Merge pull request #1149.

Deprecate nominal term structure contained in inflation curves
lballabio · Jul 16, 2021 · 470a070 · 470a070
2 parents 29e05f3 + 5ae8b94
commit 470a070
Show file tree

Hide file tree

Showing 7 changed files with 42 additions and 1 deletion.
diff --git a/ql/cashflows/cpicouponpricer.cpp b/ql/cashflows/cpicouponpricer.cpp
@@ -122,12 +122,15 @@ namespace QuantLib {
         gearing_ = coupon_->fixedRate();
         spread_ = coupon_->spread();
         paymentDate_ = coupon_->date();
+
+        QL_DEPRECATED_DISABLE_WARNING
         rateCurve_ =
             !nominalTermStructure_.empty() ?
             nominalTermStructure_ :
             ext::dynamic_pointer_cast<ZeroInflationIndex>(coupon.index())
             ->zeroInflationTermStructure()
             ->nominalTermStructure();
+        QL_DEPRECATED_ENABLE_WARNING
 
         // past or future fixing is managed in YoYInflationIndex::fixing()
         // use yield curve from index (which sets discount)

diff --git a/ql/cashflows/inflationcouponpricer.cpp b/ql/cashflows/inflationcouponpricer.cpp
@@ -138,12 +138,15 @@ namespace QuantLib {
         gearing_ = coupon_->gearing();
         spread_ = coupon_->spread();
         paymentDate_ = coupon_->date();
+
+        QL_DEPRECATED_DISABLE_WARNING
         rateCurve_ =
             !nominalTermStructure_.empty() ?
             nominalTermStructure_ :
             ext::dynamic_pointer_cast<YoYInflationIndex>(coupon.index())
             ->yoyInflationTermStructure()
             ->nominalTermStructure();
+        QL_DEPRECATED_ENABLE_WARNING
 
         // past or future fixing is managed in YoYInflationIndex::fixing()
         // use yield curve from index (which sets discount)

diff --git a/ql/instruments/makeyoyinflationcapfloor.cpp b/ql/instruments/makeyoyinflationcapfloor.cpp
@@ -83,7 +83,9 @@ namespace QuantLib {
                 QL_REQUIRE(!index_->yoyInflationTermStructure().empty(),
                            "no forecasting yoy term structure set for " <<
                            index_->name());
+                QL_DEPRECATED_DISABLE_WARNING
                 fc = index_->yoyInflationTermStructure()->nominalTermStructure();
+                QL_DEPRECATED_ENABLE_WARNING
             }
             strikeVector[0] = CashFlows::atmRate(leg,**fc,
                                                  false, fc->referenceDate());

diff --git a/ql/pricingengines/inflation/inflationcapfloorengines.cpp b/ql/pricingengines/inflation/inflationcapfloorengines.cpp
@@ -61,10 +61,14 @@ namespace QuantLib {
 
         Handle<YoYInflationTermStructure> yoyTS
         = index()->yoyInflationTermStructure();
+
+        QL_DEPRECATED_DISABLE_WARNING
         Handle<YieldTermStructure> nominalTS =
             !nominalTermStructure_.empty() ?
             nominalTermStructure_ :
             yoyTS->nominalTermStructure();
+        QL_DEPRECATED_ENABLE_WARNING
+
         Date settlement = nominalTS->referenceDate();
 
         for (Size i=0; i<optionlets; ++i) {

diff --git a/ql/termstructures/inflation/inflationhelpers.cpp b/ql/termstructures/inflation/inflationhelpers.cpp
@@ -116,8 +116,10 @@ namespace QuantLib {
 
         ext::shared_ptr<ZeroInflationIndex> new_zii = zii_->clone(zits);
 
+        QL_DEPRECATED_DISABLE_WARNING
         Handle<YieldTermStructure> nominalTS =
             !nominalTermStructure_.empty() ? nominalTermStructure_ : z->nominalTermStructure();
+        QL_DEPRECATED_ENABLE_WARNING
 
