Unseasonalized inflation

ql/indexes/inflationindex.cpp

@@ -201,6 +201,11 @@ namespace QuantLib {
 
     Real ZeroInflationIndex::fixing(const Date& fixingDate,
                                     bool /*forecastTodaysFixing*/) const {
+        return fixing(fixingDate, false, true);
+    }
+
+    Real ZeroInflationIndex::fixing(const Date& fixingDate,
+                                    bool /*forecastTodaysFixing*/, bool applySeasonality) const {
         if (!needsForecast(fixingDate)) {
             const Real I1 = pastFixing(fixingDate);
             QL_REQUIRE(I1 != Null<Real>(),
@@ -209,7 +214,7 @@ namespace QuantLib {
 
             return I1;
         } else {
-            return forecastFixing(fixingDate);
+            return forecastFixing(fixingDate, applySeasonality);
         }
     }
 
@@ -254,8 +259,7 @@ namespace QuantLib {
         }
     }
 
-
-    Real ZeroInflationIndex::forecastFixing(const Date& fixingDate) const {
+    Real ZeroInflationIndex::forecastFixing(const Date& fixingDate, bool applySeasonality) const {
         // the term structure is relative to the fixing value at the base date.
         Date baseDate = zeroInflation_->baseDate();
         QL_REQUIRE(!needsForecast(baseDate),
@@ -265,7 +269,7 @@ namespace QuantLib {
         std::pair<Date, Date> fixingPeriod = inflationPeriod(fixingDate, frequency_);
 
         Date firstDateInPeriod = fixingPeriod.first;
-        Rate Z1 = zeroInflation_->zeroRate(firstDateInPeriod, Period(0,Days), false);
+        Rate Z1 = zeroInflation_->zeroRate(firstDateInPeriod, Period(0,Days), false, false, applySeasonality);
         Time t1 = inflationYearFraction(frequency_, false, zeroInflation_->dayCounter(),
                                         baseDate, firstDateInPeriod);
         return baseFixing * std::pow(1.0 + Z1, t1);

ql/indexes/inflationindex.hpp

@@ -167,7 +167,10 @@ namespace QuantLib {
         /*! \warning the forecastTodaysFixing parameter (required by
                      the Index interface) is currently ignored.
         */
-        Real fixing(const Date& fixingDate, bool forecastTodaysFixing = false) const override;
+        Real fixing(const Date& fixingDate, bool forecastTodaysFixing = false) const override; // required
+        Real fixing(const Date& fixingDate,
+                    bool forecastTodaysFixing,
+                    bool applySeasonality) const; // overload
         Real pastFixing(const Date& fixingDate) const override;
         //@}
         //! \name Other methods
@@ -178,7 +181,7 @@ namespace QuantLib {
         bool needsForecast(const Date& fixingDate) const;
         //@}
       private:
-        Real forecastFixing(const Date& fixingDate) const;
+        Real forecastFixing(const Date& fixingDate, bool applySeasonality = true) const;
         Handle<ZeroInflationTermStructure> zeroInflation_;
     };
 

ql/instruments/zerocouponinflationswap.cpp

@@ -93,6 +93,8 @@ namespace QuantLib {
             inflationYearFraction(infIndex_->frequency(),
                                   detail::CPI::isInterpolated(observationInterpolation_),
                                   dayCounter_, baseDate_, obsDate_);
+        // Mimic yearly compounding 1/1 DC with Year (which can return zero).
+        T = T == 0 ? 1 : T;
         // N.B. the -1.0 is because swaps only exchange growth, not notionals as well
         Real fixedAmount = nominal * (std::pow(1.0 + fixedRate, T) - 1.0);
 
@@ -134,7 +136,8 @@ namespace QuantLib {
             inflationYearFraction(infIndex_->frequency(),
                                   detail::CPI::isInterpolated(observationInterpolation_),
                                   dayCounter_, baseDate_, obsDate_);
-
+        // Year DC can return zero which is not wanted
+        T = T == 0 ? 1 : T;
         return std::pow(growth,1.0/T) - 1.0;
 
         // we cannot use this simple definition because

ql/termstructures/inflation/seasonality.cpp

@@ -248,8 +248,8 @@ namespace QuantLib {
             Time timeFromCurveBase = dc.yearFraction(curveBaseDate, p.first);
             f = std::pow(seasonalityAt, 1 / timeFromCurveBase);
         } else {
-            Rate factor1Ybefore = this->seasonalityFactor(atDate - Period(1, Years));
-            f = factorAt / factor1Ybefore;
+            Rate factorBefore = this->seasonalityFactor(curveBaseDate);
+            f = factorAt / factorBefore;
         }
 
         return (rate + 1) / f - 1;

ql/termstructures/inflationtermstructure.cpp

@@ -228,7 +228,8 @@ namespace QuantLib {
 
     Rate ZeroInflationTermStructure::zeroRate(const Date &d, const Period& instObsLag,
                                               bool forceLinearInterpolation,
-                                              bool extrapolate) const {
+                                              bool extrapolate,
+                                              bool applySeasonality) const {
 
         Period useLag = instObsLag;
         if (instObsLag == Period(-1,Days)) {
@@ -256,7 +257,7 @@ namespace QuantLib {
             zeroRate = zeroRateImpl(t);
         }
 
-        if (hasSeasonality()) {
+        if (hasSeasonality() && applySeasonality) {
             zeroRate = seasonality()->correctZeroRate(d-useLag, zeroRate, *this);
         }
         return zeroRate;

ql/termstructures/inflationtermstructure.hpp

@@ -242,7 +242,8 @@ namespace QuantLib {
         */
         Rate zeroRate(const Date& d, const Period& instObsLag = Period(-1,Days),
                       bool forceLinearInterpolation = false,
-                      bool extrapolate = false) const;
+                      bool extrapolate = false,
+                      bool applySeasonality = true) const;
         //! zero-coupon inflation rate.
         /*! \warning Since inflation is highly linked to dates (lags,
                      interpolation, months for seasonality, etc) this