inflationtermstructure.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007, 2009 Chris Kenyon
 
 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.
*/
 
#include <ql/indexes/inflationindex.hpp>
#include <ql/termstructures/inflationtermstructure.hpp>
#include <utility>
 
namespace QuantLib {
 
    InflationTermStructure::InflationTermStructure(
                                        Date baseDate,
                                        Frequency frequency,
                                        const DayCounter& dayCounter,
                                        ext::shared_ptr<Seasonality> seasonality,
                                        Rate baseRate)
    : TermStructure(dayCounter), seasonality_(std::move(seasonality)),
      frequency_(frequency), baseRate_(baseRate), baseDate_(baseDate),
      hasExplicitBaseDate_(true) {
        if (seasonality_ != nullptr) {
            QL_REQUIRE(seasonality_->isConsistent(*this),
                       "Seasonality inconsistent with inflation term structure");
        }
    }
 
    InflationTermStructure::InflationTermStructure(
                                        const Date& referenceDate,
                                        Date baseDate,
                                        Frequency frequency,
                                        const DayCounter& dayCounter,
                                        ext::shared_ptr<Seasonality> seasonality,
                                        Rate baseRate)
    : TermStructure(referenceDate, Calendar(), dayCounter), seasonality_(std::move(seasonality)),
      frequency_(frequency), baseRate_(baseRate), baseDate_(baseDate),
      hasExplicitBaseDate_(true) {
        if (seasonality_ != nullptr) {
            QL_REQUIRE(seasonality_->isConsistent(*this),
                       "Seasonality inconsistent with inflation term structure");
        }
    }
 
    InflationTermStructure::InflationTermStructure(
                                        Natural settlementDays,
                                        const Calendar& calendar,
                                        Date baseDate,
                                        Frequency frequency,
                                        const DayCounter& dayCounter,
                                        ext::shared_ptr<Seasonality> seasonality,
                                        Rate baseRate)
    : TermStructure(settlementDays, calendar, dayCounter), seasonality_(std::move(seasonality)),
      frequency_(frequency), baseRate_(baseRate), baseDate_(baseDate),
      hasExplicitBaseDate_(true) {
        if (seasonality_ != nullptr) {
            QL_REQUIRE(seasonality_->isConsistent(*this),
                       "Seasonality inconsistent with inflation term structure");
        }
    }
 
    InflationTermStructure::InflationTermStructure(
                                        Rate baseRate,
                                        const Period& observationLag,
                                        Frequency frequency,
                                        const DayCounter& dayCounter,
                                        ext::shared_ptr<Seasonality> seasonality)
    : TermStructure(dayCounter), seasonality_(std::move(seasonality)),
      observationLag_(observationLag), frequency_(frequency),
      baseRate_(baseRate),
      hasExplicitBaseDate_(false) {
        if (seasonality_ != nullptr) {
            QL_REQUIRE(seasonality_->isConsistent(*this),
                       "Seasonality inconsistent with inflation term structure");
        }
    }
 
    InflationTermStructure::InflationTermStructure(
                                        const Date& referenceDate,
                                        Rate baseRate,
                                        const Period& observationLag,
                                        Frequency frequency,
                                        const Calendar& calendar,
                                        const DayCounter& dayCounter,
                                        ext::shared_ptr<Seasonality> seasonality)
    : TermStructure(referenceDate, calendar, dayCounter), seasonality_(std::move(seasonality)),
      observationLag_(observationLag), frequency_(frequency), baseRate_(baseRate),
      hasExplicitBaseDate_(false) {
        if (seasonality_ != nullptr) {
            QL_REQUIRE(seasonality_->isConsistent(*this),
                       "Seasonality inconsistent with inflation term structure");
        }
    }
 
    InflationTermStructure::InflationTermStructure(
                                        Natural settlementDays,
                                        const Calendar& calendar,
                                        Rate baseRate,
                                        const Period& observationLag,
                                        Frequency frequency,
                                        const DayCounter &dayCounter,
                                        ext::shared_ptr<Seasonality> seasonality)
    : TermStructure(settlementDays, calendar, dayCounter), seasonality_(std::move(seasonality)),
      observationLag_(observationLag), frequency_(frequency),
      baseRate_(baseRate),
      hasExplicitBaseDate_(false) {
        if (seasonality_ != nullptr) {
            QL_REQUIRE(seasonality_->isConsistent(*this),
                       "Seasonality inconsistent with inflation term structure");
        }
    }
 
