Inflation.chs

module QuantLib.TermStructure.Inflation
  (
    -- * Types
    ZeroInflationTermStructure
  , YoYInflationTermStructure
  , ZeroCouponInflationSwapHelper
  , YearOnYearInflationSwapHelper
  , CPIInterpolationType(..) -- ^re-exported from "QuantLib.Internal.Common"

    -- * Constructors
    -- ** Helpers
  , zeroCouponInflationSwapHelper
  , yearOnYearInflationSwapHelper
  , cpiBondHelper
    -- ** Curves
  , piecewiseZeroInflationCurve
  , piecewiseYoyInflationCurve
  , interpolatedYoyInflationCurve

    -- * Inspectors
  , HasHelperUnderlying(..)
  , zeroRate
  , yoyRate
  ) where
import QuantLib.Internal
import QuantLib.Internal.Type
{#import QuantLib.Time.Schedule#}(Frequency)
import QuantLib.Internal.Common
import QuantLib.TermStructure(HasHelperUnderlying(..))
import Data.List.NonEmpty(NonEmpty, toList)
{#import QuantLib.TermStructure.Yield#}(PillarChoice)

#include "qlTypesC2HS.h"
#include "qlEnumC2HS.h"
#include "qlEnumObjects.h"

#include "ql.h"

{#pointer *Calendar foreign -> CCalendar nocode#}
{#pointer *QlQuote as Quote foreign -> CQuote' nocode#}
{#pointer *QlYieldTermStructure as YieldTermStructure foreign -> CYieldTermStructure' nocode#}
{#pointer *QlZeroInflationTermStructure as ZeroInflationTermStructure foreign -> CZeroInflationTermStructure' nocode#}
{#pointer *QlYoYInflationTermStructure as YoYInflationTermStructure foreign -> CYoYInflationTermStructure' nocode#}
{#pointer *QlZeroInflationIndex as ZeroInflationIndex foreign -> CZeroInflationIndex' nocode#}
{#pointer *QlYoYInflationIndex as YoYInflationIndex foreign -> CYoYInflationIndex' nocode#}
{#pointer *QlZeroCouponInflationSwapHelper as ZeroCouponInflationSwapHelper foreign -> CZeroCouponInflationSwapHelper nocode#}
{#pointer *QlYearOnYearInflationSwapHelper as YearOnYearInflationSwapHelper foreign -> CYearOnYearInflationSwapHelper nocode#}
{#pointer *QlZeroCouponInflationSwap as ZeroCouponInflationSwap foreign -> CZeroCouponInflationSwap' nocode#}
{#pointer *QlYearOnYearInflationSwap as YearOnYearInflationSwap foreign -> CYearOnYearInflationSwap' nocode#}
{#pointer *QlBondHelper as BondHelper foreign -> CBondHelper' nocode#}

-- |Bootstrap helper for a zero-coupon inflation swap, at the given (observation lag, maturity).
{#fun qlZeroCouponInflationSwapHelper as zeroCouponInflationSwapHelper{withQuote*`GenQuote q' -- ^quote
  ,fromEnumQuantity`(Word,TimeUnit)'& -- ^swapObsLag
  ,withDay*`Day' -- ^maturity
  ,withCalendar*`Calendar'
  ,fromEnumC`BusinessDayConvention' -- ^paymentConvention
  ,withDayCounter*`DayCounter'
  ,withZeroInflationIndex*`ZeroInflationIndex'
  ,fromEnumC`CPIInterpolationType' -- ^observationInterpolation
  ,`PillarChoice' -- ^pillar
  ,withMaybeDay*`Maybe Day' -- ^customPillarDate
  ,preErrorCheck-`String'errorCheck*-}->`ZeroCouponInflationSwapHelper'peekZeroCouponInflationSwapHelper*#}

-- |Bootstrap helper for a year-on-year inflation swap. Unlike 'zeroCouponInflationSwapHelper',
-- also needs the nominal discount curve (the YoY swap's fixed/floating legs discount off it).
{#fun qlYearOnYearInflationSwapHelper as yearOnYearInflationSwapHelper{withQuote*`GenQuote q' -- ^quote
  ,fromEnumQuantity`(Word,TimeUnit)'& -- ^swapObsLag
  ,withDay*`Day' -- ^maturity
  ,withCalendar*`Calendar'
  ,fromEnumC`BusinessDayConvention' -- ^paymentConvention
  ,withDayCounter*`DayCounter'
  ,withYoYInflationIndex*`YoYInflationIndex'
  ,fromEnumC`CPIInterpolationType' -- ^observationInterpolation
  ,withYieldTermStructure*`GenYieldTermStructure y' -- ^nominalTermStructure
  ,`PillarChoice' -- ^pillar
  ,withMaybeDay*`Maybe Day' -- ^customPillarDate
  ,preErrorCheck-`String'errorCheck*-}->`YearOnYearInflationSwapHelper'peekYearOnYearInflationSwapHelper*#}

