seasonality.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Piero Del Boca
 Copyright (C) 2009 Chris Kenyon
 Copyright (C) 2015 Bernd Lewerenz
 
 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.
 */
 
#ifndef quantlib_seasonality_hpp
#define quantlib_seasonality_hpp
 
#include <ql/time/daycounter.hpp>
#include <ql/time/frequency.hpp>
#include <ql/shared_ptr.hpp>
#include <vector>
 
namespace QuantLib {
 
    class InflationTermStructure;
 
 
    class Seasonality {
 
        public:
 
 
          virtual Rate
          correctZeroRate(const Date& d, Rate r, const InflationTermStructure& iTS) const = 0;
          virtual Rate
          correctYoYRate(const Date& d, Rate r, const InflationTermStructure& iTS) const = 0;
          virtual bool isConsistent(const InflationTermStructure& iTS) const;
 
          virtual ~Seasonality() = default;
    };
 
 
    class MultiplicativePriceSeasonality : public Seasonality {
 
        private:
            Date seasonalityBaseDate_;
            Frequency frequency_;
            std::vector<Rate> seasonalityFactors_;
 
        public:
 
            //Constructors
            //
            MultiplicativePriceSeasonality() = default;
 
            MultiplicativePriceSeasonality(const Date& seasonalityBaseDate,
                                           Frequency frequency,
                                           const std::vector<Rate>& seasonalityFactors);
 
            virtual void set(const Date& seasonalityBaseDate,
                             Frequency frequency,
                             const std::vector<Rate>& seasonalityFactors);
 
 
            virtual Date seasonalityBaseDate() const;
            virtual Frequency frequency() const;
            virtual std::vector<Rate> seasonalityFactors() const;
            virtual Rate seasonalityFactor(const Date &d) const;
 
 
            Rate correctZeroRate(const Date& d,
                                 Rate r,
                                 const InflationTermStructure& iTS) const override;
            Rate
            correctYoYRate(const Date& d, Rate r, const InflationTermStructure& iTS) const override;
            bool isConsistent(const InflationTermStructure& iTS) const override;
 
            //Destructor
            ~MultiplicativePriceSeasonality() override = default;
            ;
 
          protected:
            virtual void validate() const;
            virtual Rate seasonalityCorrection(Rate r, const Date &d, const DayCounter &dc,
                                               const Date &curveBaseDate, bool isZeroRate) const;
    };
 
 
    class KerkhofSeasonality : public MultiplicativePriceSeasonality {
      public:
        KerkhofSeasonality(const Date& seasonalityBaseDate,
                           const std::vector<Rate>& seasonalityFactors)
        : MultiplicativePriceSeasonality(seasonalityBaseDate,Monthly,
                                         seasonalityFactors) {}
 
        /*Rate correctZeroRate(const Date &d, const Rate r,
                               const InflationTermStructure& iTS) const;*/
        Real seasonalityFactor(const Date& to) const override;
 
      protected:
        Rate seasonalityCorrection(Rate rate,
                                   const Date& atDate,
                                   const DayCounter& dc,
                                   const Date& curveBaseDate,
                                   bool isZeroRate) const override;
    };
 
}  // end of namespace QuantLib
 
#endif