Add method to YoY inflation index returning the last fixing date (#2076)

lballabio · Sep 23, 2024 · bbecf53 · bbecf53
2 parents cf9406d + 145d235
commit bbecf53
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Showing 3 changed files with 26 additions and 0 deletions.
diff --git a/ql/indexes/inflationindex.cpp b/ql/indexes/inflationindex.cpp
@@ -275,6 +275,17 @@ namespace QuantLib {
         }
     }
 
+    Date YoYInflationIndex::lastFixingDate() const {
+        if (ratio()) {
+            return underlyingIndex_->lastFixingDate();
+        } else {
+            const auto& fixings = timeSeries();
+            QL_REQUIRE(!fixings.empty(), "no fixings stored for " << name());
+            // attribute fixing to first day of the underlying period
+            return inflationPeriod(fixings.lastDate(), frequency_).first;
+        }
+    }
+
     bool YoYInflationIndex::needsForecast(const Date& fixingDate) const {
         Date today = Settings::instance().evaluationDate();
 

diff --git a/ql/indexes/inflationindex.hpp b/ql/indexes/inflationindex.hpp
@@ -228,6 +228,7 @@ namespace QuantLib {
 
         //! \name Other methods
         //@{
+        Date lastFixingDate() const;
         bool interpolated() const;
         bool ratio() const;
         ext::shared_ptr<ZeroInflationIndex> underlyingIndex() const;

diff --git a/test-suite/inflation.cpp b/test-suite/inflation.cpp
@@ -868,6 +868,9 @@ BOOST_AUTO_TEST_CASE(testQuotedYYIndexFutureFixing) {
     quoted_flat.addFixing({1,January,2024}, 100.1);
     quoted_flat.addFixing({1,February,2024}, 100.2);
 
+    BOOST_CHECK_EQUAL(quoted_flat.lastFixingDate(), Date(1,February,2024));
+    BOOST_CHECK_EQUAL(quoted_linear.lastFixingDate(), Date(1,February,2024));
+
     // mid-January fixing: ok for both flat and interpolated
     BOOST_CHECK_NO_THROW(quoted_flat.fixing({15,January,2024}));
     BOOST_CHECK_NO_THROW(quoted_linear.fixing({15,January,2024}));
@@ -883,6 +886,10 @@ BOOST_AUTO_TEST_CASE(testQuotedYYIndexFutureFixing) {
 
     // both ok after March is published:
     quoted_flat.addFixing({1,March,2024}, 100.3);
+
+    BOOST_CHECK_EQUAL(quoted_flat.lastFixingDate(), Date(1,March,2024));
+    BOOST_CHECK_EQUAL(quoted_linear.lastFixingDate(), Date(1,March,2024));
+
     BOOST_CHECK_NO_THROW(quoted_flat.fixing({15,February,2024}));
     BOOST_CHECK_NO_THROW(quoted_linear.fixing({15,February,2024}));
 
@@ -1034,6 +1041,9 @@ BOOST_AUTO_TEST_CASE(testRatioYYIndexFutureFixing) {
     euhicp->addFixing({1,January,2024}, 100.1);
     euhicp->addFixing({1,February,2024}, 100.2);
 
+    BOOST_CHECK_EQUAL(ratio_flat.lastFixingDate(), Date(1,February,2024));
+    BOOST_CHECK_EQUAL(ratio_linear.lastFixingDate(), Date(1,February,2024));
+
     // mid-January fixing: ok for both flat and interpolated
     BOOST_CHECK_NO_THROW(ratio_flat.fixing({15,January,2024}));
     BOOST_CHECK_NO_THROW(ratio_linear.fixing({15,January,2024}));
@@ -1049,6 +1059,10 @@ BOOST_AUTO_TEST_CASE(testRatioYYIndexFutureFixing) {
 
     // both ok after March is published:
     euhicp->addFixing({1,March,2024}, 100.3);
+
+    BOOST_CHECK_EQUAL(ratio_flat.lastFixingDate(), Date(1,March,2024));
+    BOOST_CHECK_EQUAL(ratio_linear.lastFixingDate(), Date(1,March,2024));
+
     BOOST_CHECK_NO_THROW(ratio_flat.fixing({15,February,2024}));
     BOOST_CHECK_NO_THROW(ratio_linear.fixing({15,February,2024}));