ZeroInflationCurveObserverStatic< Interpolator > Class Template Reference

Inflation term structure based on the interpolation of zero rates. More...

#include <qle/termstructures/zeroinflationcurveobserverstatic.hpp>

Inheritance diagram for ZeroInflationCurveObserverStatic< Interpolator >:

Collaboration diagram for ZeroInflationCurveObserverStatic< Interpolator >:

Public Member Functions
	ZeroInflationCurveObserverStatic (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, bool indexIsInterpolated, const std::vector< Date > &dates, const std::vector< Handle< Quote > > &rates, const QuantLib::ext::shared_ptr< Seasonality > &seasonality=QuantLib::ext::shared_ptr< Seasonality >(), const Interpolator &interpolator=Interpolator())
InflationTermStructure interface
Date	baseDate () const
Date	maxDate () const
Inspectors
const std::vector< Date > &	dates () const
const std::vector< Time > &	times () const
const std::vector< Real > &	data () const
const std::vector< Rate > &	rates () const
std::vector< std::pair< Date, Rate > >	nodes () const
const std::vector< Handle< Quote > > &	quotes () const
Observer interface
void	update ()

Private Member Functions
LazyObject interface
void	performCalculations () const

ZeroInflationTermStructure Interface
std::vector< Date >	dates_
std::vector< Handle< Quote > >	quotes_
bool	indexIsInterpolated_
Rate	zeroRateImpl (Time t) const

Detailed Description

template<class Interpolator>
class QuantExt::ZeroInflationCurveObserverStatic< Interpolator >

Inflation term structure based on the interpolation of zero rates.

Definition at line 39 of file zeroinflationcurveobserverstatic.hpp.

Constructor & Destructor Documentation

ZeroInflationCurveObserverStatic()

ZeroInflationCurveObserverStatic	(	const Date &	referenceDate,
		const Calendar &	calendar,
		const DayCounter &	dayCounter,
		const Period &	lag,
		Frequency	frequency,
		bool	indexIsInterpolated,
		const std::vector< Date > &	dates,
		const std::vector< Handle< Quote > > &	rates,
		const QuantLib::ext::shared_ptr< Seasonality > &	seasonality = QuantLib::ext::shared_ptr<Seasonality>(),
		const Interpolator &	interpolator = Interpolator()
	)

Definition at line 90 of file zeroinflationcurveobserverstatic.hpp.

    : ZeroInflationTermStructure(referenceDate, calendar, dayCounter, rates[0]->value(), lag, frequency, seasonality),
      InterpolatedCurve<Interpolator>(std::vector<Time>(), std::vector<Real>(), interpolator), dates_(dates),
      quotes_(rates) {
 
    QL_REQUIRE(dates_.size() > 1, "too few dates: " << dates_.size());
 
    /**
    // check that the data starts from the beginning,
    // i.e. referenceDate - lag, at least must be in the relevant
    // period
    std::pair<Date,Date> lim =
    inflationPeriod(yTS->referenceDate() - this->observationLag(), frequency);
    QL_REQUIRE(lim.first <= dates_[0] && dates_[0] <= lim.second,
    "first data date is not in base period, date: " << dates_[0]
    << " not within [" << lim.first << "," << lim.second << "]");
    **/
 
    // by convention, if the index is not interpolated we pull all the dates
    // back to the start of their inflationPeriods
    // otherwise the time calculations will be inconsistent
    if (!indexIsInterpolated_) {
        for (Size i = 0; i < dates_.size(); i++) {
            dates_[i] = inflationPeriod(dates_[i], frequency).first;
        }
    }
 
    QL_REQUIRE(this->quotes_.size() == dates_.size(),
               "quotes/dates count mismatch: " << this->quotes_.size() << " vs " << dates_.size());
 
    // initialise data vector, values are copied from quotes in performCalculations()
    this->data_.resize(dates_.size());
    for (Size i = 0; i < dates_.size(); i++)
        this->data_[0] = 0.0;
 
    this->times_.resize(dates_.size());
    this->times_[0] = timeFromReference(dates_[0]);
    for (Size i = 1; i < dates_.size(); i++) {
        QL_REQUIRE(dates_[i] > dates_[i - 1], "dates not sorted");
 
