inflationtermstructure.hpp

/* -*- 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.
*/
 
#ifndef quantlib_inflation_termstructure_hpp
#define quantlib_inflation_termstructure_hpp
 
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/inflation/seasonality.hpp>
 
namespace QuantLib {
 
    class InflationIndex;
 
 
    class InflationTermStructure : public TermStructure {
      public:
 
        InflationTermStructure(Rate baseRate,
                               const Period& observationLag,
                               Frequency frequency,
                               const DayCounter& dayCounter = DayCounter(),
                               ext::shared_ptr<Seasonality> seasonality = {});
        InflationTermStructure(const Date& referenceDate,
                               Rate baseRate,
                               const Period& observationLag,
                               Frequency frequency,
                               const Calendar& calendar = Calendar(),
                               const DayCounter& dayCounter = DayCounter(),
                               ext::shared_ptr<Seasonality> seasonality = {});
        InflationTermStructure(Natural settlementDays,
                               const Calendar& calendar,
                               Rate baseRate,
                               const Period& observationLag,
                               Frequency frequency,
                               const DayCounter& dayCounter = DayCounter(),
                               ext::shared_ptr<Seasonality> seasonality = {});
 
 
 
        virtual Period observationLag() const;
        virtual Frequency frequency() const;
        virtual Rate baseRate() const;
 
 
        virtual Date baseDate() const = 0;
 
 
        void setSeasonality(const ext::shared_ptr<Seasonality>& seasonality = {});
        ext::shared_ptr<Seasonality> seasonality() const;
        bool hasSeasonality() const;
 
      protected:
 
        // This next part is required for piecewise- constructors
        // because, for inflation, they need more than just the
        // instruments to build the term structure, since the rate at
        // time 0-lag is non-zero, since we deal (effectively) with
        // "forwards".
        virtual void setBaseRate(const Rate &r) { baseRate_ = r; }
 
 
        // range-checking
        void checkRange(const Date&,
                        bool extrapolate) const;
        void checkRange(Time t,
                        bool extrapolate) const;
 
        ext::shared_ptr<Seasonality> seasonality_;
        Period observationLag_;
        Frequency frequency_;
        mutable Rate baseRate_;
    };
 
    // Child classes use templates but do not want that exposed to
    // general users.
    class ZeroInflationTermStructure : public InflationTermStructure {
      public:
 
        ZeroInflationTermStructure(const DayCounter& dayCounter,
                                   Rate baseZeroRate,
                                   const Period& lag,
                                   Frequency frequency,
                                   const ext::shared_ptr<Seasonality> &seasonality = {});
 
        ZeroInflationTermStructure(const Date& referenceDate,
                                   const Calendar& calendar,
                                   const DayCounter& dayCounter,
                                   Rate baseZeroRate,
                                   const Period& lag,
                                   Frequency frequency,
                                   const ext::shared_ptr<Seasonality>& seasonality = {});
 
        ZeroInflationTermStructure(Natural settlementDays,
                                   const Calendar& calendar,
                                   const DayCounter& dayCounter,
                                   Rate baseZeroRate,
                                   const Period& lag,
                                   Frequency frequency,
                                   const ext::shared_ptr<Seasonality> &seasonality = {});
 
 
 
        Rate zeroRate(const Date &d, const Period& instObsLag = Period(-1,Days),
                      bool forceLinearInterpolation = false,
                      bool extrapolate = false) const;
 
        Rate zeroRate(Time t,
                      bool extrapolate = false) const;
      protected:
        virtual Rate zeroRateImpl(Time t) const = 0;
    };
 
 
    class YoYInflationTermStructure : public InflationTermStructure {
      public:
 
        YoYInflationTermStructure(const DayCounter& dayCounter,
                                  Rate baseYoYRate,
                                  const Period& lag,
                                  Frequency frequency,
                                  bool indexIsInterpolated,
                                  const ext::shared_ptr<Seasonality> &seasonality = {});
 
        YoYInflationTermStructure(const Date& referenceDate,
                                  const Calendar& calendar,
                                  const DayCounter& dayCounter,
                                  Rate baseYoYRate,
                                  const Period& lag,
                                  Frequency frequency,
                                  bool indexIsInterpolated,
                                  const ext::shared_ptr<Seasonality> &seasonality = {});
 
        YoYInflationTermStructure(Natural settlementDays,
                                  const Calendar& calendar,
                                  const DayCounter& dayCounter,
                                  Rate baseYoYRate,
                                  const Period& lag,
                                  Frequency frequency,
                                  bool indexIsInterpolated,
                                  const ext::shared_ptr<Seasonality> &seasonality = {});
 
 
 
        Rate yoyRate(const Date &d, const Period& instObsLag = Period(-1,Days),
                     bool forceLinearInterpolation = false,
                     bool extrapolate = false) const;
 
        Rate yoyRate(Time t,
                     bool extrapolate = false) const;
 
        virtual bool indexIsInterpolated() const;
      protected:
        virtual Rate yoyRateImpl(Time time) const = 0;
      private:
        bool indexIsInterpolated_;
    };
 
 
    std::pair<Date,Date> inflationPeriod(const Date &,
                                         Frequency);
 
    Time inflationYearFraction(Frequency ,
                               bool indexIsInterpolated,
                               const DayCounter &,
                               const Date &, const Date &);
 
 
    // inline
 
    inline Period InflationTermStructure::observationLag() const {
        return observationLag_;
    }
 
    inline Frequency InflationTermStructure::frequency() const {
        return frequency_;
    }
 
    inline Rate InflationTermStructure::baseRate() const {
        return baseRate_;
    }
 
    inline ext::shared_ptr<Seasonality> InflationTermStructure::seasonality() const {
        return seasonality_;
    }
 
    inline bool InflationTermStructure::hasSeasonality() const {
        return static_cast<bool>(seasonality_);
    }
 
    inline bool YoYInflationTermStructure::indexIsInterpolated() const {
        return indexIsInterpolated_;
    }
 
}
 
#endif