    Date InflationTermStructure::baseDate() const {
        if (hasExplicitBaseDate()) {
            return baseDate_;
        } else {
            return inflationPeriod(referenceDate() - observationLag(), frequency()).first;
        }
    }
 
    void InflationTermStructure::setSeasonality(
                          const ext::shared_ptr<Seasonality>& seasonality) {
        // always reset, whether with null or new pointer
        seasonality_ = seasonality;
        if (seasonality_ != nullptr) {
            QL_REQUIRE(seasonality_->isConsistent(*this),
                       "Seasonality inconsistent with inflation term structure");
        }
        update();
    }
 
 
    void InflationTermStructure::checkRange(const Date& d,
                                            bool extrapolate) const {
        QL_REQUIRE(d >= baseDate(),
                   "date (" << d << ") is before base date (" << baseDate() << ")");
        QL_REQUIRE(extrapolate || allowsExtrapolation() || d <= maxDate(),
                   "date (" << d << ") is past max curve date ("
                   << maxDate() << ")");
    }
 
    void InflationTermStructure::checkRange(Time t,
                                            bool extrapolate) const {
        QL_REQUIRE(t >= timeFromReference(baseDate()),
                   "time (" << t << ") is before base date");
        QL_REQUIRE(extrapolate || allowsExtrapolation() || t <= maxTime(),
                   "time (" << t << ") is past max curve time ("
                   << maxTime() << ")");
    }
 
 
    ZeroInflationTermStructure::ZeroInflationTermStructure(
                                   Date baseDate,
                                   Frequency frequency,
                                   const DayCounter& dayCounter,
                                   const ext::shared_ptr<Seasonality>& seasonality)
    : InflationTermStructure(baseDate, frequency, dayCounter, seasonality) {}
 
    ZeroInflationTermStructure::ZeroInflationTermStructure(
                                   const Date& referenceDate,
                                   Date baseDate,
                                   Frequency frequency,
                                   const DayCounter& dayCounter,
                                   const ext::shared_ptr<Seasonality>& seasonality)
    : InflationTermStructure(referenceDate, baseDate, frequency, dayCounter, seasonality) {}
 
    ZeroInflationTermStructure::ZeroInflationTermStructure(
                                   Natural settlementDays,
                                   const Calendar& calendar,
                                   Date baseDate,
                                   Frequency frequency,
                                   const DayCounter& dayCounter,
                                   const ext::shared_ptr<Seasonality>& seasonality)
    : InflationTermStructure(settlementDays, calendar, baseDate, frequency, dayCounter, seasonality) {}
 
    QL_DEPRECATED_DISABLE_WARNING
 
    ZeroInflationTermStructure::ZeroInflationTermStructure(
                                    const DayCounter& dayCounter,
                                    Rate baseZeroRate,
                                    const Period& observationLag,
                                    Frequency frequency,
                                    const ext::shared_ptr<Seasonality> &seasonality)
    : InflationTermStructure(baseZeroRate, observationLag, frequency,
                             dayCounter, seasonality) {}
 
    ZeroInflationTermStructure::ZeroInflationTermStructure(
                                    const Date& referenceDate,
                                    const Calendar& calendar,
                                    const DayCounter& dayCounter,
                                    Rate baseZeroRate,
                                    const Period& observationLag,
                                    Frequency frequency,
                                    const ext::shared_ptr<Seasonality> &seasonality)
    : InflationTermStructure(referenceDate, baseZeroRate, observationLag, frequency,
                             calendar, dayCounter, seasonality) {}
 
    ZeroInflationTermStructure::ZeroInflationTermStructure(
                                    Natural settlementDays,
                                    const Calendar& calendar,
                                    const DayCounter& dayCounter,
                                    Rate baseZeroRate,
                                    const Period& observationLag,
                                    Frequency frequency,
                                    const ext::shared_ptr<Seasonality> &seasonality)
    : InflationTermStructure(settlementDays, calendar, baseZeroRate, observationLag, frequency,
                             dayCounter, seasonality) {}
 
    QL_DEPRECATED_ENABLE_WARNING
 
    Rate ZeroInflationTermStructure::zeroRate(const Date &d, const Period& instObsLag,
                                              bool forceLinearInterpolation,
                                              bool extrapolate) const {
 
