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Update Inflation example
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Use dates to print
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@kohnech
kohnech committed Feb 28, 2024
1 parent 757f5b2 commit 812db2e
Showing 1 changed file with 48 additions and 29 deletions.
77 changes: 48 additions & 29 deletions Examples/Inflation/main.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -33,9 +33,9 @@ struct Coupon {
Rate rate;
};

ext::shared_ptr<YieldTermStructure> nominalTermStructure(Date studyDate) {
ext::shared_ptr<YieldTermStructure> nominalTermStructure(Date studyDate, Rate baseRate) {
return ext::shared_ptr<YieldTermStructure>(
new FlatForward(studyDate, 0.05, Actual360()));
new FlatForward(studyDate, baseRate, Actual360()));
}

template <class T>
Expand All @@ -60,7 +60,7 @@ int main() {
std::cout << "studyDate:" << studyDate << '\n';
Calendar calendar = UnitedKingdom();
BusinessDayConvention bdc = ModifiedFollowing;
DayCounter dc = Thirty360(Thirty360::BondBasis);
DayCounter dc = Thirty360(Thirty360::European);
Frequency frequency = Monthly;
// Common to YoY and ZC
Actual360 dc360;
Expand All @@ -71,6 +71,9 @@ int main() {
RelinkableHandle<ZeroInflationTermStructure> relinkableZeroTermStructureHandle;
Period availabilityLag(25, Days);
ZeroInflationIndex kpiIndex("UKRPI", UKRegion(), false, Monthly, availabilityLag, GBPCurrency(), relinkableZeroTermStructureHandle);



boost::shared_ptr<ZeroInflationIndex> pKpiIndex =
boost::make_shared<ZeroInflationIndex>(kpiIndex);

Expand Down Expand Up @@ -103,7 +106,8 @@ int main() {
///////////////
// YoY Inflation Swaps

YoYInflationIndex yyIndex(pKpiIndex, false);
bool interpolatedYoy = false;
YoYInflationIndex yyIndex(pKpiIndex, interpolatedYoy);
boost::shared_ptr<YoYInflationIndex> pYoyIndex =
boost::make_shared<YoYInflationIndex>(yyIndex);
Rate yyRate = yyIndex.fixing(Date(1, January, 2024));
Expand Down Expand Up @@ -136,8 +140,10 @@ int main() {
};


// TODO
ext::shared_ptr<YieldTermStructure> yoyNominalTS = nominalTermStructure(studyDate);
//Rate baseYoYRate = 0.03645;//yyIndex.fixing(Date(1, January, 2024));
Rate baseYoYRate = 0.056014;//yyIndex.fixing(Date(1, January, 2024));
std::cout << "baseYoYRate: " << baseYoYRate << '\n';
ext::shared_ptr<YieldTermStructure> yoyNominalTS = nominalTermStructure(studyDate, baseYoYRate);

auto makeHelperYoY = [&](const Handle<Quote>& quote, const Date& maturity) {
return ext::make_shared<YearOnYearInflationSwapHelper>(
Expand All @@ -153,11 +159,6 @@ int main() {

auto helpersYoY = makeHelpers<YoYInflationTermStructure>(yoySwap, makeHelperYoY);

//Rate baseYoYRate = 0.03645;//yyIndex.fixing(Date(1, January, 2024));
Rate baseYoYRate = 0.056014;//yyIndex.fixing(Date(1, January, 2024));

std::cout << "baseYoYRate: " << baseYoYRate << '\n';

auto pYoYIS = ext::make_shared<PiecewiseYoYInflationCurve<Linear>>(
studyDate, baseDate, baseYoYRate, frequency, true, dc, helpersYoY);

