some inflation related utilities. More...

#include <ql/indexes/inflationindex.hpp>
#include <ql/termstructures/inflationtermstructure.hpp>
#include <ql/instruments/bond.hpp>
#include <ql/time/period.hpp>
#include <ql/termstructures/inflation/inflationhelpers.hpp>
#include <ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp>

Functions
QuantLib::Time	inflationTime (const QuantLib::Date &date, const boost::shared_ptr< QuantLib::InflationTermStructure > &inflationTs, bool indexIsInterpolated, const QuantLib::DayCounter &dayCounter=QuantLib::DayCounter())

QuantLib::Real	inflationGrowth (const QuantLib::Handle< QuantLib::ZeroInflationTermStructure > &ts, QuantLib::Time t, const QuantLib::DayCounter &dc, bool indexIsInterpolated)

QuantLib::Real	inflationGrowth (const QuantLib::Handle< QuantLib::ZeroInflationTermStructure > &ts, QuantLib::Time t, bool indexIsInterpolated)

QuantLib::Real	inflationLinkedBondQuoteFactor (const boost::shared_ptr< QuantLib::Bond > &bond)

QuantLib::Date	lastAvailableFixing (const QuantLib::ZeroInflationIndex &index, const QuantLib::Date &asof)
	Check if today - availabilityLag is already known, otherwise return the fixingDate of the previous fixing.

QuantLib::Rate	cpiFixing (const boost::shared_ptr< QuantLib::ZeroInflationIndex > &index, const QuantLib::Date &maturity, const QuantLib::Period &obsLag, bool interpolated)
	Computes a CPI fixing giving an zeroIndex, with interpolation if needed.

QuantLib::Date	curveBaseDate (const bool baseDateLastKnownFixing, const QuantLib::Date &refDate, const QuantLib::Period obsLagCurve, const QuantLib::Frequency curveFreq, const boost::shared_ptr< QuantLib::ZeroInflationIndex > &index)
	derives the zero inflation curve base date based on the useLastKnownFixing rule

QuantLib::Date	fixingDate (const QuantLib::Date &d, const QuantLib::Period obsLag, const QuantLib::Frequency, bool interpolated)

QuantLib::Rate	guessCurveBaseRate (const bool baseDateLastKnownFixing, const QuantLib::Date &swapStart, const QuantLib::Date &asof, const QuantLib::Period &swapTenor, const QuantLib::DayCounter &swapZCLegDayCounter, const QuantLib::Period &swapObsLag, const QuantLib::Rate zeroCouponRate, const QuantLib::Period &curveObsLag, const QuantLib::DayCounter &curveDayCounter, const boost::shared_ptr< QuantLib::ZeroInflationIndex > &index, const bool interpolated, const boost::shared_ptr< QuantLib::Seasonality > &seasonality=nullptr)

bool	isCPIVolSurfaceLogNormal (const boost::shared_ptr< QuantLib::CPIVolatilitySurface > &surface)

Detailed Description

some inflation related utilities.

Function Documentation

◆ inflationTime()

QuantLib::Time QuantExt::inflationTime	(	const QuantLib::Date &	date,
		const boost::shared_ptr< QuantLib::InflationTermStructure > &	inflationTs,
		bool	indexIsInterpolated,
		const QuantLib::DayCounter &	dayCounter = `QuantLib::DayCounter()`
	)

Utility function for calculating the time to a given date based on a given inflation index, inflationIndex, and a given inflation term structure, inflationTs. An optional dayCounter can be provided to use instead of the inflation term structure day counter.

◆ inflationGrowth() [1/2]

QuantLib::Real QuantExt::inflationGrowth	(	const QuantLib::Handle< QuantLib::ZeroInflationTermStructure > &	ts,
		QuantLib::Time	t,
		const QuantLib::DayCounter &	dc,
		bool	indexIsInterpolated
	)

Utility for calculating the ratio \( \frac{P_r(0, t)}{P_n(0, t)} \) where \( P_r(0, t) \) is the real zero coupon bond price at time zero for maturity \( t \) and \( P_n(0, t) \) is the nominal zero coupon bond price.

◆ inflationGrowth() [2/2]

QuantLib::Real QuantExt::inflationGrowth	(	const QuantLib::Handle< QuantLib::ZeroInflationTermStructure > &	ts,
		QuantLib::Time	t,
		bool	indexIsInterpolated
	)

Utility for calculating the ratio \( \frac{P_r(0, t)}{P_n(0, t)} \) where \( P_r(0, t) \) is the real zero coupon bond price at time zero for maturity \( t \) and \( P_n(0, t) \) is the nominal zero coupon bond price.

◆ inflationLinkedBondQuoteFactor()

QuantLib::Real QuantExt::inflationLinkedBondQuoteFactor ( const boost::shared_ptr< QuantLib::Bond > & bond )

Calculate the Compound Factor to compute the nominal price from the real price I(t_s)/I(t_0) with I(t_s) the CPI at settlement date and I(t_0) the bond's base CPI

◆ fixingDate()

QuantLib::Date QuantExt::ZeroInflation::fixingDate	(	const QuantLib::Date &	d,
		const QuantLib::Period	obsLag,
		const QuantLib::Frequency	,
		bool	interpolated
	)

computes the fixingDate for ZC CPI Swap following the rule for an interpolated index it is d - obsLag but for an interpolated index the fixing date is per definition on the start of the inflation period in which d - obsLag falls

◆ guessCurveBaseRate()

QuantLib::Rate QuantExt::ZeroInflation::guessCurveBaseRate	(	const bool	baseDateLastKnownFixing,
		const QuantLib::Date &	swapStart,
		const QuantLib::Date &	asof,
		const QuantLib::Period &	swapTenor,
		const QuantLib::DayCounter &	swapZCLegDayCounter,
		const QuantLib::Period &	swapObsLag,
		const QuantLib::Rate	zeroCouponRate,
		const QuantLib::Period &	curveObsLag,
		const QuantLib::DayCounter &	curveDayCounter,
		const boost::shared_ptr< QuantLib::ZeroInflationIndex > &	index,
		const bool	interpolated,
		const boost::shared_ptr< QuantLib::Seasonality > &	seasonality = `nullptr`
	)

Computes the base rate for curve construction so that zero inflation rate is constant up to the first pillar Accounts for the acctual accrued inflation between the ZCIIS base date and the curve base date (e.g. last published fixing date) If curve base date and ZCIIS are the same, then the base rate is the ZCIIS rate

◆ isCPIVolSurfaceLogNormal()

bool QuantExt::ZeroInflation::isCPIVolSurfaceLogNormal ( const boost::shared_ptr< QuantLib::CPIVolatilitySurface > & surface )

checks if the vols are normal or lognormal if the volsurface is not derived from QuantExt::CPIVolatilitySurface we default to lognormal vols

Functions