lballabio/QuantLib | Build 16835272840 | ql/termstructures/inflationtermstructure.hpp | Coveralls

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

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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

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 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.

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*/

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24

#ifndef quantlib_inflation_termstructure_hpp

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#define quantlib_inflation_termstructure_hpp

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27

#include <ql/termstructures/yieldtermstructure.hpp>

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

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30

namespace QuantLib {

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32

    class InflationIndex;

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    //! Interface for inflation term structures.

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    /*! \ingroup inflationtermstructures */

36

    class InflationTermStructure : public TermStructure {

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      public:

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        //! \name Constructors

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        //@{

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        InflationTermStructure(Date baseDate,

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                               Frequency frequency,

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                               const DayCounter& dayCounter = DayCounter(),

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

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                               Rate baseRate = Null<Rate>());

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        InflationTermStructure(const Date& referenceDate,

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                               Date baseDate,

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                               Frequency frequency,

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                               const DayCounter& dayCounter = DayCounter(),

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

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                               Rate baseRate = Null<Rate>());

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        InflationTermStructure(Natural settlementDays,

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                               const Calendar& calendar,

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                               Date baseDate,

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                               Frequency frequency,

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                               const DayCounter& dayCounter = DayCounter(),

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

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                               Rate baseRate = Null<Rate>());

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        //@}

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        QL_DEPRECATED_DISABLE_WARNING

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        QL_DEPRECATED_ENABLE_WARNING

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        //! \name Inflation interface

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        //@{

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

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                        base date now.

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                        Deprecated in version 1.39.

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*/

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

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        virtual Period observationLag() const;

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        virtual Frequency frequency() const;

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        virtual Rate baseRate() const;

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        //! minimum (base) date

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

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        virtual Date baseDate() const;

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

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                        base date now.

84

                        Deprecated in version 1.39.

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*/

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

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        bool hasExplicitBaseDate() const {

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            return true;

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        //@}

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        //! \name Seasonality

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        //@{

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

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

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        bool hasSeasonality() const;

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        //@}

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      protected:

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        void checkRange(const Date&,

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                        bool extrapolate) const;

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        void checkRange(Time t,

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                        bool extrapolate) const;

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        ext::shared_ptr<Seasonality> seasonality_;

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

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                        base date now.

109

                        Deprecated in version 1.39.

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*/

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

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        Period observationLag_;

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        Frequency frequency_;

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        mutable Rate baseRate_;

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        // Can be set by subclasses that don't have baseDate available in constructors.

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        Date baseDate_;

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};

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    //! Interface for zero inflation term structures.

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    class ZeroInflationTermStructure : public InflationTermStructure {

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      public:

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        //! \name Constructors

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        //@{

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        ZeroInflationTermStructure(Date baseDate,

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                                   Frequency frequency,

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                                   const DayCounter& dayCounter,

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

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        ZeroInflationTermStructure(const Date& referenceDate,

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                                   Date baseDate,

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                                   Frequency frequency,

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                                   const DayCounter& dayCounter,

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

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        ZeroInflationTermStructure(Natural settlementDays,

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                                   const Calendar& calendar,

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                                   Date baseDate,

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                                   Frequency frequency,

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                                   const DayCounter& dayCounter,

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

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        //@}

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        //! \name Inspectors

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        //@{

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        //! zero-coupon inflation rate.

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

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

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            compounding, which is assumed for ZCIIS instrument quotes.

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

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            as the term structure.

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

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            index.

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*/

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

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                      bool forceLinearInterpolation = false,

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                      bool extrapolate = false) const;

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        //! zero-coupon inflation rate.

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

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                     interpolation, months for seasonality, etc) this

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                     method cannot account for all effects.  If you

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

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                     etc. yourself.

