More uses of CPI::laggedFixing and laggedYoYRate

lballabio · Sep 19, 2024 · 6061700 · 6061700
1 parent 9686bae
commit 6061700
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Showing 9 changed files with 29 additions and 53 deletions.
diff --git a/ql/cashflows/cpicoupon.cpp b/ql/cashflows/cpicoupon.cpp
@@ -166,33 +166,14 @@ namespace QuantLib {
     }
 
     Real CPICashFlow::baseFixing() const {
-        return baseFixing_;
+        if (baseFixing_ != Null<Rate>())
+            return baseFixing_;
+        else
+            return CPI::laggedFixing(cpiIndex(), baseDate(), 0 * Months, interpolation_);
     }
 
     Real CPICashFlow::indexFixing() const {
-        if (observationDate_ != Date()) {
-            return CPI::laggedFixing(cpiIndex(), observationDate_, observationLag_, interpolation_);
-        } else {
-            // we get to this branch when the deprecated constructor was used; it will be phased out
-            return CPI::laggedFixing(cpiIndex(), fixingDate() + observationLag_, observationLag_,
-                                     interpolation_);
-        }
-    }
-
-    Real CPICashFlow::amount() const {
-        Rate I0 = baseFixing();
-
-        // If BaseFixing is null, use the observed index fixing
-        if (I0 == Null<Rate>()) {
-            I0 = IndexedCashFlow::baseFixing();
-        }
-
-        Rate I1 = indexFixing();
-
-        if (growthOnly())
-            return notional() * (I1 / I0 - 1.0);
-        else
-            return notional() * (I1 / I0);
+        return CPI::laggedFixing(cpiIndex(), observationDate_, observationLag_, interpolation_);
     }
 
     CPILeg::CPILeg(Schedule schedule,

diff --git a/ql/cashflows/cpicoupon.hpp b/ql/cashflows/cpicoupon.hpp
@@ -191,8 +191,6 @@ namespace QuantLib {
 
         Real indexFixing() const override;
 
-        Real amount() const override;
-
       protected:
         Real baseFixing_;
         Date observationDate_;

diff --git a/ql/cashflows/indexedcashflow.cpp b/ql/cashflows/indexedcashflow.cpp
@@ -45,8 +45,9 @@ namespace QuantLib {
         Real I1 = indexFixing();
 
         if (growthOnly_)
-            amount_ = notional_ * (I1 / I0 - 1.0);
+            amount_ = notional() * (I1 / I0 - 1.0);
         else
-            amount_ = notional_ * (I1 / I0);
+            amount_ = notional() * (I1 / I0);
     }
+
 }
diff --git a/ql/cashflows/yoyinflationcoupon.cpp b/ql/cashflows/yoyinflationcoupon.cpp
@@ -53,13 +53,16 @@ namespace QuantLib {
             InflationCoupon::accept(v);
     }
 
-
     bool YoYInflationCoupon::checkPricerImpl(
             const ext::shared_ptr<InflationCouponPricer>&pricer) const {
         return static_cast<bool>(
                ext::dynamic_pointer_cast<YoYInflationCouponPricer>(pricer));
     }
 
+    Rate YoYInflationCoupon::indexFixing() const {
+        return CPI::laggedYoYRate(yoyIndex(), accrualEndDate(), observationLag(), CPI::AsIndex);
+    }
+
 
     yoyInflationLeg::yoyInflationLeg(Schedule schedule,
                                      Calendar paymentCalendar,

diff --git a/ql/cashflows/yoyinflationcoupon.hpp b/ql/cashflows/yoyinflationcoupon.hpp
@@ -55,11 +55,13 @@ namespace QuantLib {
         //! spread paid over the fixing of the underlying index
         Spread spread() const { return spread_; }
 
