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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 cpicapfloor.hpp
\brief zero-inflation-indexed-ratio-with-base option
*/
#ifndef quantlib_cpicapfloor_hpp
#define quantlib_cpicapfloor_hpp
#include <ql/instrument.hpp>
#include <ql/option.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/indexes/inflationindex.hpp>
#include <ql/cashflows/cpicoupon.hpp>
namespace QuantLib {
//! CPI cap or floor
/*! Quoted as a fixed strike rate \f$ K \f$. Payoff:
\f[
P_n(0,T) \max(y (N [(1+K)^{T}-1] -
N \left[ \frac{I(T)}{I(0)} -1 \right]), 0)
\f]
where \f$ T \f$ is the maturity time, \f$ P_n(0,t) \f$ is the
nominal discount factor at time \f$ t \f$, \f$ N \f$ is the
notional, and \f$ I(t) \f$ is the inflation index value at
time \f$ t \f$.
Inflation is generally available on every day, including
holidays and weekends. Hence there is a variable to state
whether the observe/fix dates for inflation are adjusted or
not. The default is not to adjust.
N.B. a cpi cap or floor is an option, not a cap or floor on a coupon.
Thus this is very similar to a ZCIIS and has a single flow, this is
as usual for cpi because it is cumulative up to option maturity from base
date.
We do not inherit from Option, although this would be reasonable,
because we do not have that degree of generality.
*/
class CPICapFloor : public Instrument {
public:
class arguments;
class engine;
CPICapFloor(Option::Type type,
Real nominal,
const Date& startDate, // start date of contract (only)
Real baseCPI,
const Date& maturity, // this is pre-adjustment!
Calendar fixCalendar,
BusinessDayConvention fixConvention,
Calendar payCalendar,
BusinessDayConvention payConvention,
Rate strike,
const ext::shared_ptr<ZeroInflationIndex>& inflationIndex,
const Period& observationLag,
CPI::InterpolationType observationInterpolation = CPI::AsIndex);
/*! \deprecated Use the other constructor.
Deprecated in version 1.28.
*/
QL_DEPRECATED
CPICapFloor(Option::Type type,
Real nominal,
const Date& startDate, // start date of contract (only)
Real baseCPI,
const Date& maturity, // this is pre-adjustment!
Calendar fixCalendar,
BusinessDayConvention fixConvention,
Calendar payCalendar,
BusinessDayConvention payConvention,
Rate strike,
const Handle<ZeroInflationIndex>& infIndex,
const Period& observationLag,
CPI::InterpolationType observationInterpolation = CPI::AsIndex);
QL_DEPRECATED_DISABLE_WARNING
~CPICapFloor() override = default;
QL_DEPRECATED_ENABLE_WARNING
//! \name Inspectors
//@{
Option::Type type() const { return type_; }
Real nominal() const { return nominal_; }
//! \f$ K \f$ in the above formula.
Rate strike() const { return strike_; }
Date fixingDate() const;
Date payDate() const;
const ext::shared_ptr<ZeroInflationIndex>& index() const { return index_; }
Period observationLag() const { return observationLag_; }
//@}
/*! \deprecated Use the `index` method instead.
Deprecated in version 1.28.
*/
QL_DEPRECATED
Handle<ZeroInflationIndex> inflationIndex() const {
QL_DEPRECATED_DISABLE_WARNING
return infIndex_;
QL_DEPRECATED_ENABLE_WARNING
}
//! \name Instrument interface
//@{
bool isExpired() const override;
void setupArguments(PricingEngine::arguments*) const override;
//@}
protected:
Option::Type type_;
Real nominal_;
Date startDate_, fixDate_, payDate_;
Real baseCPI_;
Date maturity_;
Calendar fixCalendar_;
BusinessDayConvention fixConvention_;
Calendar payCalendar_;
BusinessDayConvention payConvention_;
Rate strike_;
ext::shared_ptr<ZeroInflationIndex> index_;
Period observationLag_;
CPI::InterpolationType observationInterpolation_;
/*! \deprecated Use the `index_` data member instead.
Deprecated in version 1.28.
*/
QL_DEPRECATED
Handle<ZeroInflationIndex> infIndex_;
};
class CPICapFloor::arguments : public virtual PricingEngine::arguments {
public:
QL_DEPRECATED_DISABLE_WARNING
arguments() = default;
~arguments() override = default;
QL_DEPRECATED_ENABLE_WARNING
Option::Type type;
Real nominal;
Date startDate, fixDate, payDate;
Real baseCPI;
Date maturity;
Calendar fixCalendar, payCalendar;
BusinessDayConvention fixConvention, payConvention;
Rate strike;
ext::shared_ptr<ZeroInflationIndex> index;
Period observationLag;
CPI::InterpolationType observationInterpolation;
/*! \deprecated Use the `index` data member instead.
Deprecated in version 1.28.
*/
QL_DEPRECATED
Handle<ZeroInflationIndex> infIndex;
void validate() const override;
};
class CPICapFloor::engine : public GenericEngine<CPICapFloor::arguments,
CPICapFloor::results> {};
}
#endif
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