        Period useLag = instObsLag;
        if (instObsLag == Period(-1,Days)) {
            useLag = hasExplicitBaseDate() ? Period(0, Days) : observationLag();
        }
 
        Rate zeroRate;
        if (forceLinearInterpolation) {
            std::pair<Date,Date> dd = inflationPeriod(d-useLag, frequency());
            dd.second = dd.second + Period(1,Days);
            Real dp = dd.second - dd.first;
            Real dt = d - dd.first;
            // if we are interpolating we only check the exact point
            // this prevents falling off the end at curve maturity
            InflationTermStructure::checkRange(d, extrapolate);
            Time t1 = timeFromReference(dd.first);
            Time t2 = timeFromReference(dd.second);
            Rate z1 = zeroRateImpl(t1);
            Rate z2 = zeroRateImpl(t2);
            zeroRate = z1 + (z2-z1) * (dt/dp);
        } else {
            std::pair<Date,Date> dd = inflationPeriod(d-useLag, frequency());
            InflationTermStructure::checkRange(dd.first, extrapolate);
            Time t = timeFromReference(dd.first);
            zeroRate = zeroRateImpl(t);
        }
 
        if (hasSeasonality()) {
            zeroRate = seasonality()->correctZeroRate(d-useLag, zeroRate, *this);
        }
        return zeroRate;
    }
 
    Rate ZeroInflationTermStructure::zeroRate(Time t,
                                              bool extrapolate) const {
        checkRange(t, extrapolate);
        return zeroRateImpl(t);
    }
 
 
    YoYInflationTermStructure::YoYInflationTermStructure(
                                    Date baseDate,
                                    Rate baseYoYRate,
                                    Frequency frequency,
                                    bool indexIsInterpolated,
                                    const DayCounter& dayCounter,
                                    const ext::shared_ptr<Seasonality> &seasonality)
    : InflationTermStructure(baseDate, frequency, dayCounter, seasonality, baseYoYRate),
      indexIsInterpolated_(indexIsInterpolated) {}
 
    YoYInflationTermStructure::YoYInflationTermStructure(
                                    const Date& referenceDate,
                                    Date baseDate,
                                    Rate baseYoYRate,
                                    Frequency frequency,
                                    bool indexIsInterpolated,
                                    const DayCounter& dayCounter,
                                    const ext::shared_ptr<Seasonality> &seasonality)
    : InflationTermStructure(referenceDate, baseDate, frequency,
                             dayCounter, seasonality, baseYoYRate),
      indexIsInterpolated_(indexIsInterpolated) {}
 
    YoYInflationTermStructure::YoYInflationTermStructure(
                                    Natural settlementDays,
                                    const Calendar& calendar,
                                    Date baseDate,
                                    Rate baseYoYRate,
                                    Frequency frequency,
                                    bool indexIsInterpolated,
                                    const DayCounter& dayCounter,
                                    const ext::shared_ptr<Seasonality> &seasonality)
    : InflationTermStructure(settlementDays, calendar, baseDate, frequency,
                             dayCounter, seasonality, baseYoYRate),
      indexIsInterpolated_(indexIsInterpolated) {}
 
    QL_DEPRECATED_DISABLE_WARNING
 
    YoYInflationTermStructure::YoYInflationTermStructure(
                                    const DayCounter& dayCounter,
                                    Rate baseYoYRate,
                                    const Period& observationLag,
                                    Frequency frequency,
                                    bool indexIsInterpolated,
                                    const ext::shared_ptr<Seasonality> &seasonality)
    : InflationTermStructure(baseYoYRate, observationLag, frequency,
                             dayCounter, seasonality),
      indexIsInterpolated_(indexIsInterpolated) {}
 
    YoYInflationTermStructure::YoYInflationTermStructure(
                                    const Date& referenceDate,
                                    const Calendar& calendar,
                                    const DayCounter& dayCounter,
                                    Rate baseYoYRate,
                                    const Period& observationLag,
                                    Frequency frequency,
                                    bool indexIsInterpolated,
                                    const ext::shared_ptr<Seasonality> &seasonality)
    : InflationTermStructure(referenceDate, baseYoYRate, observationLag, frequency,
                             calendar, dayCounter, seasonality),
      indexIsInterpolated_(indexIsInterpolated) {}
 
