QuantLib: a free/open-source library for quantitative finance
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piecewiseyoyinflationcurve.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007 Chris Kenyon
5 Copyright (C) 2007, 2008 StatPro Italia srl
6 Copyright (C) 2011 Ferdinando Ametrano
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
22/*! \file piecewiseyoyinflationcurve.hpp
23 \brief Piecewise year-on-year inflation term structure
24*/
25
26#ifndef quantlib_piecewise_yoy_inflation_curve_hpp
27#define quantlib_piecewise_yoy_inflation_curve_hpp
28
32#include <utility>
33
34namespace QuantLib {
35
36 //! Piecewise year-on-year inflation term structure
37 template <class Interpolator,
38 template <class> class Bootstrap = IterativeBootstrap,
39 class Traits = YoYInflationTraits>
41 public InterpolatedYoYInflationCurve<Interpolator>,
42 public LazyObject {
43 private:
47 public:
48 typedef Traits traits_type;
49 typedef Interpolator interpolator_type;
50 //! \name Constructors
51 //@{
53 const Date& referenceDate,
55 Rate baseYoYRate,
59 std::vector<ext::shared_ptr<typename Traits::helper> > instruments,
60 const ext::shared_ptr<Seasonality>& seasonality = {},
61 Real accuracy = 1.0e-12,
62 const Interpolator& i = Interpolator())
65 baseYoYRate,
70 i),
71 instruments_(std::move(instruments)), accuracy_(accuracy) {
72 bootstrap_.setup(this);
73 }
74
75
77
78 /*! \deprecated Use the other overload and pass the base date directly
79 instead of using a lag.
80 Deprecated in version 1.34.
81 */
84 const Date& referenceDate,
85 const Calendar& calendar,
87 const Period& lag,
90 Rate baseYoYRate,
91 std::vector<ext::shared_ptr<typename Traits::helper> > instruments,
92 Real accuracy = 1.0e-12,
93 const Interpolator& i = Interpolator())
97 baseYoYRate,
98 lag,
101 i),
102 instruments_(std::move(instruments)), accuracy_(accuracy) {
103 bootstrap_.setup(this);
104 }
105
107 //@}
108
109 //! \name Inflation interface
110 //@{
111 Date baseDate() const override;
112 Date maxDate() const override;
113 //@
114 //! \name Inspectors
115 //@{
116 const std::vector<Time>& times() const;
117 const std::vector<Date>& dates() const;
118 const std::vector<Real>& data() const;
119 std::vector<std::pair<Date, Real> > nodes() const;
120 //@}
121 //! \name Observer interface
122 //@{
123 void update() override;
124 //@}
125 private:
126 // methods
127 void performCalculations() const override;
128 // data members
129 std::vector<ext::shared_ptr<typename Traits::helper> > instruments_;
131
132 friend class Bootstrap<this_curve>;
133 friend class BootstrapError<this_curve>;
135 };
136
137
138 // inline and template definitions
139
140 template <class I, template <class> class B, class T>
142 if (!this->hasExplicitBaseDate())
143 this->calculate();
144 return base_curve::baseDate();
145 }
146
147 template <class I, template <class> class B, class T>
149 this->calculate();
150 return base_curve::maxDate();
151 }
152
153 template <class I, template <class> class B, class T>
154 const std::vector<Time>& PiecewiseYoYInflationCurve<I,B,T>::times() const {
155 calculate();
156 return base_curve::times();
157 }
158
159 template <class I, template <class> class B, class T>
160 const std::vector<Date>& PiecewiseYoYInflationCurve<I,B,T>::dates() const {
161 calculate();
162 return base_curve::dates();
163 }
164
165 template <class I, template <class> class B, class T>
166 const std::vector<Real>& PiecewiseYoYInflationCurve<I,B,T>::data() const {
167 calculate();
168 return base_curve::data();
169 }
170
171 template <class I, template <class> class B, class T>
172 std::vector<std::pair<Date, Real> >
174 calculate();
175 return base_curve::nodes();
176 }
177
178 template <class I, template <class> class B, class T>
180 bootstrap_.calculate();
181 }
182
183 template <class I, template <class> class B, class T>
185 base_curve::update();
187 }
188
189}
190
191#endif
calendar class
Definition: calendar.hpp:61
Concrete date class.
Definition: date.hpp:125
day counter class
Definition: daycounter.hpp:44
ext::shared_ptr< Seasonality > seasonality() const
Inflation term structure based on interpolated year-on-year rates.
Framework for calculation on demand and result caching.
Definition: lazyobject.hpp:35
void update() override
Definition: lazyobject.hpp:188
Piecewise year-on-year inflation term structure.
Date baseDate() const override
minimum (base) date
const std::vector< Date > & dates() const
const std::vector< Real > & data() const
std::vector< std::pair< Date, Real > > nodes() const
const std::vector< Time > & times() const
std::vector< ext::shared_ptr< typename Traits::helper > > instruments_
Date maxDate() const override
the latest date for which the curve can return values
PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits > this_curve
InterpolatedYoYInflationCurve< Interpolator > base_curve
QL_DEPRECATED_DISABLE_WARNING QL_DEPRECATED PiecewiseYoYInflationCurve(const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate baseYoYRate, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, Real accuracy=1.0e-12, const Interpolator &i=Interpolator())
PiecewiseYoYInflationCurve(const Date &referenceDate, Date baseDate, Rate baseYoYRate, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, const ext::shared_ptr< Seasonality > &seasonality={}, Real accuracy=1.0e-12, const Interpolator &i=Interpolator())
virtual const Date & referenceDate() const
the date at which discount = 1.0 and/or variance = 0.0
virtual Calendar calendar() const
the calendar used for reference and/or option date calculation
virtual DayCounter dayCounter() const
the day counter used for date/time conversion
Frequency
Frequency of events.
Definition: frequency.hpp:37
QL_REAL Real
real number
Definition: types.hpp:50
Real Rate
interest rates
Definition: types.hpp:70
inflation bootstrap traits
universal piecewise-term-structure boostrapper.
framework for calculation on demand and result caching
Definition: any.hpp:35
STL namespace.
#define QL_DEPRECATED
Definition: qldefines.hpp:215
#define QL_DEPRECATED_DISABLE_WARNING
Definition: qldefines.hpp:216
#define QL_DEPRECATED_ENABLE_WARNING
Definition: qldefines.hpp:217