Merge branch 'feature/QPR-13728' into 'master'

Resolve QPR-13728 Add month counter for inflation

Closes QPR-13728

See merge request qs/oreplus!3111

Author: damienbarker

OREData/ored/utilities/parsers.cpp

@@ -30,6 +30,7 @@
 
 #include <qle/instruments/cashflowresults.hpp>
 #include <qle/time/yearcounter.hpp>
+#include <qle/time/monthcounter.hpp>
 
 #include <ql/errors.hpp>
 #include <ql/indexes/all.hpp>
@@ -283,7 +284,8 @@ DayCounter parseDayCounter(const string& s) {
                                         {"A364", QuantLib::Actual364()},
                                         {"Actual/364", Actual364()},
                                         {"Act/364", Actual364()},
-                                        {"ACT/364", Actual364()}};
+                                        {"ACT/364", Actual364()}, 
+                                        {"Month", MonthCounter()}};
 
     auto it = m.find(s);
     if (it != m.end()) {

QuantExt/qle/CMakeLists.txt

@@ -436,6 +436,7 @@ termstructures/yoyoptionletsolver.cpp
 termstructures/yoyoptionletsurfacestripper.cpp
 termstructures/yoypricesurfacefromvols.cpp
 time/dateutilities.cpp
+time/monthcounter.cpp
 time/yearcounter.cpp
 utilities/barrier.cpp
 utilities/cashflows.cpp
@@ -1066,6 +1067,7 @@ termstructures/zeroinflationcurveobservermoving.hpp
 termstructures/zeroinflationcurveobserverstatic.hpp
 time/dateutilities.hpp
 time/futureexpirycalculator.hpp
+time/monthcounter.hpp
 time/yearcounter.hpp
 utilities/barrier.hpp
 utilities/cashflows.hpp

QuantExt/qle/quantext.hpp

@@ -622,6 +622,7 @@
 #include <qle/termstructures/zeroinflationcurveobserverstatic.hpp>
 #include <qle/time/dateutilities.hpp>
 #include <qle/time/futureexpirycalculator.hpp>
+#include <qle/time/monthcounter.hpp>
 #include <qle/time/yearcounter.hpp>
 #include <qle/utilities/barrier.hpp>
 #include <qle/utilities/cashflows.hpp>

QuantExt/qle/time/monthcounter.cpp

@@ -0,0 +1,36 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2025 Quaternion Risk Management Ltd
+ All rights reserved.
+
+ This file is part of ORE, a free-software/open-source library
+ for transparent pricing and risk analysis - http://opensourcerisk.org
+
+ ORE is free software: you can redistribute it and/or modify it
+ under the terms of the Modified BSD License.  You should have received a
+ copy of the license along with this program.
+ The license is also available online at <http://opensourcerisk.org>
+
+ This program is distributed on the basis that it will form a useful
+ contribution to risk analytics and model standardisation, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+ FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
+*/
+
+#include <qle/time/monthcounter.hpp>
+
+using QuantLib::Date;
+using QuantLib::Time;
+
+namespace QuantExt {
+
+Time MonthCounter::Impl::yearFraction(const Date& d1, const Date& d2, const Date&, const Date&) const {
+    int years =0;
+    int months = 0;
+    years = d2.year() - d1.year();
+    months = d2.month() - d1.month();
+    return static_cast<Time>(years * 12 + months) / 12.0;
+}
+
+} // namespace QuantExt

QuantExt/qle/time/monthcounter.hpp

@@ -0,0 +1,50 @@
+/*
+ Copyright (C) 2025 Quaternion Risk Management Ltd
+ All rights reserved.
+
+ This file is part of ORE, a free-software/open-source library
+ for transparent pricing and risk analysis - http://opensourcerisk.org
+
+ ORE is free software: you can redistribute it and/or modify it
+ under the terms of the Modified BSD License.  You should have received a
+ copy of the license along with this program.
+ The license is also available online at <http://opensourcerisk.org>
+
+ This program is distributed on the basis that it will form a useful
+ contribution to risk analytics and model standardisation, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+ FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
+*/
+
+/*! \file monthcounter.hpp
+     \brief day counter that returns the nearest integer month fraction
+*/
+
+#ifndef quantext_month_counter_hpp
+#define quantext_month_counter_hpp
+#include <ql/time/daycounter.hpp>
+
+namespace QuantExt {
+
+//! Month counter for when we want a whole number month fraction.
+/*! This day counter computers the number of months between two dates as an integer,
+    and divides by 12 to get the year fraction.
+
+    \ingroup daycounters
+*/
+class MonthCounter : public QuantLib::DayCounter {
+public:
+    MonthCounter() : QuantLib::DayCounter(QuantLib::ext::shared_ptr<DayCounter::Impl>(new MonthCounter::Impl())) {}
+private:
+    class Impl : public DayCounter::Impl {
+    public:
+        std::string name() const override { return "Month"; }
+        //! number of months between d1 and d2 divided by 12
+        QuantLib::Time yearFraction(const QuantLib::Date& d1, const QuantLib::Date& d2, const QuantLib::Date&,
+                                    const QuantLib::Date&) const override;
+    };
+};
+
+} // namespace QuantExt
+
+#endif

xsd/ore_types.xsd

@@ -401,6 +401,7 @@
       <xs:enumeration value="Actual/364"/>
       <xs:enumeration value="Act/364"/>
       <xs:enumeration value="ACT/364"/>
+      <xs:enumeration value="Month"/>
     </xs:restriction>
   </xs:simpleType>