        // but must be greater than -1
        QL_REQUIRE(this->data_[i] > -1.0, "zero inflation data < -100 %");
 
        // this can be negative
        this->times_[i] = timeFromReference(dates_[i]);
        QL_REQUIRE(!close(this->times_[i], this->times_[i - 1]), "two dates correspond to the same time "
                                                                 "under this curve's day count convention");
    }
 
    this->interpolation_ =
        this->interpolator_.interpolate(this->times_.begin(), this->times_.end(), this->data_.begin());
    this->interpolation_.update();
 
    // register with each of the quotes
    for (Size i = 0; i < quotes_.size(); i++)
        registerWith(quotes_[i]);
}

Member Function Documentation

baseDate()

Date baseDate

Definition at line 152 of file zeroinflationcurveobserverstatic.hpp.

                                                                            {
    // if indexIsInterpolated we fixed the dates in the constructor
    calculate();
    return dates_.front();
}

maxDate()

Date maxDate

Definition at line 158 of file zeroinflationcurveobserverstatic.hpp.

                                                                           {
    Date d;
    if (indexIsInterpolated_) {
        d = dates_.back();
    } else {
        d = inflationPeriod(dates_.back(), frequency()).second;
    }
    return d;
}

dates()

const std::vector< Date > & dates

Definition at line 177 of file zeroinflationcurveobserverstatic.hpp.

{ return dates_; }

times()

const std::vector< Time > & times

Definition at line 173 of file zeroinflationcurveobserverstatic.hpp.

                                                                                                  {
    return this->times_;
}

data()

const std::vector< Real > & data

Definition at line 184 of file zeroinflationcurveobserverstatic.hpp.

                                                                                                 {
    calculate();
    return this->data_;
}

rates()

const std::vector< Rate > & rates

Definition at line 179 of file zeroinflationcurveobserverstatic.hpp.

                                                                                                  {
    calculate();
    return this->data_;
}

nodes()

std::vector< std::pair< Date, Rate > > nodes

Definition at line 189 of file zeroinflationcurveobserverstatic.hpp.

                                                                                                           {
    calculate();
    std::vector<std::pair<Date, Rate> > results(dates_.size());
    for (Size i = 0; i < dates_.size(); ++i)
        results[i] = std::make_pair(dates_[i], this->data_[i]);
    return results;
}

quotes()

const std::vector< Handle< Quote > > & quotes

(

)

const

Definition at line 63 of file zeroinflationcurveobserverstatic.hpp.

{ return quotes_; };

update()

void update

Definition at line 197 of file zeroinflationcurveobserverstatic.hpp.

                                                                           {
    LazyObject::update();
    ZeroInflationTermStructure::update();
}

performCalculations()

void performCalculations

private

Definition at line 202 of file zeroinflationcurveobserverstatic.hpp.

                                                                                              {
    for (Size i = 0; i < dates_.size(); ++i)
        this->data_[i] = quotes_[i]->value();
    this->interpolation_ =
        this->interpolator_.interpolate(this->times_.begin(), this->times_.end(), this->data_.begin());
    this->interpolation_.update();
}

zeroRateImpl()

Rate zeroRateImpl ( Time  t ) const

protected

Definition at line 168 of file zeroinflationcurveobserverstatic.hpp.

                                                                                             {
    calculate();
    return this->interpolation_(t, true);
}

Member Data Documentation

dates_

std::vector<Date> dates_

mutableprotected

Definition at line 82 of file zeroinflationcurveobserverstatic.hpp.

quotes_

std::vector<Handle<Quote> > quotes_

protected

Definition at line 83 of file zeroinflationcurveobserverstatic.hpp.

indexIsInterpolated_

bool indexIsInterpolated_

protected

Definition at line 84 of file zeroinflationcurveobserverstatic.hpp.