QPR-11467 add new methods to inflation seasonality to undo the rate adjustment

Author: mgroncki

ql/termstructures/inflation/seasonality.cpp

@@ -129,6 +129,23 @@ namespace QuantLib {
         return seasonalityCorrection(r, effectiveFixingDate, iTS.dayCounter(), curveBaseDate, true);
     }
 
+    Rate MultiplicativePriceSeasonality::deseasonalisedZeroRate(
+        const Date& d, Rate r, const InflationTermStructure& iTS) const {
+        Date curveBaseDate = iTS.baseDate();
+        Date effectiveFixingDate = inflationPeriod(d, iTS.frequency()).first;
+
+        return removeSeasonalityAdjustment(r, effectiveFixingDate, iTS.dayCounter(), curveBaseDate, true);
+    }
+
+    Rate MultiplicativePriceSeasonality::deseasonalisedYoYRate(
+        const Date& d, Rate r, const InflationTermStructure& iTS) const {
+        Date curveBaseDate = iTS.baseDate();
+        Date effectiveFixingDate = inflationPeriod(d, iTS.frequency()).first;
+
+        return removeSeasonalityAdjustment(r, effectiveFixingDate, iTS.dayCounter(), curveBaseDate,
+                                           false);
+    }
+
 
     Rate MultiplicativePriceSeasonality::correctYoYRate(const Date &d,
                                                         const Rate r,
@@ -214,6 +231,28 @@ namespace QuantLib {
     }
 
 
+    Rate MultiplicativePriceSeasonality::removeSeasonalityAdjustment(Rate rate,
+                                                               const Date& atDate,
+                                                               const DayCounter& dc,
+                                                               const Date& curveBaseDate,
+                                                               const bool isZeroRate) const {
+        Real factorAt = this->seasonalityFactor(atDate);
+        Rate f;
+        if (isZeroRate) {
+            Rate factorBase = this->seasonalityFactor(curveBaseDate);
+            Real seasonalityAt = factorAt / factorBase;
+            std::pair<Date, Date> p = inflationPeriod(atDate, frequency());
+            Time timeFromCurveBase = dc.yearFraction(curveBaseDate, p.first);
+            f = std::pow(seasonalityAt, 1 / timeFromCurveBase);
+        } else {
+            Rate factor1Ybefore = this->seasonalityFactor(atDate - Period(1, Years));
+            f = factorAt / factor1Ybefore;
+        }
+
+        return (rate + 1) / f - 1;
+    }
+
+
     Real KerkhofSeasonality::seasonalityFactor(const Date &to) const {
 
         Integer dir = 1;
@@ -273,4 +312,25 @@ namespace QuantLib {
         return (rate + 1)*f - 1;
     }
 
+    Rate KerkhofSeasonality::removeSeasonalityAdjustment(Rate rate,
+                                                   const Date& atDate,
+                                                   const DayCounter& dc,
+                                                   const Date& curveBaseDate,
+                                                   const bool isZeroRate) const {
+
+        Real indexFactor = this->seasonalityFactor(atDate);
+
+        // Getting seasonality correction
+        Rate f;
+        if (isZeroRate) {
+            std::pair<Date, Date> lim = inflationPeriod(curveBaseDate, Monthly);
+            Time timeFromCurveBase = dc.yearFraction(lim.first, atDate);
+            f = std::pow(indexFactor, 1 / timeFromCurveBase);
+        } else {
+            QL_FAIL("Seasonal Kerkhof model is not defined on YoY rates");
+        }
+
+        return (rate + 1) / f - 1;
+    }
+
 }

ql/termstructures/inflation/seasonality.hpp

@@ -73,6 +73,16 @@ namespace QuantLib {
               inflation curve is bootstrapped.
           */
           virtual bool isConsistent(const InflationTermStructure& iTS) const;
+
+          //! Takes a seasonality adjusted zeroRate and remove the seasonality adjustment
+          virtual Rate deseasonalisedZeroRate(const Date& d,
+                                              Rate r,
+                                              const InflationTermStructure& iTS) const = 0;
+          
+          //! Takes a seasonality adjusted yoy rate and remove the seasonality adjustment
+          virtual Rate deseasonalisedYoYRate(const Date& d,
+                                              Rate r,
+                                              const InflationTermStructure& iTS) const = 0;
           //@}
 
           virtual ~Seasonality() = default;
@@ -154,6 +164,12 @@ namespace QuantLib {
             Rate
             correctYoYRate(const Date& d, Rate r, const InflationTermStructure& iTS) const override;
             bool isConsistent(const InflationTermStructure& iTS) const override;
+            Rate deseasonalisedZeroRate(const Date& d,
+                                        Rate r,
+                                        const InflationTermStructure& iTS) const override;
+            Rate deseasonalisedYoYRate(const Date& d,
+                                       Rate r,
+                                       const InflationTermStructure& iTS) const override;
             //@}
 
             //Destructor
@@ -164,6 +180,12 @@ namespace QuantLib {
             virtual void validate() const;
             virtual Rate seasonalityCorrection(Rate r, const Date &d, const DayCounter &dc,
                                                const Date &curveBaseDate, bool isZeroRate) const;
+            
+            virtual Rate removeSeasonalityAdjustment(Rate r,
+                                               const Date& d,
+                                               const DayCounter& dc,
+                                               const Date& curveBaseDate,
+                                               bool isZeroRate) const;
     };
 
 
@@ -184,6 +206,12 @@ namespace QuantLib {
                                    const DayCounter& dc,
                                    const Date& curveBaseDate,
                                    bool isZeroRate) const override;
+
+        Rate removeSeasonalityAdjustment(Rate r,
+                                         const Date& d,
+                                         const DayCounter& dc,
+                                         const Date& curveBaseDate,
+                                         bool isZeroRate) const override;
     };
 
 }  // end of namespace QuantLib