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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.
*/
#include <ql/time/schedule.hpp>
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/cashflows/cashflowvectors.hpp>
#include <ql/cashflows/cashflows.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/indexes/inflationindex.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/instruments/bonds/cpibond.hpp>
#include <ql/cashflows/cpicoupon.hpp>
namespace QuantLib {
CPIBond::CPIBond(Natural settlementDays,
Real faceAmount,
bool growthOnly,
Real baseCPI,
const Period& observationLag,
const ext::shared_ptr<ZeroInflationIndex>& cpiIndex,
CPI::InterpolationType observationInterpolation,
const Schedule& schedule,
const std::vector<Rate>& fixedRate,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention,
const Date& issueDate,
const Calendar& paymentCalendar,
const Period& exCouponPeriod,
const Calendar& exCouponCalendar,
const BusinessDayConvention exCouponConvention,
bool exCouponEndOfMonth)
: Bond(settlementDays,
paymentCalendar==Calendar() ? schedule.calendar() : paymentCalendar,
issueDate),
frequency_(schedule.tenor().frequency()),
dayCounter_(accrualDayCounter),
growthOnly_(growthOnly),
baseCPI_(baseCPI),
observationLag_(observationLag),
cpiIndex_(cpiIndex),
observationInterpolation_(observationInterpolation)
{
maturityDate_ = schedule.endDate();
// a CPIleg know about zero legs and inclusion of base inflation notional
cashflows_ = CPILeg(schedule, cpiIndex_,
baseCPI_, observationLag_)
.withNotionals(faceAmount)
.withFixedRates(fixedRate)
.withPaymentDayCounter(accrualDayCounter)
.withPaymentAdjustment(paymentConvention)
.withPaymentCalendar(calendar_)
.withObservationInterpolation(observationInterpolation_)
.withSubtractInflationNominal(growthOnly_)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth);
calculateNotionalsFromCashflows();
redemptions_.push_back(cashflows_.back());
registerWith(cpiIndex_);
Leg::const_iterator i;
for (i = cashflows_.begin(); i < cashflows_.end(); ++i) {
registerWith(*i);
}
}
}
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