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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 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.
*/
/*! \file inflationindex.hpp
\brief base classes for inflation indexes
*/
#ifndef quantlib_inflation_index_hpp
#define quantlib_inflation_index_hpp
#include <ql/index.hpp>
#include <ql/indexes/region.hpp>
#include <ql/termstructures/inflationtermstructure.hpp>
#include <ql/currency.hpp>
#include <ql/handle.hpp>
namespace QuantLib {
class ZeroInflationTermStructure;
class YoYInflationTermStructure;
//! Base class for inflation-rate indexes,
class InflationIndex : public Index, public Observer {
public:
/*! An inflation index may return interpolated
values. These are linearly interpolated
values with act/act convention within a period.
Note that stored "fixings" are always flat (constant)
within a period and interpolated as needed. This
is because interpolation adds an addional availability
lag (because you always need the next period to
give the previous period's value)
and enables storage of the most recent uninterpolated value.
*/
InflationIndex(const std::string& familyName,
const Region& region,
bool revised,
bool interpolated,
Frequency frequency,
const Period& availabilitiyLag,
const Currency& currency);
//! \name Index interface
//@{
std::string name() const;
/*! Inflation indices do not have fixing calendars. An
inflation index value is valid for every day (including
weekends) of a calendar period. I.e. it uses the
NullCalendar as its fixing calendar.
*/
Calendar fixingCalendar() const;
bool isValidFixingDate(const Date&) const { return true; }
/*! Forecasting index values requires an inflation term
structure. The inflation term structure (ITS) defines the
usual lag (not the index). I.e. an ITS is always relatve
to a base date that is earlier than its asof date. This
must be so because indices are available only with a lag.
However, the index availability lag only sets a minimum
lag for the ITS. An ITS may be relative to an earlier
date, e.g. an index may have a 2-month delay in
publication but the inflation swaps may take as their base
the index 3 months before.
*/
Rate fixing(const Date& fixingDate,
bool forecastTodaysFixing = false) const = 0;
/*! this method creates all the "fixings" for the relevant
period of the index. E.g. for monthly indices it will put
the same value in every calendar day in the month.
*/
void addFixing(const Date& fixingDate,
Rate fixing,
bool forceOverwrite = false);
//@}
//! \name Observer interface
//@{
void update();
//@}
//! \name Inspectors
//@{
std::string familyName() const;
Region region() const;
bool revised() const;
/*! Forecasting index values using an inflation term structure
uses the interpolation of the inflation term structure
unless interpolation is set to false. In this case the
extrapolated values are constant within each period taking
the mid-period extrapolated value.
*/
bool interpolated() const;
Frequency frequency() const;
/*! The availability lag describes when the index is
<i>available</i>, not how it is used. Specifically the
fixing for, say, January, may only be available in April
but the index will always return the index value
applicable for January as its January fixing (independent
of the lag in availability).
*/
Period availabilityLag() const;
Currency currency() const;
//@}
protected:
Date referenceDate_;
std::string familyName_;
Region region_;
bool revised_;
bool interpolated_;
Frequency frequency_;
Period availabilityLag_;
Currency currency_;
private:
std::string name_;
};
//! Base class for zero inflation indices.
class ZeroInflationIndex : public InflationIndex {
public:
//! Always use the evaluation date as the reference date
ZeroInflationIndex(const std::string& familyName,
const Region& region,
bool revised,
bool interpolated,
Frequency frequency,
const Period& availabilityLag,
const Currency& currency,
const Handle<ZeroInflationTermStructure>& ts =
Handle<ZeroInflationTermStructure>());
//! \name Index interface
//@{
/*! \warning the forecastTodaysFixing parameter (required by
the Index interface) is currently ignored.
*/
Rate fixing(const Date& fixingDate,
bool forecastTodaysFixing = false) const;
//@}
//! \name Other methods
//@{
Handle<ZeroInflationTermStructure> zeroInflationTermStructure() const;
ext::shared_ptr<ZeroInflationIndex> clone(
const Handle<ZeroInflationTermStructure>& h) const;
//@}
private:
bool needsForecast(const Date& fixingDate) const;
Rate forecastFixing(const Date& fixingDate) const;
Handle<ZeroInflationTermStructure> zeroInflation_;
};
//! Base class for year-on-year inflation indices.
/*! These may be genuine indices published on, say, Bloomberg, or
"fake" indices that are defined as the ratio of an index at
different time points.
*/
class YoYInflationIndex : public InflationIndex {
public:
YoYInflationIndex(const std::string& familyName,
const Region& region,
bool revised,
bool interpolated,
bool ratio, // is this one a genuine index or a ratio?
Frequency frequency,
const Period& availabilityLag,
const Currency& currency,
const Handle<YoYInflationTermStructure>& ts =
Handle<YoYInflationTermStructure>());
//! \name Index interface
//@{
/*! \warning the forecastTodaysFixing parameter (required by
the Index interface) is currently ignored.
*/
Rate fixing(const Date& fixingDate,
bool forecastTodaysFixing = false) const;
//@}
//! \name Other methods
//@{
bool ratio() const;
Handle<YoYInflationTermStructure> yoyInflationTermStructure() const;
ext::shared_ptr<YoYInflationIndex> clone(
const Handle<YoYInflationTermStructure>& h) const;
//@}
private:
Rate forecastFixing(const Date& fixingDate) const;
bool ratio_;
Handle<YoYInflationTermStructure> yoyInflation_;
};
// inline
inline std::string InflationIndex::name() const {
return name_;
}
inline void InflationIndex::update() {
notifyObservers();
}
inline std::string InflationIndex::familyName() const {
return familyName_;
}
inline Region InflationIndex::region() const {
return region_;
}
inline bool InflationIndex::revised() const {
return revised_;
}
inline bool InflationIndex::interpolated() const {
return interpolated_;
}
inline Frequency InflationIndex::frequency() const {
return frequency_;
}
inline Period InflationIndex::availabilityLag() const {
return availabilityLag_;
}
inline Currency InflationIndex::currency() const {
return currency_;
}
inline Handle<ZeroInflationTermStructure>
ZeroInflationIndex::zeroInflationTermStructure() const {
return zeroInflation_;
}
inline bool YoYInflationIndex::ratio() const {
return ratio_;
}
inline Handle<YoYInflationTermStructure>
YoYInflationIndex::yoyInflationTermStructure() const {
return yoyInflation_;
}
}
#endif
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