Reuse CPI code in zero-inflation cashflow

lballabio · Feb 16, 2022 · 1869520 · 1869520
1 parent 8bad5b0
commit 1869520
Showing 1 changed file with 4 additions and 20 deletions.
diff --git a/ql/cashflows/zeroinflationcashflow.cpp b/ql/cashflows/zeroinflationcashflow.cpp
@@ -55,34 +55,18 @@ namespace QuantLib {
 
     Real ZeroInflationCashFlow::amount() const {
 
-        auto baseDatePeriod = inflationPeriod(baseDate(), zeroInflationIndex()->frequency());
-        auto fixingDatePeriod = inflationPeriod(fixingDate(), zeroInflationIndex()->frequency());
-
         Real I0, I1;
 
         if (observationInterpolation_ == CPI::AsIndex) {
             I0 = zeroInflationIndex_->fixing(baseDate());
             I1 = zeroInflationIndex_->fixing(fixingDate());
         } else if (observationInterpolation_ == CPI::Linear) {
-            auto getInterpolatedFixing = [this](const std::pair<Date, Date>& fixingPeriod,
-                                                 const Date& date) -> Real {
-                auto oneDay = Period(1, Days);
-                auto startIndex = zeroInflationIndex_->fixing(fixingPeriod.first);
-                auto endIndex = zeroInflationIndex_->fixing(fixingPeriod.second + oneDay);
-
-                auto interpolationPeriod = inflationPeriod(date, zeroInflationIndex()->frequency());
-
-                return startIndex + (endIndex - startIndex) * (date - interpolationPeriod.first) /
-                    (Real)((interpolationPeriod.second + oneDay) - interpolationPeriod.first);
-            };
-
-            I0 = getInterpolatedFixing(baseDatePeriod, startDate_);
-            I1 = getInterpolatedFixing(fixingDatePeriod, endDate_);
+            I0 = CPI::interpolatedFixing(zeroInflationIndex_, startDate_, observationLag_);
+            I1 = CPI::interpolatedFixing(zeroInflationIndex_, endDate_, observationLag_);
         } else if (observationInterpolation_ == CPI::Flat) {
-            I0 = zeroInflationIndex_->fixing(baseDatePeriod.first);
-            I1 = zeroInflationIndex_->fixing(fixingDatePeriod.first);
+            I0 = CPI::flatFixing(zeroInflationIndex_, startDate_, observationLag_);
+            I1 = CPI::flatFixing(zeroInflationIndex_, endDate_, observationLag_);
         } else {
-            // We should not end up here...
             QL_FAIL("Unknown ZeroInflationInterpolationType.");
         }