention,
133	bool exCouponEndOfMonth,
NEW 134	const Bond::Price::Type priceType)	×
135	: CPIBondHelper(price, settlementDays, faceAmount, false, baseCPI, observationLag,
136	cpiIndex, observationInterpolation, std::move(schedule), fixedRate,
137	accrualDayCounter, paymentConvention, issueDate, paymentCalendar,
138	exCouponPeriod, exCouponCalendar, exCouponConvention, exCouponEndOfMonth,
NEW 139	priceType) {}	×
140
UNCOV 141	CPIBondHelper::CPIBondHelper(	×
142	const Handle<Quote>& price,
143	Natural settlementDays,
144	Real faceAmount,
145	const bool growthOnly,
146	Real baseCPI,
147	const Period& observationLag,
148	const ext::shared_ptr<ZeroInflationIndex>& cpiIndex,
149	CPI::InterpolationType observationInterpolation,
150	Schedule schedule,
151	const std::vector<Rate>& fixedRate,
152	const DayCounter& accrualDayCounter,
153	BusinessDayConvention paymentConvention,
154	const Date& issueDate,
155	const Calendar& paymentCalendar,
156	const Period& exCouponPeriod,
157	const Calendar& exCouponCalendar,
158	const BusinessDayConvention exCouponConvention,
159	bool exCouponEndOfMonth,
160	const Bond::Price::Type priceType)	×
161	: BondHelper(price,
162	// make_shared and deprecation interfere; restore later
NEW 163	ext::shared_ptr<Bond>(new CPIBond(settlementDays, faceAmount, growthOnly, baseCPI,	×
164	observationLag, cpiIndex, observationInterpolation,
165	std::move(schedule), fixedRate, accrualDayCounter, paymentConvention,
166	issueDate, paymentCalendar, exCouponPeriod, exCouponCalendar,
NEW 167	exCouponConvention, exCouponEndOfMonth)),	×
168	priceType) {}	×
169
170	QL_DEPRECATED_ENABLE_WARNING
171
172	void CPIBondHelper::accept(AcyclicVisitor& v) {	×
173	auto* v1 = dynamic_cast<Visitor<CPIBondHelper>*>(&v);	×
174	if (v1 != nullptr)	×
175	v1->visit(*this);	×
176	else
177	BondHelper::accept(v);	×
178	}	×
179
180	}

lballabio / QuantLib / 16769468566

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