Expand Down Expand Up @@ -187,9 +188,11 @@ int main() {
};


boost::shared_ptr<YieldTermStructure> yieldTermStructure(
new FlatForward(studyDate, 0.05, Actual360()));
Handle<YieldTermStructure> nominalTermStructure(yieldTermStructure);
// boost::shared_ptr<YieldTermStructure> yieldTermStructure(
// new FlatForward(studyDate, 0.05, Actual360()));
// Handle<YieldTermStructure> nts(yieldTermStructure);
Rate zcBaseRate = 0.03756250;
ext::shared_ptr<YieldTermStructure> nts = nominalTermStructure(studyDate, zcBaseRate);

auto makeHelper = [&](const Handle<Quote>& quote, const Date& maturity) {
return ext::make_shared<ZeroCouponInflationSwapHelper>(quote,
Expand All @@ -199,8 +202,8 @@ int main() {
bdc,
dc,
pKpiIndex,
CPI::AsIndex,
nominalTermStructure);
CPI::Linear,
Handle<YieldTermStructure>(nts));
};

std::vector<ext::shared_ptr<BootstrapHelper<ZeroInflationTermStructure>>> helpers =
Expand Down Expand Up @@ -230,18 +233,32 @@ int main() {
//////////////////////
// Plot Inflation curve

std::vector<Date> dates = {
Date(1, January, 2024), Date(1, February, 2024), Date(1, March, 2024),
Date(1, April, 2024), Date(1, May, 2024), Date(1, June, 2024),
Date(1, July, 2024), Date(1, August, 2024), Date(1, September, 2024),
Date(1, October, 2024), Date(1, November, 2024), Date(1, December, 2024),
Date(1, January, 2025), Date(1, February, 2025), Date(1, March, 2025),
Date(1, April, 2025), Date(1, May, 2025), Date(1, June, 2025),
Date(1, July, 2025), Date(1, August, 2025), Date(1, September, 2025),
Date(1, October, 2025), Date(1, November, 2025), Date(1, December, 2025),
Date(1, December, 2026), Date(1, December, 2027), Date(1, December, 2028),
Date(1, February, 2029), Date(1, February, 2030), Date(1, February, 2031),
Date(1, February, 2032), Date(1, February, 2033), Date(1, February, 2034),
Date(1, February, 2036), Date(1, February, 2039), Date(1, February, 2044),
Date(1, February, 2049), Date(1, February, 2054), Date(1, February, 2064),
Date(1, December, 2073),
};

Date startDay(1, January, 2024); // Must be after or equal base date
Date toDay(1, September, 2033);
Schedule printSchedule = MakeSchedule().from(startDay).to(toDay).withFrequency(Monthly);


std::vector<Time> x(printSchedule.size());
std::vector<Rate> y(printSchedule.size());
//Date startDay(1, January, 2024); // Must be after or equal base date
//Date toDay(1, September, 2033);
//Schedule printSchedule = MakeSchedule().from(startDay).to(toDay).withFrequency(Monthly);

std::vector<Time> x(dates.size());
std::vector<Rate> y(dates.size());

for (auto day : printSchedule) {
Time t = dc360.yearFraction(startDay, day);
for (auto day : dates) {
Time t = dc360.yearFraction(dates[0], day);
Real spotRate;
if (day < Date(1, November, 2025)) {
std::cout << "YoY benchmarch:" << '\n';
Expand All @@ -268,23 +285,25 @@ int main() {
std::vector<Rate> ii(inflationSchedule.size());
std::cout << "printschedule.size: " << inflationSchedule.size() << '\n' ;
for (auto day : inflationSchedule) {
Time t = dc360.yearFraction(startDay, day);
Time t = dc360.yearFraction(dates[0], day);
Rate index = pKpiIndex->fixing(day);
std::cout << "Time fraction: " << day << '\n';
std::cout << "Inflation index: " << index << '\n';
//std::cout << "Time fraction: " << day << '\n';
//std::cout << "Inflation index: " << index << '\n';
xt.emplace_back(t);
ii.emplace_back(index);
}

////// plot ////////
//////// plot ////////
using namespace matplot;

figure();
title("Spot rate, annual comp");
xlabel("Years");
plot(x, y, "-o");

figure();
title("Inflation index");
xlabel("Years");
plot(xt, ii, "-o");

show();
Expand Down

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