/*
Copyright (C) 2011 Tim Blackler
This source code is release under the BSD License.
This file is part of JQuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://jquantlib.org/
JQuantLib is free software: you can redistribute it and/or modify it
under the terms of the JQuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
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.
JQuantLib is based on QuantLib. http://quantlib.org/
When applicable, the original copyright notice follows this notice.
*/
package org.jquantlib.indexes;
import java.util.ArrayList;
import java.util.List;
import org.jquantlib.Settings;
import org.jquantlib.currencies.Currency;
import org.jquantlib.lang.annotation.Real;
import org.jquantlib.termstructures.InflationTermStructure;
import org.jquantlib.time.Calendar;
import org.jquantlib.time.Date;
import org.jquantlib.time.Frequency;
import org.jquantlib.time.Period;
import org.jquantlib.time.calendars.NullCalendar;
import org.jquantlib.util.Observer;
import org.jquantlib.util.Pair;
/**
*
* @author Tim Blackler
*
*/
// TODO: code review :: please verify against QL/C++ code
// TODO: code review :: license, class comments, comments for access modifiers, comments for @Override
public abstract class InflationIndex extends Index implements Observer {
protected String familyName;
protected Region region;
protected boolean revised;
protected boolean interpolated;
protected Frequency frequency;
protected Period availabilityLag;
protected Currency currency;
public InflationIndex( final String familyName,
final Region region,
final boolean revised,
final boolean interpolated,
final Frequency frequency,
final Period availabilityLag,
final Currency currency) {
this.familyName = familyName;
this.region = region;
this.revised = revised;
this.interpolated = interpolated;
this.availabilityLag = availabilityLag;
this.currency = currency;
new Settings().evaluationDate().addObserver(this);
IndexManager.getInstance().notifier(name()).addObserver(this);
}
@Override
public String name() {
final StringBuilder builder = new StringBuilder(region.name());
builder.append(" ");
builder.append(familyName);
return builder.toString();
}
@Override
/** Inflation indices do not have fixing calendars. An inflation index value is valid for every day (including
* weekends) of a calendar period. I.e. it uses the NullCalendar as its fixing calendar.
**/
public Calendar fixingCalendar() {
return new NullCalendar();
}
@Override
public boolean isValidFixingDate(final Date fixingDate) {
return true;
}
public String familyName() {
return familyName;
}
public Region region() {
return region;
}
public boolean revised() {
return revised;
}
public boolean interpolated() {
return interpolated;
}
public Frequency frequency() {
return frequency;
}
/** The availability lag describes when the index is
* available, not how it is used. Specifically the
* fixing for, say, January, may only be available in April
* but the index will always return the index value
* applicable for January as its January fixing (independent
* of the lag in availability).
**/
public Period availabilityLag() {
return availabilityLag;
}
public Currency currency() {
return currency;
}
//
// public methods
//
@Override
/** this method creates all the "fixings" for the relevant
* period of the index. E.g. for monthly indices it will put
* the same value in every calendar day in the month.
**/
public void addFixing (final Date fixingDate,
final @Real double fixing,
boolean forceOverwrite) {
Pair lim = InflationTermStructure.inflationPeriod(fixingDate, frequency);
int n = (int)(lim.second().inc().sub(lim.first()));
List dates = new ArrayList();
List rates = new ArrayList();
for (int i = 0; i < n; i++) {
dates.add(i, lim.first().add(i));
rates.add(i, Double.valueOf(fixing));
}
super.addFixings(dates.iterator(), rates.iterator(), forceOverwrite);
}
@Override
//XXX::OBS public void update(final Observable o, final Object arg) {
public void update() {
//XXX::OBS notifyObservers(arg);
notifyObservers();
}
}
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