lballabio/QuantLib | Build 20336157418 | 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

 <https://www.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,

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                               Frequency frequency,

42

                               const DayCounter& dayCounter = DayCounter(),

43

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

44

                               Rate baseRate = Null<Rate>());

45

46

        InflationTermStructure(const Date& referenceDate,

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                               Date baseDate,

48

                               Frequency frequency,

49

                               const DayCounter& dayCounter = DayCounter(),

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

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                               Rate baseRate = Null<Rate>());

52

53

        InflationTermStructure(Natural settlementDays,

54

                               const Calendar& calendar,

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                               Date baseDate,

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                               Frequency frequency,

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                               const DayCounter& dayCounter = DayCounter(),

58

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

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                               Rate baseRate = Null<Rate>());

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        //@}

61

62

        QL_DEPRECATED_DISABLE_WARNING

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        QL_DEPRECATED_ENABLE_WARNING

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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;

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75

        virtual Frequency frequency() const;

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        virtual Rate baseRate() const;

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78

        //! minimum (base) date

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

80

        virtual Date baseDate() const;

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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;

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        //@}

98

99

      protected:

100

        void checkRange(const Date&,

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                        bool extrapolate) const;

102

        void checkRange(Time t,

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                        bool extrapolate) const;

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105

        ext::shared_ptr<Seasonality> seasonality_;

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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_;

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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_;

118

};

119

120

    //! Interface for zero inflation term structures.

121

    class ZeroInflationTermStructure : public InflationTermStructure {

122

      public:

123

        //! \name Constructors

124

        //@{

125

        ZeroInflationTermStructure(Date baseDate,

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                                   Frequency frequency,

127

                                   const DayCounter& dayCounter,

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

129

130

        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 = {});

135

136

        ZeroInflationTermStructure(Natural settlementDays,

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                                   const Calendar& calendar,

138

                                   Date baseDate,

139

                                   Frequency frequency,

140

                                   const DayCounter& dayCounter,

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

142

        //@}

143

144

        //! \name Inspectors

145

        //@{

146

        //! zero-coupon inflation rate.

147

        /*! The zero term structure uses yearly compounding, which is

148

            assumed for ZCIIS instrument quotes.

149

150

            If you want to get predictions of RPI/CPI/etc. use the

151

            corresponding index instead; if you need a ZCIIS rate,

152

            retrieve it from the instrument.

153

*/

154

        Rate zeroRate(const Date& d, bool extrapolate = false) const;

155

156

        /*! \deprecated Use the overload without a lag instead.

157

                        Deprecated in version 1.41.

158

*/

159

        [[deprecated("Use the overload without a lag instead")]]

160

        Rate zeroRate(const Date& d, const Period& instObsLag,

161

                      bool forceLinearInterpolation = false,

162

                      bool extrapolate = false) const;

163

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,

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                                  Date baseDate,

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                                  Rate baseYoYRate,

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                                  Frequency frequency,

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                                  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

        /*! This does not return the year-on-year swap (YYIIS) rate.

251

            If you need that rate, retrieve it from the corresponding

252

            instrument instead.

253

*/

254

        Rate yoyRate(const Date& d, bool extrapolate = false) const;

255

256

        /*! \deprecated Use the overload without a lag instead.

257

                        Deprecated in version 1.41.

258

*/

259

        [[deprecated("Use the overload without a lag instead")]]

260

        Rate yoyRate(const Date& d, const Period& instObsLag,

261

                     bool forceLinearInterpolation = false,

262

                     bool extrapolate = false) const;

263

264

        //! year-on-year inflation rate.

265

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

266

                     interpolation, months for seasonality, etc) this

267

                     method cannot account for all effects.  If you

268

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

269

                     etc. yourself.

270

*/

271

        Rate yoyRate(Time t,

272

                     bool extrapolate = false) const;

273

        //@}

274

275

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

276

                        Deprecated in version 1.37.

277

*/

278

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

279

        virtual bool indexIsInterpolated() const;

280

      protected:

281

        //! to be defined in derived classes

282

        virtual Rate yoyRateImpl(Time time) const = 0;

283

284

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

285

                        Deprecated in version 1.37.

