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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010, 2011 Chris Kenyon
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file cpibond.hpp
\brief zero-inflation-indexed-ratio-with-base bond
*/
#ifndef quantlib_cpibond_hpp
#define quantlib_cpibond_hpp
#include <ql/instruments/bond.hpp>
#include <ql/time/dategenerationrule.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/interestrate.hpp>
#include <ql/cashflows/cpicoupon.hpp>
namespace QuantLib {
class Schedule;
//! cpi bond; if there is only one date in the schedule it
//! is a zero bond returning an inflated notional.
/*! \ingroup instruments
*/
class CPIBond : public Bond {
public:
CPIBond(Natural settlementDays,
Real faceAmount,
bool growthOnly,
Real baseCPI,
const Period& observationLag,
const boost::shared_ptr<ZeroInflationIndex>& cpiIndex,
CPI::InterpolationType observationInterpolation,
const Schedule& schedule,
const std::vector<Rate>& coupons,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention = ModifiedFollowing,
const Date& issueDate = Date());
Frequency frequency() const { return frequency_; }
const DayCounter& dayCounter() const { return dayCounter_; }
bool growthOnly() const { return growthOnly_; }
Real baseCPI() const { return baseCPI_; }
Period observationLag() const { return observationLag_; }
const boost::shared_ptr<ZeroInflationIndex>& cpiIndex() const { return cpiIndex_; }
CPI::InterpolationType observationInterpolation() const { return observationInterpolation_; }
protected:
Frequency frequency_;
DayCounter dayCounter_;
bool growthOnly_;
Real baseCPI_;
Period observationLag_;
boost::shared_ptr<ZeroInflationIndex> cpiIndex_;
CPI::InterpolationType observationInterpolation_;
};
};
#endif
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