-- |Bootstrap helper for a 'QuantLib.Instrument.Bond.CPIBond' -- a 'CPIBondHelper', which is a
-- plain 'BondHelper' subclass with no extra methods, so it's returned as the generic
-- 'BondHelper' type (same shape as 'QuantLib.TermStructure.Yield.fixedRateBondHelper').
{#fun qlCPIBondHelper as cpiBondHelper{withQuote*`GenQuote q',fromIntegral`Word' -- ^settlementDays
  ,`Double' -- ^faceAmount
  ,`Double' -- ^baseCPI
  ,fromEnumQuantity`(Word,TimeUnit)'& -- ^observationLag
  ,withZeroInflationIndex*`ZeroInflationIndex'
  ,fromEnumC`CPIInterpolationType' -- ^observationInterpolation
  ,withSchedule*`Schedule',withNonEmptyDoubleArray*`NonEmpty Double'& -- ^coupons
  ,withDayCounter*`DayCounter' -- ^accrualDayCounter
  ,fromEnumC`BusinessDayConvention' -- ^paymentConvention
  ,withMaybeDay*`Maybe Day' -- ^issueDate
  ,withCalendar*`Calendar' -- ^paymentCalendar
  ,preErrorCheck-`String'errorCheck*-}->`BondHelper'peekBondHelper*#}

-- |Bootstraps a zero-inflation term structure piecewise from a set of helpers, interpolating
-- between the bootstrapped nodes with the given 'Interpolation'.
piecewiseZeroInflationCurve :: Day -- ^referenceDate
  -> Day -- ^baseDate
  -> Frequency -> DayCounter -> NonEmpty ZeroCouponInflationSwapHelper -> Interpolation
  -> IO ZeroInflationTermStructure
piecewiseZeroInflationCurve r b f dc h i = uncurryNested (qlPiecewiseZeroInflationCurve r b f dc (toList h)) (qlInterpolation i)

{#fun qlPiecewiseZeroInflationCurve{withDay*`Day',withDay*`Day',`Frequency',withDayCounter*`DayCounter'
  ,withZeroCouponInflationSwapHelperArray*`[ZeroCouponInflationSwapHelper]'&
  ,`Int',`Int',`Int',preErrorCheck-`String'errorCheck*-}->`ZeroInflationTermStructure'peekZeroInflationTermStructure*#}

-- |Bootstraps a year-on-year inflation term structure piecewise from a set of helpers,
-- interpolating between the bootstrapped nodes with the given 'Interpolation'.
piecewiseYoyInflationCurve :: Day -- ^referenceDate
  -> Day -- ^baseDate
  -> Double -- ^baseYoYRate
  -> Frequency -> DayCounter -> NonEmpty YearOnYearInflationSwapHelper -> Interpolation
  -> IO YoYInflationTermStructure
piecewiseYoyInflationCurve r b y f dc h i = uncurryNested (qlPiecewiseYoYInflationCurve r b y f dc (toList h)) (qlInterpolation i)

{#fun qlPiecewiseYoYInflationCurve{withDay*`Day',withDay*`Day',`Double',`Frequency',withDayCounter*`DayCounter'
  ,withYearOnYearInflationSwapHelperArray*`[YearOnYearInflationSwapHelper]'&
  ,`Int',`Int',`Int',preErrorCheck-`String'errorCheck*-}->`YoYInflationTermStructure'peekYoYInflationTermStructure*#}

-- |A YoY-inflation curve interpolating directly between given (date, rate) nodes, unlike
-- 'piecewiseYoyInflationCurve' bootstrap from swap helpers -- useful when the rates are
-- already known market YoY levels rather than swap quotes to calibrate against. The first
-- node is the curve's own base date\/rate.
interpolatedYoyInflationCurve :: Day -- ^referenceDate
  -> NonEmpty (Day, Double) -- ^dates, rates
  -> Frequency -> DayCounter -> Interpolation
  -> IO YoYInflationTermStructure
interpolatedYoyInflationCurve r dr f dc i = uncurryNested (qlInterpolatedYoYInflationCurve r ds rs f dc) (qlInterpolation i)
  where (ds, rs) = unzip (toList dr)
{#fun qlInterpolatedYoYInflationCurve{withDay*`Day',withDayArray*`[Day]'&,withDoubleArrayRaw*`[Double]'
  ,`Frequency',withDayCounter*`DayCounter'
  ,`Int',`Int',`Int',preErrorCheck-`String'errorCheck*-}->`YoYInflationTermStructure'peekYoYInflationTermStructure*#}

-- |Zero-coupon inflation rate implied by the curve.
{#fun qlZeroInflationTermStructureZeroRate as zeroRate{withGenTermStructure*`ZeroInflationTermStructure',withDay*`Day',`Bool' -- ^extrapolate
  ,preErrorCheck-`String'errorCheck*-}->`Double'#}

-- |Year-on-year inflation rate implied by the curve.
{#fun qlYoYInflationTermStructureYoYRate as yoyRate{withGenTermStructure*`YoYInflationTermStructure',withDay*`Day',`Bool' -- ^extrapolate
  ,preErrorCheck-`String'errorCheck*-}->`Double'#}

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