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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/cpicapfloor.hpp>
namespace QuantLib {
CPICapFloor::CPICapFloor(Option::Type type,
Real nominal,
const Date& startDate, // start date of contract (only)
Real baseCPI,
const Date& maturity, // this is pre-adjustment!
const Calendar& fixCalendar,
BusinessDayConvention fixConvention,
const Calendar& payCalendar,
BusinessDayConvention payConvention,
Rate strike,
const Handle<ZeroInflationIndex> &infIndex,
const Period& observationLag,
CPI::InterpolationType observationInterpolation)
: type_(type), nominal_(nominal), startDate_(startDate), baseCPI_(baseCPI),
maturity_(maturity), fixCalendar_(fixCalendar), fixConvention_(fixConvention),
payCalendar_(payCalendar), payConvention_(payConvention),
strike_(strike), infIndex_(infIndex), observationLag_(observationLag),
observationInterpolation_(observationInterpolation)
{
QL_REQUIRE(fixCalendar_ != Calendar(),"CPICapFloor: fixing calendar may not be null.");
QL_REQUIRE(payCalendar_ != Calendar(),"CPICapFloor: payment calendar may not be null.");
if (observationInterpolation_ == CPI::Flat ||
(observationInterpolation_ == CPI::AsIndex && !infIndex_->interpolated())
) {
QL_REQUIRE(observationLag_ >= infIndex_->availabilityLag(),
"CPIcapfloor's observationLag must be at least availabilityLag of inflation index: "
<<"when the observation is effectively flat"
<< observationLag_ << " vs " << infIndex_->availabilityLag());
}
if (observationInterpolation_ == CPI::Linear ||
(observationInterpolation_ == CPI::AsIndex && infIndex_->interpolated())
) {
QL_REQUIRE(observationLag_ > infIndex_->availabilityLag(),
"CPIcapfloor's observationLag must be greater then availabilityLag of inflation index: "
<<"when the observation is effectively linear"
<< observationLag_ << " vs " << infIndex_->availabilityLag());
}
}
//! when you fix - but remember that there is an observation interpolation factor as well
Date CPICapFloor::fixingDate() const {
return fixCalendar_.adjust(maturity_ - observationLag_, fixConvention_);
}
Date CPICapFloor::payDate() const {
return payCalendar_.adjust(maturity_, payConvention_);
}
bool CPICapFloor::isExpired() const {
return (Settings::instance().evaluationDate() > maturity_);
}
void CPICapFloor::arguments::validate() const {
// nothing yet
}
void CPICapFloor::setupArguments(PricingEngine::arguments* args) const {
// correct PricingEngine?
CPICapFloor::arguments* arguments = dynamic_cast<CPICapFloor::arguments*>(args);
QL_REQUIRE(arguments != 0, "wrong argument type, not CPICapFloor::arguments*");
// data move
arguments->type = type_;
arguments->nominal = nominal_;
arguments->startDate = startDate_;
arguments->baseCPI = baseCPI_;
arguments->maturity = maturity_;
arguments->fixCalendar = fixCalendar_;
arguments->fixConvention = fixConvention_;
arguments->payCalendar = fixCalendar_;
arguments->payConvention = payConvention_;
arguments->fixDate = fixingDate();
arguments->payDate = payDate();
arguments->strike = strike_;
arguments->infIndex = infIndex_;
arguments->observationLag = observationLag_;
arguments->observationInterpolation = observationInterpolation_;
}
void CPICapFloor::results::reset() {
Instrument::results::reset();
}
void CPICapFloor::fetchResults(const PricingEngine::results* r) const {
Instrument::fetchResults(r);
}
}
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