         Real nominal = 1000000.0; // has to be something but doesn't matter what
         Date start = nominalTS->referenceDate();
@@ -223,8 +225,11 @@ namespace QuantLib {
 
         // The instrument takes a standard discounting swap engine.
         // The inflation-related work is done by the coupons.
+        QL_DEPRECATED_DISABLE_WARNING
         Handle<YieldTermStructure> nominalTS =
             !nominalTermStructure_.empty() ? nominalTermStructure_ : y->nominalTermStructure();
+        QL_DEPRECATED_ENABLE_WARNING
+
         yyiis_->setPricingEngine(
             ext::shared_ptr<PricingEngine>(new DiscountingSwapEngine(nominalTS)));
     }

diff --git a/ql/termstructures/inflationtermstructure.cpp b/ql/termstructures/inflationtermstructure.cpp
@@ -23,6 +23,8 @@
 
 namespace QuantLib {
 
+    QL_DEPRECATED_DISABLE_WARNING
+
     InflationTermStructure::InflationTermStructure(
                                         Rate baseRate,
                                         const Period& observationLag,
@@ -68,6 +70,7 @@ namespace QuantLib {
         setSeasonality(seasonality);
     }
 
+    QL_DEPRECATED_ENABLE_WARNING
 
     void InflationTermStructure::setSeasonality(
                           const ext::shared_ptr<Seasonality>& seasonality) {

diff --git a/ql/termstructures/inflationtermstructure.hpp b/ql/termstructures/inflationtermstructure.hpp
@@ -30,6 +30,8 @@
 namespace QuantLib {
     class InflationIndex;
 
+    QL_DEPRECATED_DISABLE_WARNING
+
     //! Interface for inflation term structures.
     /*! \ingroup inflationtermstructures */
     class InflationTermStructure : public TermStructure {
@@ -69,7 +71,6 @@ namespace QuantLib {
         virtual Frequency frequency() const;
         virtual bool indexIsInterpolated() const;
         virtual Rate baseRate() const;
-        virtual Handle<YieldTermStructure> nominalTermStructure() const;
 
         //! minimum (base) date
         /*! Important in inflation since it starts before nominal
@@ -84,6 +85,14 @@ namespace QuantLib {
         virtual Date baseDate() const = 0;
         //@}
 
+        /*! \deprecated Don't use this method.  Objects such as pricers
+                        or bootstrap helpers that need a nominal curve
+                        should be passed one explicitly.
+                        Deprecated in version 1.24.
+        */
+        QL_DEPRECATED 
+        virtual Handle<YieldTermStructure> nominalTermStructure() const;
+
         //! Functions to set and get seasonality.
         /*! Calling setSeasonality with no arguments means unsetting
             as the default is used to choose unsetting.
@@ -114,9 +123,19 @@ namespace QuantLib {
         Frequency frequency_;
         bool indexIsInterpolated_;
         mutable Rate baseRate_;
+        /*! \deprecated Don't use this data member.  If you're
+                        inheriting from InflationTermStructure, don't
+                        have your class take a nominal curve.  Objects
+                        such as pricers or bootstrap helpers that need
+                        a nominal curve should be passed one
+                        explicitly.
+                        Deprecated in version 1.24.
+        */
+        QL_DEPRECATED 
         Handle<YieldTermStructure> nominalTermStructure_;
     };
 
+    QL_DEPRECATED_ENABLE_WARNING
 
     //! Interface for zero inflation term structures.
     // Child classes use templates but do not want that exposed to
@@ -271,10 +290,12 @@ namespace QuantLib {
         return baseRate_;
     }
 
+    QL_DEPRECATED_DISABLE_WARNING
     inline Handle<YieldTermStructure>
     InflationTermStructure::nominalTermStructure() const {
         return nominalTermStructure_;
     }
+    QL_DEPRECATED_ENABLE_WARNING
 
     inline ext::shared_ptr<Seasonality> InflationTermStructure::seasonality() const {
         return seasonality_;