/*
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.
*/
/*
Copyright (C) 2004, 2005, 2006, 2007 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
. 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.
*/
package org.jquantlib.termstructures;
import org.jquantlib.QL;
import org.jquantlib.daycounters.Actual365Fixed;
import org.jquantlib.daycounters.DayCounter;
import org.jquantlib.lang.annotation.Natural;
import org.jquantlib.lang.annotation.Rate;
import org.jquantlib.lang.exceptions.LibraryException;
import org.jquantlib.quotes.Handle;
import org.jquantlib.time.Calendar;
import org.jquantlib.time.Date;
import org.jquantlib.time.Frequency;
import org.jquantlib.time.Month;
import org.jquantlib.time.Period;
import org.jquantlib.time.calendars.NullCalendar;
import org.jquantlib.util.Pair;
/**
*
* Base Class for inflation term structures
*
* @author Tim Blackler
*
*/
public abstract class InflationTermStructure extends AbstractTermStructure {
protected Handle nominalTermStructure;
// connection with base index:
// lag to base date
// index
// whether or not to connect with the index at the short end
// (don't if you have no index set up)
protected Period lag;
protected Frequency frequency;
protected @Rate double baseRate;
public InflationTermStructure(final Period lag,
final Frequency frequency,
final @Rate double baseRate,
final Handle yTS) {
this(lag, frequency, baseRate, yTS, new Actual365Fixed());
}
public InflationTermStructure(final Period lag,
final Frequency frequency,
final @Rate double baseRate,
final Handle yTS,
final DayCounter dayCounter) {
super(dayCounter);
this.nominalTermStructure = yTS;
this.lag = lag;
this.frequency = frequency;
this.baseRate = baseRate;
this.nominalTermStructure.addObserver(this);
}
public InflationTermStructure(final Date referenceDate,
final Period lag,
final Frequency frequency,
final @Rate double baseRate,
final Handle yTS) {
this(referenceDate, lag, frequency, baseRate, yTS, new NullCalendar() ,new Actual365Fixed());
}
public InflationTermStructure(final Date referenceDate,
final Period lag,
final Frequency frequency,
final @Rate double baseRate,
final Handle yTS,
final Calendar calendar,
final DayCounter dayCounter) {
super(referenceDate, calendar, dayCounter);
this.nominalTermStructure = yTS;
this.lag = lag;
this.frequency = frequency;
this.baseRate = baseRate;
this.nominalTermStructure.addObserver(this);
}
public InflationTermStructure( final @Natural int settlementDays,
final Calendar calendar,
final Period lag,
final Frequency frequency,
final @Rate double baseRate,
final Handle yTS) {
this(settlementDays, calendar, lag, frequency, baseRate, yTS, new Actual365Fixed());
}
public InflationTermStructure( final @Natural int settlementDays,
final Calendar calendar,
final Period lag,
final Frequency frequency,
final @Rate double baseRate,
final Handle yTS,
final DayCounter dayCounter) {
super(settlementDays, calendar, dayCounter);
this.nominalTermStructure = yTS;
this.lag = lag;
this.frequency = frequency;
this.baseRate = baseRate;
this.nominalTermStructure.addObserver(this);
}
public Period lag() {
return lag;
}
public Frequency frequency() {
return frequency;
}
public Handle nominalTermStructure() {
return nominalTermStructure;
}
public /*@Rate*/ double baseRate() {
return baseRate;
}
//! minimum (base) date
/*! Important in inflation since it starts before nominal
reference date.
*/
public Date baseDate() {
return new Date(0);
}
@Override
public Date maxDate() {
return new Date(0);
}
// This next part is required for piecewise- constructors
// because, for inflation, they need more than just the
// instruments to build the term structure, since the rate at
// time 0-lag is non-zero, since we deal (effectively) with
// "forwards".
protected void setBaseRate (final @Rate double r) {
baseRate = r;
}
//! utility function giving the inflation period for a given date
public static Pair inflationPeriod(final Date date,
final Frequency frequency) {
Month month = date.month();
int year = date.year();
Month startMonth, endMonth;
switch (frequency) {
case Annual:
startMonth = Month.January;
endMonth = Month.December;
break;
case Semiannual:
startMonth = Month.valueOf(6*(month.value()-1)/6 + 1);
endMonth = Month.valueOf(startMonth.value() + 5);
break;
case Quarterly:
startMonth = Month.valueOf(3*(month.value()-1)/3 + 1);
endMonth = Month.valueOf(startMonth.value() + 2);
break;
case Monthly:
startMonth = endMonth = month;
break;
default:
throw new LibraryException("Frequency not handled: " + frequency);
};
Date startDate = new Date(1, startMonth, year);
Date endDate = Date.endOfMonth(new Date(1, endMonth, year));
return new Pair(startDate, endDate);
}
}
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