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*/

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        Rate zeroRate(Time t,

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                      bool extrapolate = false) const;

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        //@}

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      protected:

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        //! to be defined in derived classes

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        virtual Rate zeroRateImpl(Time t) const = 0;

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};

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

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    class YoYInflationTermStructure : public InflationTermStructure {

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      public:

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        //! \name Constructors

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        //@{

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        YoYInflationTermStructure(Date baseDate,

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                                  Rate baseYoYRate,

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                                  Frequency frequency,

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                                  const DayCounter& dayCounter,

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

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        YoYInflationTermStructure(const Date& referenceDate,

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                                  Date baseDate,

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                                  Rate baseYoYRate,

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                                  Frequency frequency,

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                                  const DayCounter& dayCounter,

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

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        YoYInflationTermStructure(Natural settlementDays,

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                                  const Calendar& calendar,

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                                  Date baseDate,

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                                  Rate baseYoYRate,

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                                  Frequency frequency,

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                                  const DayCounter& dayCounter,

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

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

202

                        Deprecated in version 1.37.

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*/

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

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        YoYInflationTermStructure(Date baseDate,

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                                  Rate baseYoYRate,

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                                  Frequency frequency,

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                                  bool indexIsInterpolated,

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                                  const DayCounter& dayCounter,

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

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

213

                        Deprecated in version 1.37.

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*/

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

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        YoYInflationTermStructure(const Date& referenceDate,

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                                  Date baseDate,

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                                  Rate baseYoYRate,

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                                  Frequency frequency,

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                                  bool indexIsInterpolated,

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                                  const DayCounter& dayCounter,

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

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

225

                        Deprecated in version 1.37.

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*/

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

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        YoYInflationTermStructure(Natural settlementDays,

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                                  const Calendar& calendar,

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                                  Date baseDate,

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                                  Rate baseYoYRate,

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                                  Frequency frequency,

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                                  bool indexIsInterpolated,

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                                  const DayCounter& dayCounter,

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

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        //@}

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        QL_DEPRECATED_DISABLE_WARNING

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        QL_DEPRECATED_ENABLE_WARNING

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        //! \name Inspectors

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        //@{

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        //! year-on-year inflation rate.

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        /*! The forceLinearInterpolation parameter is relative to the

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            frequency of the TS.

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248

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

249

*/

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

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                     bool forceLinearInterpolation = false,

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                     bool extrapolate = false) const;

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        //! year-on-year inflation rate.

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

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                     interpolation, months for seasonality, etc) this

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                     method cannot account for all effects.  If you

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

258

                     etc. yourself.

259

*/

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        Rate yoyRate(Time t,

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                     bool extrapolate = false) const;

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        //@}

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

265

                        Deprecated in version 1.37.

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*/

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

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        virtual bool indexIsInterpolated() const;

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      protected:

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        //! to be defined in derived classes

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        virtual Rate yoyRateImpl(Time time) const = 0;

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

274

                        Deprecated in version 1.37.

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*/

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

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        bool indexIsInterpolated_ = false;

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};

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

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

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                                         Frequency);

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

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

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    Time inflationYearFraction(Frequency ,

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                               bool indexIsInterpolated,

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                               const DayCounter&,

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                               const Date&, const Date&);

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    // inline

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        QL_DEPRECATED_DISABLE_WARNING

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        QL_DEPRECATED_ENABLE_WARNING

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

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        return seasonality_;

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    inline bool InflationTermStructure::hasSeasonality() const {

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        return static_cast<bool>(seasonality_);

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        QL_DEPRECATED_DISABLE_WARNING

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        QL_DEPRECATED_ENABLE_WARNING

