1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 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/cashflows/yoyinflationcoupon.hpp>
#include <ql/indexes/inflationindex.hpp>
#include <ql/cashflows/inflationcouponpricer.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
InflationCoupon::InflationCoupon(
const Date& paymentDate,
Real nominal,
const Date& startDate,
const Date& endDate,
Natural fixingDays,
const boost::shared_ptr<InflationIndex>& index,
const Period& observationLag,
const DayCounter& dayCounter,
const Date& refPeriodStart,
const Date& refPeriodEnd
)
: Coupon(paymentDate, nominal,
startDate, endDate, refPeriodStart,refPeriodEnd), // ref period is before lag
index_(index), observationLag_(observationLag), dayCounter_(dayCounter),
fixingDays_(fixingDays)
{
registerWith(index_);
registerWith(Settings::instance().evaluationDate());
}
void InflationCoupon::setPricer(const boost::shared_ptr<InflationCouponPricer>& pricer) {
QL_REQUIRE(checkPricerImpl(pricer),"pricer given is wrong type");
if (pricer_)
unregisterWith(pricer_);
pricer_ = pricer;
if (pricer_)
registerWith(pricer_);
update();
}
Rate InflationCoupon::rate() const {
QL_REQUIRE(pricer_, "pricer not set");
// we know it is the correct type because checkPricerImpl checks on setting
// in general pricer_ will be a derived class, as will *this on calling
pricer_->initialize(*this);
return pricer_->swapletRate();
}
Real InflationCoupon::accruedAmount(const Date& d) const {
if (d <= accrualStartDate_ || d > paymentDate_) {
return 0.0;
} else {
return nominal() * rate() *
dayCounter().yearFraction(accrualStartDate_,
std::min(d, accrualEndDate_),
refPeriodStart_,
refPeriodEnd_);
}
}
Date InflationCoupon::fixingDate() const {
// fixing calendar is usually the null calendar for inflation indices
return index_->fixingCalendar().advance(refPeriodEnd_-observationLag_,
-static_cast<Integer>(fixingDays_), Days, ModifiedPreceding);
}
Real InflationCoupon::price(const Handle<YieldTermStructure>& discountingCurve) const {
return amount() * discountingCurve->discount(date());
}
Rate InflationCoupon::indexFixing() const {
return index_->fixing(fixingDate());
}
}
|
