/usr/include/ql/termstructures/inflation/inflationtraits.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2007 Chris Kenyon
Copyright (C) 2007, 2008 StatPro Italia srl
Copyright (C) 2011 Ferdinando Ametrano
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 inflationtraits.hpp
\brief inflation bootstrap traits
*/
#ifndef ql_inflation_bootstrap_traits_hpp
#define ql_inflation_bootstrap_traits_hpp
#include <ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp>
#include <ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp>
#include <ql/termstructures/bootstraphelper.hpp>
namespace QuantLib {
namespace detail {
const Rate avgInflation = 0.02;
const Rate maxInflation = 0.5;
}
//! Bootstrap traits to use for PiecewiseZeroInflationCurve
class ZeroInflationTraits {
public:
typedef BootstrapHelper<ZeroInflationTermStructure> helper;
// start of curve data
static Date initialDate(const ZeroInflationTermStructure* t) {
if (t->indexIsInterpolated()) {
return t->referenceDate() - t->observationLag();
} else {
return inflationPeriod(t->referenceDate() - t->observationLag(),
t->frequency()).first;
}
}
// value at reference date
static Rate initialValue(const ZeroInflationTermStructure* t) {
return t->baseRate();
}
// guesses
template <class C>
static Rate guess(Size i,
const C* c,
bool validData,
Size) // firstAliveHelper
{
if (validData) // previous iteration value
return c->data()[i];
if (i==1) // first pillar
return detail::avgInflation;
// could/should extrapolate
return detail::avgInflation;
}
// constraints
template <class C>
static Rate minValueAfter(Size i,
const C* c,
bool validData,
Size) // firstAliveHelper
{
if (validData) {
Rate r = *(std::min_element(c->data().begin(), c->data().end()));
return r<0.0 ? r*2.0 : r/2.0;
}
return -detail::maxInflation;
}
template <class C>
static Rate maxValueAfter(Size i,
const C* c,
bool validData,
Size) // firstAliveHelper
{
if (validData) {
Rate r = *(std::max_element(c->data().begin(), c->data().end()));
return r<0.0 ? r/2.0 : r*2.0;
}
// no constraints.
// We choose as max a value very unlikely to be exceeded.
return detail::maxInflation;
}
// update with new guess
static void updateGuess(std::vector<Rate>& data,
Rate level,
Size i) {
data[i] = level;
}
// upper bound for convergence loop
// calibration is trivial, should be immediate
static Size maxIterations() { return 5; }
};
//! Bootstrap traits to use for PiecewiseZeroInflationCurve
class YoYInflationTraits {
public:
// helper class
typedef BootstrapHelper<YoYInflationTermStructure> helper;
// start of curve data
static Date initialDate(const YoYInflationTermStructure* t) {
if (t->indexIsInterpolated()) {
return t->referenceDate() - t->observationLag();
} else {
return inflationPeriod(t->referenceDate() - t->observationLag(),
t->frequency()).first;
}
}
// value at reference date
static Rate initialValue(const YoYInflationTermStructure* t) {
return t->baseRate();
}
// guesses
template <class C>
static Rate guess(Size i,
const C* c,
bool validData,
Size) // firstAliveHelper
{
if (validData) // previous iteration value
return c->data()[i];
if (i==1) // first pillar
return detail::avgInflation;
// could/should extrapolate
return detail::avgInflation;
}
// constraints
template <class C>
static Rate minValueAfter(Size i,
const C* c,
bool validData,
Size) // firstAliveHelper
{
if (validData) {
Rate r = *(std::min_element(c->data().begin(), c->data().end()));
return r<0.0 ? r*2.0 : r/2.0;
}
return -detail::maxInflation;
}
template <class C>
static Rate maxValueAfter(Size i,
const C* c,
bool validData,
Size) // firstAliveHelper
{
if (validData) {
Rate r = *(std::max_element(c->data().begin(), c->data().end()));
return r<0.0 ? r/2.0 : r*2.0;
}
// no constraints.
// We choose as max a value very unlikely to be exceeded.
return detail::maxInflation;
}
// update with new guess
static void updateGuess(std::vector<Rate>& data,
Rate level,
Size i) {
data[i] = level;
}
// upper bound for convergence loop
static Size maxIterations() { return 40; }
};
}
#endif
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