Rate InterestRateIndex::fixing(const Date& fixingDate,
bool forecastTodaysFixing) const {
QL_REQUIRE(isValidFixingDate(fixingDate),
"Fixing date " << fixingDate << " is not valid");
Date today = Settings::instance().evaluationDate();
if (fixingDate>today ||
(fixingDate==today && forecastTodaysFixing))
return forecastFixing(fixingDate);
if (fixingDate<today ||
Settings::instance().enforcesTodaysHistoricFixings()) {
// must have been fixed
// do not catch exceptions
Rate result = pastFixing(fixingDate);
QL_REQUIRE(result != Null<Real>(),
"Missing " << name() << " fixing for " << fixingDate);
return result;
}
try {
// might have been fixed
Rate result = pastFixing(fixingDate);
if (result!=Null<Real>())
return result;
else
; // fall through and forecast
} catch (Error&) {
; // fall through and forecast
}
return forecastFixing(fixingDate);
}
Rate ZeroInflationIndex::fixing(const Date& aFixingDate,
bool /*forecastTodaysFixing*/) const {
if (!needsForecast(aFixingDate)) {
const TimeSeries<Real>& ts = timeSeries();
Real pastFixing = ts[aFixingDate];
QL_REQUIRE(pastFixing != Null<Real>(),
"Missing " << name() << " fixing for " << aFixingDate);
Real theFixing = pastFixing;
if (interpolated_) {
// fixings stored flat & for every day
std::pair<Date,Date> lim =
inflationPeriod(aFixingDate, frequency_);
if (aFixingDate == lim.first) {
// we don't actually need the next fixing
theFixing = pastFixing;
} else {
Date fixingDate2 = aFixingDate + Period(frequency_);
Real pastFixing2 = ts[fixingDate2];
QL_REQUIRE(pastFixing2 != Null<Real>(),
"Missing " << name() << " fixing for " << fixingDate2);
// now linearly interpolate
Real daysInPeriod = lim.second+1 - lim.first;
theFixing = pastFixing
+ (pastFixing2-pastFixing)*(aFixingDate-lim.first)/daysInPeriod;
}
}
return theFixing;
} else {
return forecastFixing(aFixingDate);
}
}
Rate ZeroInflationIndex::fixing(const Date& aFixingDate,
bool /*forecastTodaysFixing*/) const {
if (!needsForecast(aFixingDate)) {
std::pair<Date,Date> lim = inflationPeriod(aFixingDate, frequency_);
const TimeSeries<Real>& ts = timeSeries();
Real pastFixing = ts[lim.first];
QL_REQUIRE(pastFixing != Null<Real>(),
"Missing " << name() << " fixing for " << lim.first);
Real theFixing = pastFixing;
if (interpolated_) {
// fixings stored on first day of every period
if (aFixingDate == lim.first) {
// we don't actually need the next fixing
theFixing = pastFixing;
} else {
Real pastFixing2 = ts[lim.second+1];
QL_REQUIRE(pastFixing2 != Null<Real>(),
"Missing " << name() << " fixing for " << lim.second+1);
// Use lagged period for interpolation
std::pair<Date, Date> reference_period_lim = inflationPeriod(aFixingDate + zeroInflationTermStructure()->observationLag(), frequency_);
// now linearly interpolate
Real daysInPeriod = reference_period_lim.second + 1 - reference_period_lim.first;
theFixing = pastFixing
+ (pastFixing2 - pastFixing)*(aFixingDate - lim.first) / daysInPeriod;
}
}
return theFixing;
} else {
return forecastFixing(aFixingDate);
}
}
Rate IborIndex::forecastFixing(const Date& fixingDate) const {
Date d1 = valueDate(fixingDate);
Date d2 = maturityDate(d1);
Time t = dayCounter_.yearFraction(d1, d2);
QL_REQUIRE(t>0.0,
"\n cannot calculate forward rate between " <<
d1 << " and " << d2 <<
":\n non positive time (" << t <<
") using " << dayCounter_.name() << " daycounter");
return forecastFixing(d1, d2, t);
}
Rate ZeroInflationIndex::fixing(const Date& aFixingDate,
bool /*forecastTodaysFixing*/) const {
// Stored fixings are always non-interpolated.
// If an interpolated fixing is required then
// the availability lag + one inflation period
// must have passsed to use historical fixings
// (because you need the next one to interpolate).
// The interpolation is calculated (linearly) on demand.
