From 145d2350910eb5decf9285a6eed088848bdae788 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 23 Sep 2024 15:19:20 +0200
Subject: [PATCH] Add method for last fixing date to YoY inflation index

---
 ql/indexes/inflationindex.cpp | 11 +++++++++++
 ql/indexes/inflationindex.hpp |  1 +
 test-suite/inflation.cpp      | 14 ++++++++++++++
 3 files changed, 26 insertions(+)

diff --git a/ql/indexes/inflationindex.cpp b/ql/indexes/inflationindex.cpp
index 6f54bd5b6f..66d1c5c54a 100644
--- 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
index 114e8274f5..aa938966aa 100644
--- 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
index 4401bde222..a2d4086429 100644
--- 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}));