inflationcurve.hpp

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/*
 Copyright (C) 2016 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file ored/marketdata/inflationcurve.hpp
    \brief inflation curve class
    \ingroup curves
*/
 
#pragma once
 
#include <ql/termstructures/inflation/inflationhelpers.hpp>
#include <ql/termstructures/inflationtermstructure.hpp>
 
#include <ored/configuration/conventions.hpp>
#include <ored/configuration/curveconfigurations.hpp>
#include <ored/marketdata/curvespec.hpp>
#include <ored/marketdata/loader.hpp>
#include <ored/marketdata/todaysmarketcalibrationinfo.hpp>
#include <ored/marketdata/yieldcurve.hpp>
 
namespace ore {
namespace data {
using ore::data::Conventions;
using ore::data::CurveConfigurations;
using QuantLib::Date;
using QuantLib::InflationTermStructure;
using namespace data;
 
//! Wrapper class for building inflation curves
/*!
  \ingroup curves
*/
class InflationCurve {
public:
    InflationCurve() : interpolatedIndex_(false) {}
    InflationCurve(Date asof, InflationCurveSpec spec, const Loader& loader, const CurveConfigurations& curveConfigs,
                   map<string, QuantLib::ext::shared_ptr<YieldCurve>>& yieldCurves, const bool buildCalibrationInfo);
 
    //! getters
    const InflationCurveSpec& spec() const { return spec_; }
 
    const QuantLib::ext::shared_ptr<InflationTermStructure> inflationTermStructure() const { return curve_; }
 
    const bool interpolatedIndex() const { return interpolatedIndex_; }
 
    QuantLib::ext::shared_ptr<InflationCurveCalibrationInfo> calibrationInfo() const { return calibrationInfo_; }
 
private:
    InflationCurveSpec spec_;
    QuantLib::ext::shared_ptr<InflationTermStructure> curve_;
    bool interpolatedIndex_;
    QuantLib::ext::shared_ptr<InflationCurveCalibrationInfo> calibrationInfo_;
};
 
/*! Given an \p asof and inflation swap \p convention, determine the start date of an inflation swap.
 
    In general, this just returns the \p asof. If the \p convention has a publication roll and a publication schedule,
    the swap start date will be generated according to this schedule.
*/
QuantLib::Date getInflationSwapStart(const Date& asof, const InflationSwapConvention& convention);
 
} // namespace data
} // namespace ore