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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2007 Ferdinando Ametrano
Copyright (C) 2007 StatPro Italia srl
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/instruments/makeyoyinflationcapfloor.hpp>
#include <ql/cashflows/cashflows.hpp>
#include <ql/time/daycounters/thirty360.hpp>
namespace QuantLib {
MakeYoYInflationCapFloor::MakeYoYInflationCapFloor(YoYInflationCapFloor::Type capFloorType,
const Size& length, const Calendar& cal,
const boost::shared_ptr<YoYInflationIndex>& index,
const Period& observationLag, Rate strike,
const Period& forwardStart)
: capFloorType_(capFloorType), length_(length),
calendar_(cal), index_(index), observationLag_(observationLag),
strike_(strike), firstCapletExcluded_(false),
asOptionlet_(false), effectiveDate_(Date()), forwardStart_(forwardStart),
dayCounter_(Thirty360()), roll_(ModifiedFollowing), fixingDays_(0),
nominal_(1000000.0)
{}
MakeYoYInflationCapFloor::operator YoYInflationCapFloor() const {
boost::shared_ptr<YoYInflationCapFloor> capfloor = *this;
return *capfloor;
}
MakeYoYInflationCapFloor::operator boost::shared_ptr<YoYInflationCapFloor>() const {
Date startDate;
if (effectiveDate_ != Date()) {
startDate = effectiveDate_;
} else {
Date referenceDate = Settings::instance().evaluationDate();
Date spotDate = calendar_.advance(referenceDate,
fixingDays_*Days);
startDate = spotDate+forwardStart_;
}
Date endDate = calendar_.advance(startDate,length_*Years,Unadjusted);
Schedule schedule(startDate, endDate, Period(Annual), calendar_,
Unadjusted, Unadjusted, // ref periods & acc periods
DateGeneration::Forward, false);
Leg leg = yoyInflationLeg(schedule, calendar_, index_,
observationLag_)
.withPaymentAdjustment(roll_)
.withPaymentDayCounter(dayCounter_)
.withNotionals(nominal_)
;
if (firstCapletExcluded_)
leg.erase(leg.begin());
// only leaves the last coupon
if (asOptionlet_ && leg.size() > 1) {
Leg::iterator end = leg.end(); // Sun Studio needs an lvalue
leg.erase(leg.begin(), --end);
}
std::vector<Rate> strikeVector(1, strike_);
if (strike_ == Null<Rate>()) {
// ATM on the forecasting curve
QL_REQUIRE(!index_->yoyInflationTermStructure().empty(),
"no forecasting yoy term structure set for " <<
index_->name());
Handle<YieldTermStructure> fc
= index_->yoyInflationTermStructure()->nominalTermStructure();
strikeVector[0] = CashFlows::atmRate(leg,**fc,
false, fc->referenceDate());
}
boost::shared_ptr<YoYInflationCapFloor> capFloor(new
YoYInflationCapFloor(capFloorType_, leg, strikeVector));
capFloor->setPricingEngine(engine_);
return capFloor;
}
MakeYoYInflationCapFloor& MakeYoYInflationCapFloor::withNominal(Real n) {
nominal_ = n;
return *this;
}
MakeYoYInflationCapFloor& MakeYoYInflationCapFloor::withEffectiveDate(
const Date& effectiveDate) {
effectiveDate_ = effectiveDate;
return *this;
}
MakeYoYInflationCapFloor&
MakeYoYInflationCapFloor::withPaymentAdjustment(BusinessDayConvention bdc) {
roll_ = bdc;
return *this;
}
MakeYoYInflationCapFloor&
MakeYoYInflationCapFloor::withPaymentDayCounter(const DayCounter& dc) {
dayCounter_ = dc;
return *this;
}
MakeYoYInflationCapFloor&
MakeYoYInflationCapFloor::withFixingDays(Natural n) {
fixingDays_ = n;
return *this;
}
MakeYoYInflationCapFloor& MakeYoYInflationCapFloor::asOptionlet(bool b) {
asOptionlet_ = b;
return *this;
}
MakeYoYInflationCapFloor& MakeYoYInflationCapFloor::withPricingEngine(
const boost::shared_ptr<PricingEngine>& engine) {
engine_ = engine;
return *this;
}
}
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