public override bool isConsistent(InflationTermStructure iTS)
{
// If multi-year is the specification consistent with the term structure start date?
// We do NOT test daily seasonality because this will, in general, never be consistent
// given weekends, holidays, leap years, etc.
if (this.frequency() == Frequency.Daily)
{
return(true);
}
if ((int)this.frequency() == seasonalityFactors().Count)
{
return(true);
}
// how many years do you need to test?
int nTest = seasonalityFactors().Count / (int)this.frequency();
// ... relative to the start of the inflation curve
KeyValuePair <Date, Date> lim = Utils.inflationPeriod(iTS.baseDate(), iTS.frequency());
Date curveBaseDate = lim.Value;
double factorBase = this.seasonalityFactor(curveBaseDate);
double eps = 0.00001;
for (int i = 1; i < nTest; i++)
{
double factorAt = this.seasonalityFactor(curveBaseDate + new Period(i, TimeUnit.Years));
Utils.QL_REQUIRE(Math.Abs(factorAt - factorBase) < eps, () =>
"seasonality is inconsistent with inflation " +
"term structure, factors " + factorBase + " and later factor "
+ factorAt + ", " + i + " years later from inflation curve "
+ " with base date at " + curveBaseDate);
}
return(true);
}
public override double correctYoYRate(Date d, double r, InflationTermStructure iTS)
{
KeyValuePair <Date, Date> lim = Utils.inflationPeriod(iTS.baseDate(), iTS.frequency());
Date curveBaseDate = lim.Value;
return(seasonalityCorrection(r, d, iTS.dayCounter(), curveBaseDate, false));
}
public virtual bool isConsistent(InflationTermStructure iTS)
{
// If multi-year is the specification consistent with the term structure start date?
// We do NOT test daily seasonality because this will, in general, never be consistent
// given weekends, holidays, leap years, etc.
if(this.frequency() == Frequency.Daily) return true;
if( (int)this.frequency() == seasonalityFactors().Count ) return true;
// how many years do you need to test?
int nTest = seasonalityFactors().Count / (int)this.frequency();
// ... relative to the start of the inflation curve
KeyValuePair<Date,Date> lim = Utils.inflationPeriod(iTS.baseDate(), iTS.frequency());
Date curveBaseDate = lim.Value;
double factorBase = this.seasonalityFactor(curveBaseDate);
double eps = 0.00001;
for (int i = 1; i < nTest; i++)
{
double factorAt = this.seasonalityFactor(curveBaseDate+new Period(i,TimeUnit.Years));
if (Math.Abs(factorAt-factorBase)>=eps)
throw new ApplicationException("seasonality is inconsistent with inflation " +
"term structure, factors " + factorBase + " and later factor "
+ factorAt + ", " + i + " years later from inflation curve "
+ " with base date at " + curveBaseDate);
}
return true;
}
public virtual double correctYoYRate(Date d, double r, InflationTermStructure iTS)
{
KeyValuePair<Date,Date> lim = Utils.inflationPeriod(iTS.baseDate(), iTS.frequency());
Date curveBaseDate = lim.Value;
return seasonalityCorrection(r, d, iTS.dayCounter(), curveBaseDate, false);
}