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#endif

lballabio / QuantLib / 16835272840

Source File
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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;	30✔
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	virtual Date baseDate() const;
81
82	/*! \deprecated Do not use; inflation curves always have an explicit
83	base date now.
84	Deprecated in version 1.39.
85	*/
86	[[deprecated("Do not use; inflation curves always have an explicit base date now.")]]
87	bool hasExplicitBaseDate() const {
88	return true;
89	}
90	//@}
91
92	//! \name Seasonality
93	//@{
94	void setSeasonality(const ext::shared_ptr<Seasonality>& seasonality);
95	ext::shared_ptr<Seasonality> seasonality() const;
96	bool hasSeasonality() const;
97	//@}
98
99	protected:
100	void checkRange(const Date&,
101	bool extrapolate) const;
102	void checkRange(Time t,
103	bool extrapolate) const;
104
105	ext::shared_ptr<Seasonality> seasonality_;
106
107	/*! \deprecated Do not use; inflation curves always have an explicit
108	base date now.
109	Deprecated in version 1.39.
110	*/
111	[[deprecated("Do not use; inflation curves always have an explicit base date now.")]]
112	Period observationLag_;
113
114	Frequency frequency_;
115	mutable Rate baseRate_;
116	// Can be set by subclasses that don't have baseDate available in constructors.
117	Date baseDate_;
118	};
119
120	//! Interface for zero inflation term structures.
121	class ZeroInflationTermStructure : public InflationTermStructure {
122	public:
123	//! \name Constructors
124	//@{
125	ZeroInflationTermStructure(Date baseDate,
126	Frequency frequency,
127	const DayCounter& dayCounter,
128	const ext::shared_ptr<Seasonality>& seasonality = {});
129
130	ZeroInflationTermStructure(const Date& referenceDate,
131	Date baseDate,
132	Frequency frequency,
133	const DayCounter& dayCounter,
134	const ext::shared_ptr<Seasonality>& seasonality = {});
135
136	ZeroInflationTermStructure(Natural settlementDays,
137	const Calendar& calendar,
138	Date baseDate,
139	Frequency frequency,
140	const DayCounter& dayCounter,
141	const ext::shared_ptr<Seasonality>& seasonality = {});
142	//@}
143
144	//! \name Inspectors
145	//@{
146	//! zero-coupon inflation rate.
147	/*! Essentially the fair rate for a zero-coupon inflation swap
148	(by definition), i.e. the zero term structure uses yearly
149	compounding, which is assumed for ZCIIS instrument quotes.
150
151	\note by default you get the same as lag and interpolation
152	as the term structure.
153	If you want to get predictions of RPI/CPI/etc then use an
154	index.
155	*/
156	Rate zeroRate(const Date& d, const Period& instObsLag = Period(-1,Days),
157	bool forceLinearInterpolation = false,
158	bool extrapolate = false) const;
159	//! zero-coupon inflation rate.
160	/*! \warning Since inflation is highly linked to dates (lags,
161	interpolation, months for seasonality, etc) this
162	method cannot account for all effects. If you
163	call it, You'll have to manage lag, seasonality
164	etc. yourself.
165	*/
166	Rate zeroRate(Time t,
167	bool extrapolate = false) const;
168	//@}
169	protected:
170	//! to be defined in derived classes
171	virtual Rate zeroRateImpl(Time t) const = 0;
172	};
173
174
175	//! Base class for year-on-year inflation term structures.
176	class YoYInflationTermStructure : public InflationTermStructure {
177	public:
178	//! \name Constructors
179	//@{
180	YoYInflationTermStructure(Date baseDate,
181	Rate baseYoYRate,
182	Frequency frequency,
183	const DayCounter& dayCounter,
184	const ext::shared_ptr<Seasonality>& seasonality = {});
185
186	YoYInflationTermStructure(const Date& referenceDate,
187	Date baseDate,
188	Rate baseYoYRate,
189	Frequency frequency,
190	const DayCounter& dayCounter,
191	const ext::shared_ptr<Seasonality>& seasonality = {});
192
193	YoYInflationTermStructure(Natural settlementDays,
194	const Calendar& calendar,
195	Date baseDate,
196	Rate baseYoYRate,
197	Frequency frequency,
198	const DayCounter& dayCounter,
199	const ext::shared_ptr<Seasonality>& seasonality = {});
200
201	/*! \deprecated Use an overload with an explicit base date and without indexIsInterpolated.
202	Deprecated in version 1.37.
203	*/
204	[[deprecated("Use an overload with an explicit base date and without indexIsInterpolated")]]