286

*/

287

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

288

        bool indexIsInterpolated_ = false;

289

};

290

291

292

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

293

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

294

                                         Frequency);

295

296

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

297

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

298

    Time inflationYearFraction(Frequency ,

299

                               bool indexIsInterpolated,

300

                               const DayCounter&,

301

                               const Date&, const Date&);

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303

304

    // inline

305

307

        QL_DEPRECATED_DISABLE_WARNING

309

        QL_DEPRECATED_ENABLE_WARNING

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311

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320

321

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

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        return seasonality_;

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324

325

    inline bool InflationTermStructure::hasSeasonality() const {

326

        return static_cast<bool>(seasonality_);

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328

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        QL_DEPRECATED_DISABLE_WARNING

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        QL_DEPRECATED_ENABLE_WARNING

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337

#endif

lballabio / QuantLib / 20336157418

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	<https://www.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	/*! The zero term structure uses yearly compounding, which is
148	assumed for ZCIIS instrument quotes.
149
150	If you want to get predictions of RPI/CPI/etc. use the
151	corresponding index instead; if you need a ZCIIS rate,
152	retrieve it from the instrument.
153	*/
154	Rate zeroRate(const Date& d, bool extrapolate = false) const;
155
156	/*! \deprecated Use the overload without a lag instead.
157	Deprecated in version 1.41.
158	*/
159	[[deprecated("Use the overload without a lag instead")]]
160	Rate zeroRate(const Date& d, const Period& instObsLag,
161	bool forceLinearInterpolation = false,
162	bool extrapolate = false) const;
163
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	/*! This does not return the year-on-year swap (YYIIS) rate.
251	If you need that rate, retrieve it from the corresponding
252	instrument instead.
253	*/
254	Rate yoyRate(const Date& d, bool extrapolate = false) const;
255
256	/*! \deprecated Use the overload without a lag instead.
257	Deprecated in version 1.41.
258	*/
259	[[deprecated("Use the overload without a lag instead")]]
260	Rate yoyRate(const Date& d, const Period& instObsLag,
261	bool forceLinearInterpolation = false,
262	bool extrapolate = false) const;
263
264	//! year-on-year inflation rate.
265	/*! \warning Since inflation is highly linked to dates (lags,
266	interpolation, months for seasonality, etc) this
267	method cannot account for all effects. If you
268	call it, You'll have to manage lag, seasonality
269	etc. yourself.
270	*/
271	Rate yoyRate(Time t,
272	bool extrapolate = false) const;
273	//@}
274
275	/*! \deprecated This method will disappear. When it does, the curve will behave as if it returned false.
276	Deprecated in version 1.37.
277	*/
278	[[deprecated("This method will disappear. When it does, the curve will behave as if it returned false")]]
279	virtual bool indexIsInterpolated() const;
280	protected:
281	//! to be defined in derived classes
282	virtual Rate yoyRateImpl(Time time) const = 0;
283
284	/*! \deprecated This data member will disappear. When it does, the curve will behave as if it was false.
285	Deprecated in version 1.37.
286	*/
287	[[deprecated("This data member will disappear. When it does, the curve will behave as if it was false")]]
288	bool indexIsInterpolated_ = false;
289	};
290
291
292	//! utility function giving the inflation period for a given date
293	std::pair<Date,Date> inflationPeriod(const Date&,
294	Frequency);
295
296	//! utility function giving the time between two dates depending on
297	//! index frequency and interpolation, and a day counter
298	Time inflationYearFraction(Frequency ,
299	bool indexIsInterpolated,
300	const DayCounter&,
301	const Date&, const Date&);
302
303
304	// inline
305
UNCOV 306	inline Period InflationTermStructure::observationLag() const {	×
307	QL_DEPRECATED_DISABLE_WARNING
UNCOV 308	return observationLag_;	×
309	QL_DEPRECATED_ENABLE_WARNING
310	}
311
312	inline Frequency InflationTermStructure::frequency() const {	240,218✔
313	return frequency_;	240,218✔
314	}
315
316	inline Rate InflationTermStructure::baseRate() const {	9✔
317	QL_REQUIRE(baseRate_ != Null<Real>(), "base rate not available");	9✔
318	return baseRate_;	9✔
319	}
320
321	inline ext::shared_ptr<Seasonality> InflationTermStructure::seasonality() const {
322	return seasonality_;
323	}
324
325	inline bool InflationTermStructure::hasSeasonality() const {
326	return static_cast<bool>(seasonality_);
327	}
328
329	inline bool YoYInflationTermStructure::indexIsInterpolated() const {	235,315✔
330	QL_DEPRECATED_DISABLE_WARNING
331	return indexIsInterpolated_;	235,315✔
332	QL_DEPRECATED_ENABLE_WARNING
333	}
334
335	}
336
337	#endif

lballabio / QuantLib / 20336157418

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