+        Rate indexFixing() const override;
+
         Rate adjustedFixing() const;
 
         const ext::shared_ptr<YoYInflationIndex>& yoyIndex() const;
-
         //@}
+
         //! \name Visitability
         //@{
         void accept(AcyclicVisitor&) override;

diff --git a/ql/cashflows/zeroinflationcashflow.cpp b/ql/cashflows/zeroinflationcashflow.cpp
@@ -35,25 +35,15 @@ namespace QuantLib {
     : IndexedCashFlow(notional, index,
                       startDate - observationLag, endDate - observationLag,
                       paymentDate, growthOnly),
-      zeroInflationIndex_(index), observationInterpolation_(observationInterpolation),
+      zeroInflationIndex_(index), interpolation_(observationInterpolation),
       startDate_(startDate), endDate_(endDate), observationLag_(observationLag) {}
 
-    void ZeroInflationCashFlow::performCalculations() const {
-
-        Real I0, I1;
-
-        if (observationInterpolation_ == CPI::AsIndex) {
-            I0 = zeroInflationIndex_->fixing(baseDate());
-            I1 = zeroInflationIndex_->fixing(fixingDate());
-        } else {
-            I0 = CPI::laggedFixing(zeroInflationIndex_, startDate_, observationLag_, observationInterpolation_);
-            I1 = CPI::laggedFixing(zeroInflationIndex_, endDate_, observationLag_, observationInterpolation_);
-        }
+    Real ZeroInflationCashFlow::baseFixing() const {
+        return CPI::laggedFixing(zeroInflationIndex_, startDate_, observationLag_, interpolation_);
+    }
 
-        if (growthOnly())
-            amount_ = notional() * (I1 / I0 - 1.0);
-        else
-            amount_ = notional() * (I1 / I0);
+    Real ZeroInflationCashFlow::indexFixing() const {
+        return CPI::laggedFixing(zeroInflationIndex_, endDate_, observationLag_, interpolation_);
     }
 
     void ZeroInflationCashFlow::accept(AcyclicVisitor& v) {

diff --git a/ql/cashflows/zeroinflationcashflow.hpp b/ql/cashflows/zeroinflationcashflow.hpp
@@ -55,22 +55,24 @@ namespace QuantLib {
             return zeroInflationIndex_;
         }
         CPI::InterpolationType observationInterpolation() const {
-            return observationInterpolation_;
+            return interpolation_;
         }
         //@}
 
-        //! \name CashFlow interface
+        //! \name ZeroInflationCashFlow interface
         //@{
-        void performCalculations() const override;
+        Real baseFixing() const override;
+        Real indexFixing() const override;
         //@}
+
         //! \name Visitability
         //@{
         void accept(AcyclicVisitor&) override;
         //@}
 
       private:
         ext::shared_ptr<ZeroInflationIndex> zeroInflationIndex_;
-        CPI::InterpolationType observationInterpolation_;
+        CPI::InterpolationType interpolation_;
         Date startDate_, endDate_;
         Period observationLag_;
     };

diff --git a/test-suite/inflationcpicapfloor.cpp b/test-suite/inflationcpicapfloor.cpp
@@ -401,8 +401,8 @@ BOOST_AUTO_TEST_CASE(cpicapfloorpricer) {
     Calendar fixCalendar = UnitedKingdom(), payCalendar = UnitedKingdom();
     BusinessDayConvention fixConvention(Unadjusted), payConvention(ModifiedFollowing);
     Rate strike(0.03);
-    Real baseCPI = common.ii->fixing(fixCalendar.adjust(startDate-common.observationLag,fixConvention));
     CPI::InterpolationType observationInterpolation = CPI::AsIndex;
+    Real baseCPI = CPI::laggedFixing(common.ii, startDate, common.observationLag, observationInterpolation);
     CPICapFloor aCap(Option::Call,
                      nominal,
                      startDate,   // start date of contract (only)

diff --git a/test-suite/inflationcpiswap.cpp b/test-suite/inflationcpiswap.cpp
@@ -387,8 +387,7 @@ BOOST_AUTO_TEST_CASE(zciisconsistency) {
     bool subtractInflationNominal = true;
     Real dummySpread=0.0, dummyFixedRate=0.0;
     Natural fixingDays = 0;
-    Date baseDate = startDate - observationLag;
-    Real baseCPI = common.ii->fixing(baseDate);
+    Real baseCPI = CPI::laggedFixing(common.ii, startDate, observationLag, CPI::AsIndex);
 
     ext::shared_ptr<IborIndex> dummyFloatIndex;