205	YoYInflationTermStructure(Date baseDate,
206	Rate baseYoYRate,
207	Frequency frequency,
208	bool indexIsInterpolated,
209	const DayCounter& dayCounter,
210	const ext::shared_ptr<Seasonality>& seasonality = {});
211
212	/*! \deprecated Use an overload with an explicit base date and without indexIsInterpolated.
213	Deprecated in version 1.37.
214	*/
215	[[deprecated("Use an overload with an explicit base date and without indexIsInterpolated")]]
216	YoYInflationTermStructure(const Date& referenceDate,
217	Date baseDate,
218	Rate baseYoYRate,
219	Frequency frequency,
220	bool indexIsInterpolated,
221	const DayCounter& dayCounter,
222	const ext::shared_ptr<Seasonality>& seasonality = {});
223
224	/*! \deprecated Use an overload with an explicit base date and without indexIsInterpolated.
225	Deprecated in version 1.37.
226	*/
227	[[deprecated("Use an overload with an explicit base date and without indexIsInterpolated")]]
228	YoYInflationTermStructure(Natural settlementDays,
229	const Calendar& calendar,
230	Date baseDate,
231	Rate baseYoYRate,
232	Frequency frequency,
233	bool indexIsInterpolated,
234	const DayCounter& dayCounter,
235	const ext::shared_ptr<Seasonality>& seasonality = {});
236	//@}
237
238	QL_DEPRECATED_DISABLE_WARNING
239	~YoYInflationTermStructure() override = default;	11✔
240	QL_DEPRECATED_ENABLE_WARNING
241
242	//! \name Inspectors
243	//@{
244	//! year-on-year inflation rate.
245	/*! The forceLinearInterpolation parameter is relative to the
246	frequency of the TS.
247
248	\note this is not the year-on-year swap (YYIIS) rate.
249	*/
250	Rate yoyRate(const Date& d, const Period& instObsLag = Period(-1,Days),
251	bool forceLinearInterpolation = false,
252	bool extrapolate = false) const;
253	//! year-on-year inflation rate.
254	/*! \warning Since inflation is highly linked to dates (lags,
255	interpolation, months for seasonality, etc) this
256	method cannot account for all effects. If you
257	call it, You'll have to manage lag, seasonality
258	etc. yourself.
259	*/
260	Rate yoyRate(Time t,
261	bool extrapolate = false) const;
262	//@}
263
264	/*! \deprecated This method will disappear. When it does, the curve will behave as if it returned false.
265	Deprecated in version 1.37.
266	*/
267	[[deprecated("This method will disappear. When it does, the curve will behave as if it returned false")]]
268	virtual bool indexIsInterpolated() const;
269	protected:
270	//! to be defined in derived classes
271	virtual Rate yoyRateImpl(Time time) const = 0;
272
273	/*! \deprecated This data member will disappear. When it does, the curve will behave as if it was false.
274	Deprecated in version 1.37.
275	*/
276	[[deprecated("This data member will disappear. When it does, the curve will behave as if it was false")]]
277	bool indexIsInterpolated_ = false;
278	};
279
280
281	//! utility function giving the inflation period for a given date
282	std::pair<Date,Date> inflationPeriod(const Date&,
283	Frequency);
284
285	//! utility function giving the time between two dates depending on
286	//! index frequency and interpolation, and a day counter
287	Time inflationYearFraction(Frequency ,
288	bool indexIsInterpolated,
289	const DayCounter&,
290	const Date&, const Date&);
291
292
293	// inline
294
295	inline Period InflationTermStructure::observationLag() const {	×
296	QL_DEPRECATED_DISABLE_WARNING
297	return observationLag_;	×
298	QL_DEPRECATED_ENABLE_WARNING
299	}
300
301	inline Frequency InflationTermStructure::frequency() const {	240,204✔
302	return frequency_;	240,204✔
303	}
304
305	inline Rate InflationTermStructure::baseRate() const {	9✔
306	QL_REQUIRE(baseRate_ != Null<Real>(), "base rate not available");	9✔
307	return baseRate_;	9✔
308	}
309
310	inline ext::shared_ptr<Seasonality> InflationTermStructure::seasonality() const {
311	return seasonality_;
312	}
313
314	inline bool InflationTermStructure::hasSeasonality() const {
315	return static_cast<bool>(seasonality_);
316	}
317
318	inline bool YoYInflationTermStructure::indexIsInterpolated() const {	235,315✔
319	QL_DEPRECATED_DISABLE_WARNING
320	return indexIsInterpolated_;	235,315✔
321	QL_DEPRECATED_ENABLE_WARNING
322	}
323
324	}
325
326	#endif

lballabio / QuantLib / 16835272840

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