/usr/include/ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp is in libquantlib0-dev 1.4-2.
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/*
Copyright (C) 2007, 2008 Chris Kenyon
Copyright (C) 2009 StatPro Italia srl
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 interpolatedzeroinflationcurve.hpp
\brief Inflation term structure based on the interpolation of zero rates.
*/
#ifndef quantlib_interpolated_zeroinflationcurve_hpp
#define quantlib_interpolated_zeroinflationcurve_hpp
#include <ql/termstructures/inflationtermstructure.hpp>
#include <ql/termstructures/interpolatedcurve.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/comparison.hpp>
#include <utility>
namespace QuantLib {
//! Inflation term structure based on the interpolation of zero rates.
/*! \ingroup inflationtermstructures */
template<class Interpolator>
class InterpolatedZeroInflationCurve
: public ZeroInflationTermStructure,
protected InterpolatedCurve<Interpolator> {
public:
InterpolatedZeroInflationCurve(const Date& referenceDate,
const Calendar& calendar,
const DayCounter& dayCounter,
const Period& lag,
Frequency frequency,
bool indexIsInterpolated,
const Handle<YieldTermStructure>& yTS,
const std::vector<Date>& dates,
const std::vector<Rate>& rates,
const Interpolator &interpolator
= Interpolator());
//! \name InflationTermStructure interface
//@{
Date baseDate() const;
Date maxDate() const;
//@}
//! \name Inspectors
//@{
const std::vector<Date>& dates() const;
const std::vector<Time>& times() const;
const std::vector<Real>& data() const;
const std::vector<Rate>& rates() const;
std::vector<std::pair<Date,Rate> > nodes() const;
//@}
protected:
//! \name ZeroInflationTermStructure Interface
//@{
Rate zeroRateImpl(Time t) const;
//@}
mutable std::vector<Date> dates_;
/*! Protected version for use when descendents don't want to
(or can't) provide the points for interpolation on
construction.
*/
InterpolatedZeroInflationCurve(const Date& referenceDate,
const Calendar& calendar,
const DayCounter& dayCounter,
const Period& lag,
Frequency frequency,
bool indexIsInterpolated,
Rate baseZeroRate,
const Handle<YieldTermStructure>& yTS,
const Interpolator &interpolator
= Interpolator());
};
typedef InterpolatedZeroInflationCurve<Linear> ZeroInflationCurve;
// template definitions
template <class Interpolator>
InterpolatedZeroInflationCurve<Interpolator>::
InterpolatedZeroInflationCurve(const Date& referenceDate,
const Calendar& calendar,
const DayCounter& dayCounter,
const Period& lag,
Frequency frequency,
bool indexIsInterpolated,
const Handle<YieldTermStructure>& yTS,
const std::vector<Date>& dates,
const std::vector<Rate>& rates,
const Interpolator& interpolator)
: ZeroInflationTermStructure(referenceDate, calendar, dayCounter, rates[0],
lag, frequency, indexIsInterpolated, yTS),
InterpolatedCurve<Interpolator>(std::vector<Time>(), rates, interpolator),
dates_(dates) {
QL_REQUIRE(dates_.size() > 1, "too few dates: " << dates_.size());
// check that the data starts from the beginning,
// i.e. referenceDate - lag, at least must be in the relevant
// period
std::pair<Date,Date> lim =
inflationPeriod(yTS->referenceDate() - this->observationLag(), frequency);
QL_REQUIRE(lim.first <= dates_[0] && dates_[0] <= lim.second,
"first data date is not in base period, date: " << dates_[0]
<< " not within [" << lim.first << "," << lim.second << "]");
// by convention, if the index is not interpolated we pull all the dates
// back to the start of their inflationPeriods
// otherwise the time calculations will be inconsistent
if (!indexIsInterpolated_) {
for (Size i = 0; i < dates_.size(); i++) {
dates_[i] = inflationPeriod(dates_[i], frequency).first;
}
}
QL_REQUIRE(this->data_.size() == dates_.size(),
"indices/dates count mismatch: "
<< this->data_.size() << " vs " << dates_.size());
this->times_.resize(dates_.size());
this->times_[0] = timeFromReference(dates_[0]);
for (Size i = 1; i < dates_.size(); i++) {
QL_REQUIRE(dates_[i] > dates_[i-1],
"dates not sorted");
// but must be greater than -1
QL_REQUIRE(this->data_[i] > -1.0, "zero inflation data < -100 %");
// this can be negative
this->times_[i] = timeFromReference(dates_[i]);
QL_REQUIRE(!close(this->times_[i],this->times_[i-1]),
"two dates correspond to the same time "
"under this curve's day count convention");
}
this->interpolation_ =
this->interpolator_.interpolate(this->times_.begin(),
this->times_.end(),
this->data_.begin());
this->interpolation_.update();
}
template <class Interpolator>
InterpolatedZeroInflationCurve<Interpolator>::
InterpolatedZeroInflationCurve(const Date& referenceDate,
const Calendar& calendar,
const DayCounter& dayCounter,
const Period& lag,
Frequency frequency,
bool indexIsInterpolated,
Rate baseZeroRate,
const Handle<YieldTermStructure>& yTS,
const Interpolator& interpolator)
: ZeroInflationTermStructure(referenceDate, calendar, dayCounter, baseZeroRate,
lag, frequency, indexIsInterpolated, yTS),
InterpolatedCurve<Interpolator>(interpolator) {
}
template <class T>
Date InterpolatedZeroInflationCurve<T>::baseDate() const {
// if indexIsInterpolated we fixed the dates in the constructor
return dates_.front();
}
template <class T>
Date InterpolatedZeroInflationCurve<T>::maxDate() const {
Date d;
if (indexIsInterpolated()) {
d = dates_.back();
} else {
d = inflationPeriod(dates_.back(), frequency()).second;
}
return d;
}
template <class T>
inline Rate InterpolatedZeroInflationCurve<T>::zeroRateImpl(Time t) const {
return this->interpolation_(t, true);
}
template <class T>
inline const std::vector<Time>&
InterpolatedZeroInflationCurve<T>::times() const {
return this->times_;
}
template <class T>
inline const std::vector<Date>&
InterpolatedZeroInflationCurve<T>::dates() const {
return dates_;
}
template <class T>
inline const std::vector<Rate>&
InterpolatedZeroInflationCurve<T>::rates() const {
return this->data_;
}
template <class T>
inline const std::vector<Real>&
InterpolatedZeroInflationCurve<T>::data() const {
return this->data_;
}
template <class T>
inline std::vector<std::pair<Date,Rate> >
InterpolatedZeroInflationCurve<T>::nodes() const {
std::vector<std::pair<Date,Rate> > results(dates_.size());
for (Size i=0; i<dates_.size(); ++i)
results[i] = std::make_pair(dates_[i],this->data_[i]);
return results;
}
}
#endif
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