Make ZeroInflationCashFlow properly lazy (#1947)

lballabio · Apr 12, 2024 · 2eca967 · 2eca967
2 parents 0d57fb4 + d6beb70
commit 2eca967
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Showing 4 changed files with 43 additions and 5 deletions.
diff --git a/ql/cashflows/indexedcashflow.hpp b/ql/cashflows/indexedcashflow.hpp
@@ -73,12 +73,13 @@ namespace QuantLib {
         //@{
         void performCalculations() const override;
         //@}
+      protected:
+        mutable Real amount_;
       private:
         Real notional_;
         ext::shared_ptr<Index> index_;
         Date baseDate_, fixingDate_, paymentDate_;
         bool growthOnly_;
-        mutable Real amount_;
     };
 
 

diff --git a/ql/cashflows/zeroinflationcashflow.cpp b/ql/cashflows/zeroinflationcashflow.cpp
@@ -38,7 +38,7 @@ namespace QuantLib {
       zeroInflationIndex_(index), observationInterpolation_(observationInterpolation),
       startDate_(startDate), endDate_(endDate), observationLag_(observationLag) {}
 
-    Real ZeroInflationCashFlow::amount() const {
+    void ZeroInflationCashFlow::performCalculations() const {
 
         Real I0, I1;
 
@@ -51,9 +51,9 @@ namespace QuantLib {
         }
 
         if (growthOnly())
-            return notional() * (I1 / I0 - 1.0);
+            amount_ = notional() * (I1 / I0 - 1.0);
         else
-            return notional() * (I1 / I0);
+            amount_ = notional() * (I1 / I0);
     }
 
     void ZeroInflationCashFlow::accept(AcyclicVisitor& v) {

diff --git a/ql/cashflows/zeroinflationcashflow.hpp b/ql/cashflows/zeroinflationcashflow.hpp
@@ -61,7 +61,7 @@ namespace QuantLib {
 
         //! \name CashFlow interface
         //@{
-        Real amount() const override;
+        void performCalculations() const override;
         //@}
         //! \name Visitability
         //@{

diff --git a/test-suite/inflation.cpp b/test-suite/inflation.cpp
@@ -40,6 +40,7 @@
 #include <ql/cashflows/yoyinflationcoupon.hpp>
 #include <ql/cashflows/inflationcouponpricer.hpp>
 #include <ql/cashflows/fixedratecoupon.hpp>
+#include <ql/cashflows/zeroinflationcashflow.hpp>
 #include <ql/instruments/yearonyearinflationswap.hpp>
 #include <functional>
 
@@ -1602,6 +1603,42 @@ BOOST_AUTO_TEST_CASE(testCpiAsIndexInterpolation) {
                         "\n    calculated: " << calculated);
 }
 
+BOOST_AUTO_TEST_CASE(testNotifications) {
+    BOOST_TEST_MESSAGE("Testing notifications from zero-inflation cash flow...");
+
+    Date today = Settings::instance().evaluationDate();
+    Real nominal = 10000.0;
+
+    std::vector<Date> dates = { today - 3*Months, today + 5*Years };
+    std::vector<Rate> rates = { 0.02, 0.02 };
+
+    RelinkableHandle<ZeroInflationTermStructure> inflation_handle;
+    inflation_handle.linkTo(
+            ext::make_shared<ZeroInflationCurve>(today, dates, rates, Monthly, Actual360()));
+
+    auto index = ext::make_shared<UKRPI>(inflation_handle);
+    index->addFixing(inflationPeriod(today - 3 * Months, index->frequency()).first, 100.0);
+    auto cashflow =
+        ext::make_shared<ZeroInflationCashFlow>(nominal,
+                                                index,
+                                                CPI::Flat,
+                                                today,
+                                                today + 1 * Years,
+                                                3 * Months,
+                                                today + 1 * Years);
+    cashflow->amount();
+
+    Flag flag;
+    flag.registerWith(cashflow);
+    flag.lower();
+
+    inflation_handle.linkTo(
+            ext::make_shared<ZeroInflationCurve>(today, dates, rates, Monthly, Actual360()));
+
+    if (!flag.isUp())
+        BOOST_FAIL("cash flow did not notify observer of curve change");
+}
+
 BOOST_AUTO_TEST_SUITE_END()
 
 BOOST_AUTO_TEST_SUITE_END()