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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007, 2009 Chris Kenyon
Copyright (C) 2007 StatPro Italia srl
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/termstructures/inflation/inflationhelpers.hpp>
#include <ql/indexes/inflationindex.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
namespace QuantLib {
namespace {
void no_deletion(void*) {}
}
ZeroCouponInflationSwapHelper::ZeroCouponInflationSwapHelper(
const Handle<Quote>& quote,
const Period& swapObsLag, // <= index availability lag
const Date& maturity,
const Calendar& calendar, // index may have null calendar as valid on every day
BusinessDayConvention paymentConvention,
const DayCounter& dayCounter,
const boost::shared_ptr<ZeroInflationIndex>& zii)
: BootstrapHelper<ZeroInflationTermStructure>(quote),
swapObsLag_(swapObsLag), maturity_(maturity), calendar_(calendar),
paymentConvention_(paymentConvention), dayCounter_(dayCounter),
zii_(zii) {
if (zii_->interpolated()) {
// if interpolated then simple
earliestDate_ = maturity_ - swapObsLag_;
latestDate_ = maturity_ - swapObsLag_;
} else {
// but if NOT interpolated then the value is valid
// for every day in an inflation period so you actually
// get an extended validity, however for curve building
// just put the first date because using that convention
// for the base date throughout
std::pair<Date,Date> limStart = inflationPeriod(maturity_ - swapObsLag_,
zii_->frequency());
earliestDate_ = limStart.first;
latestDate_ = limStart.first;
}
// check that the observation lag of the swap
// is compatible with the availability lag of the index AND
// it's interpolation (assuming the start day is spot)
if (zii_->interpolated()) {
Period pShift(zii_->frequency());
QL_REQUIRE(swapObsLag_ - pShift > zii_->availabilityLag(),
"inconsistency between swap observation of index "
<< swapObsLag_ <<
" index availability " << zii_->availabilityLag() <<
" index period " << pShift <<
" and index availability " << zii_->availabilityLag() <<
" need (obsLag-index period) > availLag");
}
registerWith(Settings::instance().evaluationDate());
}
Real ZeroCouponInflationSwapHelper::impliedQuote() const {
// what does the term structure imply?
// in this case just the same value ... trivial case
// (would not be so for an inflation-linked bond)
zciis_->recalculate();
return zciis_->fairRate();
}
void ZeroCouponInflationSwapHelper::setTermStructure(
ZeroInflationTermStructure* z) {
BootstrapHelper<ZeroInflationTermStructure>::setTermStructure(z);
// set up a new ZCIIS
// but this one does NOT own its inflation term structure
const bool own = false;
Rate K = quote()->value();
// The effect of the new inflation term structure is
// felt via the effect on the inflation index
Handle<ZeroInflationTermStructure> zits(
boost::shared_ptr<ZeroInflationTermStructure>(z,no_deletion), own);
boost::shared_ptr<ZeroInflationIndex> new_zii = zii_->clone(zits);
Real nominal = 1000000.0; // has to be something but doesn't matter what
Date start = z->nominalTermStructure()->referenceDate();
zciis_.reset(new ZeroCouponInflationSwap(
ZeroCouponInflationSwap::Payer,
nominal, start, maturity_,
calendar_, paymentConvention_, dayCounter_, K, // fixed side & fixed rate
new_zii, swapObsLag_));
// Because very simple instrument only takes
// standard discounting swap engine.
zciis_->setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(z->nominalTermStructure())));
}
YearOnYearInflationSwapHelper::YearOnYearInflationSwapHelper(
const Handle<Quote>& quote,
const Period& swapObsLag,
const Date& maturity,
const Calendar& calendar,
BusinessDayConvention paymentConvention,
const DayCounter& dayCounter,
const boost::shared_ptr<YoYInflationIndex>& yii)
: BootstrapHelper<YoYInflationTermStructure>(quote),
swapObsLag_(swapObsLag), maturity_(maturity),
calendar_(calendar), paymentConvention_(paymentConvention),
dayCounter_(dayCounter), yii_(yii) {
if (yii_->interpolated()) {
// if interpolated then simple
earliestDate_ = maturity_ - swapObsLag_;
latestDate_ = maturity_ - swapObsLag_;
} else {
// but if NOT interpolated then the value is valid
// for every day in an inflation period so you actually
// get an extended validity, however for curve building
// just put the first date because using that convention
// for the base date throughout
std::pair<Date,Date> limStart = inflationPeriod(maturity_ - swapObsLag_,
yii_->frequency());
earliestDate_ = limStart.first;
latestDate_ = limStart.first;
}
// check that the observation lag of the swap
// is compatible with the availability lag of the index AND
// it's interpolation (assuming the start day is spot)
if (yii_->interpolated()) {
Period pShift(yii_->frequency());
QL_REQUIRE(swapObsLag_ - pShift > yii_->availabilityLag(),
"inconsistency between swap observation of index "
<< swapObsLag_ <<
" index availability " << yii_->availabilityLag() <<
" index period " << pShift <<
" and index availability " << yii_->availabilityLag() <<
" need (obsLag-index period) > availLag");
}
registerWith(Settings::instance().evaluationDate());
}
Real YearOnYearInflationSwapHelper::impliedQuote() const {
// what does the term structure imply?
// in this case just the same value ... trivial case
// (would not be so for an inflation-linked bond)
yyiis_->recalculate();
return yyiis_->fairRate();
}
void YearOnYearInflationSwapHelper::setTermStructure(
YoYInflationTermStructure* y) {
BootstrapHelper<YoYInflationTermStructure>::setTermStructure(y);
// set up a new YYIIS
// but this one does NOT own its inflation term structure
const bool own = false;
// The effect of the new inflation term structure is
// felt via the effect on the inflation index
Handle<YoYInflationTermStructure> yyts(
boost::shared_ptr<YoYInflationTermStructure>(y,no_deletion), own);
boost::shared_ptr<YoYInflationIndex> new_yii = yii_->clone(yyts);
// always works because tenor is always 1 year so
// no problem with different days-in-month
Date from = Settings::instance().evaluationDate();
Date to = maturity_;
Schedule fixedSchedule = MakeSchedule().from(from).to(to)
.withTenor(1*Years)
.withConvention(Unadjusted)
.withCalendar(calendar_)// fixed leg gets cal from sched
.backwards();
Schedule yoySchedule = fixedSchedule;
Spread spread = 0.0;
Rate fixedRate = quote()->value();
Real nominal = 1000000.0; // has to be something but doesn't matter what
yyiis_.reset(new YearOnYearInflationSwap(YearOnYearInflationSwap::Payer,
nominal,
fixedSchedule,
fixedRate,
dayCounter_,
yoySchedule,
new_yii,
swapObsLag_,
spread,
dayCounter_,
calendar_, // inflation index does not have a calendar
paymentConvention_));
// Because very simple instrument only takes
// standard discounting swap engine.
yyiis_->setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(y->nominalTermStructure())));
}
}
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