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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010, 2011 Chris Kenyon
Copyright (C) 2021 Ralf Konrad Eckel
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
<https://www.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/cashflows.hpp>
#include <ql/cashflows/cashflowvectors.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/indexes/inflationindex.hpp>
#include <ql/instruments/cpicapfloor.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/time/schedule.hpp>
#include <utility>
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!
Calendar fixCalendar,
BusinessDayConvention fixConvention,
Calendar payCalendar,
BusinessDayConvention payConvention,
Rate strike,
ext::shared_ptr<ZeroInflationIndex> index,
const Period& observationLag,
CPI::InterpolationType observationInterpolation)
: type_(type), nominal_(nominal), startDate_(startDate), baseCPI_(baseCPI), maturity_(maturity),
fixCalendar_(std::move(fixCalendar)), fixConvention_(fixConvention),
payCalendar_(std::move(payCalendar)), payConvention_(payConvention), strike_(strike),
index_(std::move(index)), observationLag_(observationLag),
observationInterpolation_(observationInterpolation) {
QL_REQUIRE(index_, "no inflation index passed");
QL_REQUIRE(fixCalendar_ != Calendar(), "no fixing calendar passed");
QL_REQUIRE(payCalendar_ != Calendar(), "no payment calendar passed");
if (!detail::CPI::isInterpolated(observationInterpolation_)) {
QL_REQUIRE(observationLag_ >= index_->availabilityLag(),
"CPIcapfloor's observationLag must be at least availabilityLag of inflation index: "
<<"when the observation is effectively flat"
<< observationLag_ << " vs " << index_->availabilityLag());
} else {
QL_REQUIRE(observationLag_ > index_->availabilityLag(),
"CPIcapfloor's observationLag must be greater than availabilityLag of inflation index: "
<<"when the observation is effectively linear"
<< observationLag_ << " vs " << index_->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?
auto* arguments = dynamic_cast<CPICapFloor::arguments*>(args);
QL_REQUIRE(arguments != nullptr, "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 = payCalendar_;
arguments->payConvention = payConvention_;
arguments->fixDate = fixingDate();
arguments->payDate = payDate();
arguments->strike = strike_;
arguments->index = index_;
arguments->observationLag = observationLag_;
arguments->observationInterpolation = observationInterpolation_;
}
}
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