    YoYInflationTermStructure::YoYInflationTermStructure(
                                    Natural settlementDays,
                                    const Calendar& calendar,
                                    const DayCounter& dayCounter,
                                    Rate baseYoYRate,
                                    const Period& observationLag,
                                    Frequency frequency,
                                    bool indexIsInterpolated,
                                    const ext::shared_ptr<Seasonality> &seasonality)
    : InflationTermStructure(settlementDays, calendar, baseYoYRate, observationLag,
                             frequency, dayCounter, seasonality),
      indexIsInterpolated_(indexIsInterpolated) {}
 
    QL_DEPRECATED_ENABLE_WARNING
 
 
    Rate YoYInflationTermStructure::yoyRate(const Date &d, const Period& instObsLag,
                                              bool forceLinearInterpolation,
                                              bool extrapolate) const {
 
        Period useLag = instObsLag;
        if (instObsLag == Period(-1,Days)) {
            useLag = hasExplicitBaseDate() ? Period(0, Days) : observationLag();
        }
 
        Rate yoyRate;
        if (forceLinearInterpolation) {
            std::pair<Date,Date> dd = inflationPeriod(d-useLag, frequency());
            dd.second = dd.second + Period(1,Days);
            Real dp = dd.second - dd.first;
            Real dt = (d-useLag) - dd.first;
            // if we are interpolating we only check the exact point
            // this prevents falling off the end at curve maturity
            InflationTermStructure::checkRange(d, extrapolate);
            Time t1 = timeFromReference(dd.first);
            Time t2 = timeFromReference(dd.second);
            Rate y1 = yoyRateImpl(t1);
            Rate y2 = yoyRateImpl(t2);
            yoyRate = y1 + (y2-y1) * (dt/dp);
        } else {
            if (indexIsInterpolated()) {
                InflationTermStructure::checkRange(d-useLag, extrapolate);
                Time t = timeFromReference(d-useLag);
                yoyRate = yoyRateImpl(t);
            } else {
                std::pair<Date,Date> dd = inflationPeriod(d-useLag, frequency());
                InflationTermStructure::checkRange(dd.first, extrapolate);
                Time t = timeFromReference(dd.first);
                yoyRate = yoyRateImpl(t);
            }
        }
 
        if (hasSeasonality()) {
            yoyRate = seasonality()->correctYoYRate(d-useLag, yoyRate, *this);
        }
        return yoyRate;
    }
 
    Rate YoYInflationTermStructure::yoyRate(Time t,
                                            bool extrapolate) const {
        checkRange(t, extrapolate);
        return yoyRateImpl(t);
    }
 
 
 
 
    std::pair<Date,Date> inflationPeriod(const Date& d,
                                         Frequency frequency) {
 
        Month month = d.month();
        Year year = d.year();
 
        Month startMonth, endMonth;
        switch (frequency) {
          case Annual:
            startMonth = January;
            endMonth = December;
            break;
          case Semiannual:
            if (month <= June) {
                startMonth = January;
                endMonth = June;
            } else {
                startMonth = July;
                endMonth = December;
            }
            break;
          case Quarterly:
            if (month <= March) {
                startMonth = January;
                endMonth = March;
            } else if (month <= June) {
                startMonth = April;
                endMonth = June;
            } else if (month <= September) {
                startMonth = July;
                endMonth = September;
            } else {
                startMonth = October;
                endMonth = December;
            }
            break;
          case Monthly:
            startMonth = endMonth = month;
            break;
          default:
            QL_FAIL("Frequency not handled: " << frequency);
            break;
        };
 
        Date startDate = Date(1, startMonth, year);
        Date endDate = Date::endOfMonth(Date(1, endMonth, year));
 
        return std::make_pair(startDate,endDate);
    }
 
 
    Time inflationYearFraction(Frequency f, bool indexIsInterpolated,
                               const DayCounter &dayCounter,
                               const Date &d1, const Date &d2) {
 
        Time t=0;
        if (indexIsInterpolated) {
            // N.B. we do not use linear interpolation between flat
            // fixing forecasts for forecasts.  This avoids awkwardnesses
            // when bootstrapping the inflation curve.
            t = dayCounter.yearFraction(d1, d2);
        } else {
            // I.e. fixing is constant for the whole inflation period.
            // Use the value for half way along the period.
            // But the inflation time is the time between period starts
            std::pair<Date,Date> limD1 = inflationPeriod(d1, f);
            std::pair<Date,Date> limD2 = inflationPeriod(d2, f);
            t = dayCounter.yearFraction(limD1.first, limD2.first);
        }
 
        return t;
    }
 
 
}