Date today = Settings::instance().evaluationDate();
Date todayMinusLag = today - availabilityLag_;
std::pair<Date,Date> lim = inflationPeriod(todayMinusLag, frequency_);
Date historicalFixingKnown = lim.first-1;
Date fixingDateNeeded = aFixingDate;
if (interpolated_) { // need the next one too
fixingDateNeeded = fixingDateNeeded + Period(frequency_);
}
if (fixingDateNeeded <= historicalFixingKnown) {
Real pastFixing =
IndexManager::instance().getHistory(name())[aFixingDate];
QL_REQUIRE(pastFixing != Null<Real>(),
"Missing " << name() << " fixing for " << aFixingDate);
Real theFixing = pastFixing;
if (interpolated_) {
// fixings stored flat & for every day
Date fixingDate2 = aFixingDate + Period(frequency_);
Real pastFixing2 =
IndexManager::instance().getHistory(name())[fixingDate2];
QL_REQUIRE(pastFixing2 != Null<Real>(),
"Missing " << name() << " fixing for " << fixingDate2);
// now linearly interpolate
std::pair<Date,Date> lim = inflationPeriod(aFixingDate, frequency_);
Real daysInPeriod = lim.second+1 - lim.first;
theFixing = pastFixing
+ (pastFixing2-pastFixing)*(aFixingDate-lim.first)/daysInPeriod;
}
return theFixing;
} else {
return forecastFixing(aFixingDate);
}
}
Rate YoYInflationIndex::fixing(const Date& fixingDate,
bool /*forecastTodaysFixing*/) const {
Date today = Settings::instance().evaluationDate();
Date todayMinusLag = today - availabilityLag_;
std::pair<Date,Date> lim = inflationPeriod(todayMinusLag, frequency_);
Date lastFix = lim.first-1;
Date flatMustForecastOn = lastFix+1;
Date interpMustForecastOn = lastFix+1 - Period(frequency_);
if (interpolated() && fixingDate >= interpMustForecastOn) {
return forecastFixing(fixingDate);
}
if (!interpolated() && fixingDate >= flatMustForecastOn) {
return forecastFixing(fixingDate);
}
// four cases with ratio() and interpolated()
const TimeSeries<Real>& ts = timeSeries();
if (ratio()) {
if(interpolated()){ // IS ratio, IS interpolated
std::pair<Date,Date> lim = inflationPeriod(fixingDate, frequency_);
Date fixMinus1Y=NullCalendar().advance(fixingDate, -1*Years, ModifiedFollowing);
std::pair<Date,Date> limBef = inflationPeriod(fixMinus1Y, frequency_);
Real dp= lim.second + 1 - lim.first;
Real dpBef=limBef.second + 1 - limBef.first;
Real dl = fixingDate-lim.first;
// potentially does not work on 29th Feb
Real dlBef = fixMinus1Y - limBef.first;
// get the four relevant fixings
// recall that they are stored flat for every day
Rate limFirstFix = ts[lim.first];
QL_REQUIRE(limFirstFix != Null<Rate>(),
"Missing " << name() << " fixing for "
<< lim.first );
Rate limSecondFix = ts[lim.second+1];
QL_REQUIRE(limSecondFix != Null<Rate>(),
"Missing " << name() << " fixing for "
<< lim.second+1 );
Rate limBefFirstFix = ts[limBef.first];
QL_REQUIRE(limBefFirstFix != Null<Rate>(),
"Missing " << name() << " fixing for "
<< limBef.first );
Rate limBefSecondFix =
IndexManager::instance().getHistory(name())[limBef.second+1];
QL_REQUIRE(limBefSecondFix != Null<Rate>(),
"Missing " << name() << " fixing for "
<< limBef.second+1 );
Real linearNow = limFirstFix + (limSecondFix-limFirstFix)*dl/dp;
Real linearBef = limBefFirstFix + (limBefSecondFix-limBefFirstFix)*dlBef/dpBef;
Rate wasYES = linearNow / linearBef - 1.0;
return wasYES;
} else { // IS ratio, NOT interpolated
Rate pastFixing = ts[fixingDate];
QL_REQUIRE(pastFixing != Null<Rate>(),
"Missing " << name() << " fixing for "
<< fixingDate);
Date previousDate = fixingDate - 1*Years;
Rate previousFixing = ts[previousDate];
QL_REQUIRE(previousFixing != Null<Rate>(),
"Missing " << name() << " fixing for "
<< previousDate );
return pastFixing/previousFixing - 1.0;
}
} else { // NOT ratio
if (interpolated()) { // NOT ratio, IS interpolated
std::pair<Date,Date> lim = inflationPeriod(fixingDate, frequency_);
Real dp= lim.second + 1 - lim.first;
Real dl = fixingDate-lim.first;
Rate limFirstFix = ts[lim.first];
QL_REQUIRE(limFirstFix != Null<Rate>(),
"Missing " << name() << " fixing for "
<< lim.first );
Rate limSecondFix = ts[lim.second+1];
QL_REQUIRE(limSecondFix != Null<Rate>(),
"Missing " << name() << " fixing for "
<< lim.second+1 );
Real linearNow = limFirstFix + (limSecondFix-limFirstFix)*dl/dp;
return linearNow;
} else { // NOT ratio, NOT interpolated
// so just flat
Rate pastFixing = ts[fixingDate];
QL_REQUIRE(pastFixing != Null<Rate>(),
"Missing " << name() << " fixing for "
<< fixingDate);
return pastFixing;
}
}
// QL_FAIL("YoYInflationIndex::fixing, should never get here");
}
