Inflation calibration

use chrono::NaiveDate;
use helixio_docs_sheets::{SOFR_CLOSE_DATE, USD_SOFR_CLOSE};
use helixrs::{
    AccrualCompounding, AnyInstrument, CollateralSpec, Currency, DayCountFraction, FixingKey,
    FixingStore, FxRates, InflationCurve, LevelInterpolation, MarketContext, QuoteSheet, Rung,
    Tolerance, ZeroCouponInflationSwap, calibrate_inflation, lagged_observation,
};

type Outcome<T> = Result<T, Box<dyn std::error::Error>>;

fn date((year, month, day): (i32, u32, u32)) -> NaiveDate {
    NaiveDate::from_ymd_opt(year, month, day).expect("a real calendar date")
}

fn main() -> Outcome<()> {
    let close = date(SOFR_CLOSE_DATE);
    let usd: Currency = "USD".parse()?;
    let act365 = DayCountFraction::Act365Fixed;

    // Two published prints of the index, and the discount curve from the sheet.
    let prints = vec![
        (FixingKey::Typed("US-CPI-U".to_owned()), date((2026, 6, 1)), 324.10),
        (FixingKey::Typed("US-CPI-U".to_owned()), date((2026, 7, 1)), 324.90),
    ];
    let fixings = FixingStore::from_observations_checked(&prints)?;
    let sheet = QuoteSheet::from_rows(USD_SOFR_CLOSE.iter().copied())?;
    let market = MarketContext::as_of(close)
        .with_fixings(fixings.clone())
        .with_recipe_quotes(&CollateralSpec::Currency(usd), &sheet)?;
    let (discount, _) = market.curve(&"discount(USD)".parse()?).expect("the USD curve");

    // Zero-coupon inflation swaps at breakeven rates, each pillar the maturity read
    // three months back.
    let mut swaps = Vec::new();
    for (years, breakeven) in [(2, 0.0245), (5, 0.0238), (10, 0.0241)] {
        let maturity = date((2026 + years, 10, 1));
        let swap = ZeroCouponInflationSwap::new(usd, "US-CPI-U", close, maturity, 1.0, breakeven, 3)
            .accruing(act365, AccrualCompounding::Compounded);
        swaps.push(Rung::par(
            lagged_observation(maturity, 3),
            AnyInstrument::ZcInflationSwap(Box::new(swap)),
            breakeven,
        ));
    }
    let fx = FxRates::default();
    let inflation = calibrate_inflation(close, &discount, &swaps, &fixings, &fx, Tolerance::default(), LevelInterpolation::Linear, act365)?;

    // Filed under its index, the curve prices every swap back to nothing.
    let curve = inflation.curve.clone();
    let priced = market.with_inflation_curve("US-CPI-U", inflation);
    let level = |at: NaiveDate| curve.view::<f64>().index_level(at);
    for rung in &swaps {
        println!(
            "{}  breakeven {:.4}  level {:.4}  value {:.6}",
            rung.pillar,
            rung.quote,
            level(rung.pillar)?,
            rung.instrument.npv(&priced)?.abs()
        );
    }

    Ok(())
}

import datetime as dt

import helixio as hlx
from desk_sheets import SOFR_CLOSE_DATE, USD_SOFR_CLOSE

# Two published prints of the index, and the discount curve from the sheet.
prints = [("US-CPI-U", dt.date(2026, 6, 1), 324.10), ("US-CPI-U", dt.date(2026, 7, 1), 324.90)]
market = hlx.MarketContext(SOFR_CLOSE_DATE).with_fixings(prints).with_recipe_quotes("USD", USD_SOFR_CLOSE)
discount = market.curve("discount(USD)")

# Zero-coupon inflation swaps at breakeven rates, each pillar the maturity read
# three months back.
swaps = []
for years, breakeven in [(2, 0.0245), (5, 0.0238), (10, 0.0241)]:
    maturity = dt.date(2026 + years, 10, 1)
    swap = hlx.products.zero_coupon_inflation_swap(
        "USD", "US-CPI-U", SOFR_CLOSE_DATE, maturity, notional=1.0, fixed_rate=breakeven
    )
    swaps.append((hlx.dates.lagged_observation(maturity, 3), swap, breakeven))
inflation = hlx.calibration.inflation(SOFR_CLOSE_DATE, discount, swaps, market=market)

# Filed under its index, the curve prices every swap back to nothing.
priced = market.with_inflation_curve("US-CPI-U", inflation.curve())
for pillar, swap, breakeven in swaps:
    print(f"{pillar}  breakeven {breakeven:.4f}  level {inflation.curve().index_level(pillar):.4f}  value {abs(swap.npv(priced)):.6f}")