piecewisezeroinflationcurve.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Chris Kenyon
 Copyright (C) 2007, 2008 StatPro Italia srl
 Copyright (C) 2011 Ferdinando Ametrano
 
 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.
*/
 
/*! \file piecewisezeroinflationcurve.hpp
    \brief Piecewise zero-inflation term structure
*/
 
#ifndef quantlib_piecewise_zero_inflation_curve_hpp
#define quantlib_piecewise_zero_inflation_curve_hpp
 
#include <ql/patterns/lazyobject.hpp>
#include <ql/termstructures/inflation/inflationtraits.hpp>
#include <ql/termstructures/iterativebootstrap.hpp>
#include <utility>
 
namespace QuantLib {
 
    //! Piecewise zero-inflation term structure
    template <class Interpolator,
              template <class> class Bootstrap = IterativeBootstrap,
              class Traits = ZeroInflationTraits>
    class PiecewiseZeroInflationCurve
        : public InterpolatedZeroInflationCurve<Interpolator>,
          public LazyObject {
      private:
        typedef InterpolatedZeroInflationCurve<Interpolator> base_curve;
        typedef PiecewiseZeroInflationCurve<Interpolator,Bootstrap,Traits>
                                                                   this_curve;
      public:
        typedef Traits traits_type;
        typedef Interpolator interpolator_type;
 
        //! \name Constructors
        //@{
        PiecewiseZeroInflationCurve(
            const Date& referenceDate,
            Date baseDate,
            Frequency frequency,
            const DayCounter& dayCounter,
            std::vector<ext::shared_ptr<typename Traits::helper> > instruments,
            const ext::shared_ptr<Seasonality>& seasonality = {},
            Real accuracy = 1.0e-14,
            const Interpolator& i = Interpolator())
        : base_curve(referenceDate,
                     baseDate,
                     frequency,
                     dayCounter,
                     seasonality,
                     i),
          instruments_(std::move(instruments)), accuracy_(accuracy) {
            bootstrap_.setup(this);
        }
 
        QL_DEPRECATED_DISABLE_WARNING
 
        /*! \deprecated Use the other overload and pass the base date directly
                        instead of using a lag. A base rate is not needed.
                        Deprecated in version 1.34.
        */
        QL_DEPRECATED
        PiecewiseZeroInflationCurve(
            const Date& referenceDate,
            const Calendar& calendar,
            const DayCounter& dayCounter,
            const Period& lag,
            Frequency frequency,
            Rate baseZeroRate,
            std::vector<ext::shared_ptr<typename Traits::helper> > instruments,
            Real accuracy = 1.0e-12,
            const Interpolator& i = Interpolator())
        : base_curve(referenceDate,
                     calendar,
                     dayCounter,
                     lag,
                     frequency,
                     baseZeroRate,
                     i),
          instruments_(std::move(instruments)), accuracy_(accuracy) {
            bootstrap_.setup(this);
        }
 
        QL_DEPRECATED_ENABLE_WARNING
        //@}
 
        //! \name Inflation interface
        //@{
        Date baseDate() const override;
        Date maxDate() const override;
        //@
        //! \name Inspectors
        //@{
        const std::vector<Time>& times() const;
        const std::vector<Date>& dates() const;
        const std::vector<Real>& data() const;
        std::vector<std::pair<Date, Real> > nodes() const;
        //@}
        //! \name Observer interface
        //@{
        void update() override;
        //@}
      private:
        // methods
        void performCalculations() const override;
        // data members
        std::vector<ext::shared_ptr<typename Traits::helper> > instruments_;
        Real accuracy_;
 
        friend class Bootstrap<this_curve>;
        friend class BootstrapError<this_curve>;
        Bootstrap<this_curve> bootstrap_;
    };
 
 
    // inline and template definitions
 
    template <class I, template <class> class B, class T>
    inline Date PiecewiseZeroInflationCurve<I,B,T>::baseDate() const {
        if (!this->hasExplicitBaseDate())
            this->calculate();
        return base_curve::baseDate();
    }
 
    template <class I, template <class> class B, class T>
    inline Date PiecewiseZeroInflationCurve<I,B,T>::maxDate() const {
        this->calculate();
        return base_curve::maxDate();
    }
 
    template <class I, template <class> class B, class T>
    const std::vector<Time>& PiecewiseZeroInflationCurve<I,B,T>::times() const {
        calculate();
        return base_curve::times();
    }
 
    template <class I, template <class> class B, class T>
    const std::vector<Date>& PiecewiseZeroInflationCurve<I,B,T>::dates() const {
        calculate();
        return base_curve::dates();
    }
 
    template <class I, template <class> class B, class T>
    const std::vector<Real>& PiecewiseZeroInflationCurve<I,B,T>::data() const {
        calculate();
        return base_curve::rates();
    }
 
    template <class I, template <class> class B, class T>
    std::vector<std::pair<Date, Real> >
    PiecewiseZeroInflationCurve<I,B,T>::nodes() const {
        calculate();
        return base_curve::nodes();
    }
 
    template <class I, template <class> class B, class T>
    void PiecewiseZeroInflationCurve<I,B,T>::performCalculations() const {
        bootstrap_.calculate();
    }
 
    template <class I, template<class> class B, class T>
    void PiecewiseZeroInflationCurve<I,B,T>::update() {
        base_curve::update();
        LazyObject::update();
    }
 
}
 
#endif