QuantLib_MultiplicativePriceSeasonality man page
MultiplicativePriceSeasonality — Multiplicative seasonality in the price index (CPI/RPI/HICP/etc).
Inherited by KerkhofSeasonality.
Public Member Functions
MultiplicativePriceSeasonality (const Date &seasonalityBaseDate, const Frequency frequency, const std::vector< Rate > &seasonalityFactors)
virtual void set (const Date &seasonalityBaseDate, const Frequency frequency, const std::vector< Rate > &seasonalityFactors)
virtual Date seasonalityBaseDate () const
virtual Frequency frequency () const
virtual std::vector< Rate > seasonalityFactors () const
virtual Rate seasonalityFactor (const Date &d) const
The factor returned is NOT normalized relative to ANYTHING.
virtual Rate correctZeroRate (const Date &d, const Rate r, const InflationTermStructure &iTS) const
virtual Rate correctYoYRate (const Date &d, const Rate r, const InflationTermStructure &iTS) const
virtual bool isConsistent (const InflationTermStructure &iTS) const
Protected Member Functions
virtual void validate () const
virtual Rate seasonalityCorrection (Rate r, const Date &d, const DayCounter &dc, const Date &curveBaseDate, bool isZeroRate) const
Multiplicative seasonality in the price index (CPI/RPI/HICP/etc).
Stationary multiplicative seasonality in CPI/RPI/HICP (i.e. in price) implies that zero inflation swap rates are affected, but that year-on-year inflation swap rates show no effect. Of course, if the seasonality in CPI/RPI/HICP is non-stationary then both swap rates will be affected.
Factors must be in multiples of the minimum required for one year, e.g. 12 for monthly, and these factors are reused for as long as is required, i.e. they wrap around. So, for example, if 24 factors are given this repeats every two years. True stationary seasonality can be obtained by giving the same number of factors as the frequency dictates e.g. 12 for monthly seasonality.
Multi-year seasonality (i.e. non-stationary) is fragile: the user must ensure that corrections at whole years before and after the inflation term structure base date are the same. Otherwise there can be an inconsistency with quoted rates. This is enforced if the frequency is lower than daily. This is not enforced for daily seasonality because this will always be inconsistent due to weekends, holidays, leap years, etc. If you use multi-year daily seasonality it is up to you to check.
Factors are normalized relative to their appropriate reference dates. For zero inflation this is the inflation curve true base date: since you have a fixing for that date the seasonality factor must be one. For YoY inflation the reference is always one year earlier.
Seasonality is treated as piecewise constant, hence it works correctly with uninterpolated indices if the seasonality correction factor frequency is the same as the index frequency (or less).
Member Function Documentation
virtual bool isConsistent (const InflationTermStructure & iTS) const [virtual]
It is possible for multi-year seasonalities to be inconsistent with the inflation term structure they are given to. This method enables testing - but programmers are not required to implement it. E.g. for price seasonality the corrections at whole years after the inflation curve base date should be the same or else there can be an inconsistency with quoted instruments. Alternatively, the seasonality can be set before the inflation curve is bootstrapped.
Reimplemented from Seasonality.
Generated automatically by Doxygen for QuantLib from the source code.
correctYoYRate(3), correctZeroRate(3), isConsistent(3), MultiplicativePriceSeasonality(3), seasonalityBaseDate(3), seasonalityCorrection(3), seasonalityFactor(3), seasonalityFactors(3) and set(3) are aliases of QuantLib_MultiplicativePriceSeasonality(3).