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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007, 2009, 2011 Chris Kenyon
Copyright (C) 2009 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
<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/cpicoupon.hpp>
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/indexes/inflationindex.hpp>
#include <ql/instruments/cpiswap.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/time/schedule.hpp>
#include <utility>
namespace QuantLib {
// accrual adjustment is already in the schedules, as are calendars
CPISwap::CPISwap(Type type,
Real nominal,
bool subtractInflationNominal,
// float + spread leg
Spread spread,
DayCounter floatDayCount,
Schedule floatSchedule,
const BusinessDayConvention& floatPaymentRoll,
Natural fixingDays,
ext::shared_ptr<IborIndex> floatIndex,
// fixed x inflation leg
Rate fixedRate,
Real baseCPI,
DayCounter fixedDayCount,
Schedule fixedSchedule,
const BusinessDayConvention& fixedPaymentRoll,
const Period& observationLag,
ext::shared_ptr<ZeroInflationIndex> fixedIndex,
CPI::InterpolationType observationInterpolation,
Real inflationNominal)
: Swap(2), type_(type), nominal_(nominal), subtractInflationNominal_(subtractInflationNominal),
spread_(spread), floatDayCount_(std::move(floatDayCount)),
floatSchedule_(std::move(floatSchedule)), floatPaymentRoll_(floatPaymentRoll),
fixingDays_(fixingDays), floatIndex_(std::move(floatIndex)), fixedRate_(fixedRate),
baseCPI_(baseCPI), fixedDayCount_(std::move(fixedDayCount)),
fixedSchedule_(std::move(fixedSchedule)), fixedPaymentRoll_(fixedPaymentRoll),
fixedIndex_(std::move(fixedIndex)), observationLag_(observationLag),
observationInterpolation_(observationInterpolation) {
QL_REQUIRE(!floatSchedule_.empty(), "empty float schedule");
QL_REQUIRE(!fixedSchedule_.empty(), "empty fixed schedule");
// \todo if roll!=unadjusted then need calendars ...
if (inflationNominal==Null<Real>()) inflationNominal_ = nominal_;
else inflationNominal_ = inflationNominal;
Leg floatingLeg;
if (floatSchedule_.size() > 1) {
floatingLeg = IborLeg(floatSchedule_, floatIndex_)
.withNotionals(nominal_)
.withSpreads(spread_)
.withPaymentDayCounter(floatDayCount_)
.withPaymentAdjustment(floatPaymentRoll_)
.withFixingDays(fixingDays_);
}
if (floatSchedule_.size()==1 ||
!subtractInflationNominal_ ||
(subtractInflationNominal && std::fabs(nominal_-inflationNominal_)>0.00001)
)
{
Date payNotional;
if (floatSchedule_.size()==1) { // no coupons
payNotional = floatSchedule_[0];
payNotional = floatSchedule_.calendar().adjust(payNotional, floatPaymentRoll_);
} else { // use the pay date of the last coupon
payNotional = floatingLeg.back()->date();
}
Real floatAmount = subtractInflationNominal_ ? nominal_ - inflationNominal_ : nominal_;
ext::shared_ptr<CashFlow> nf(new SimpleCashFlow(floatAmount, payNotional));
floatingLeg.push_back(nf);
}
// a CPIleg know about zero legs and inclusion of base inflation notional
Leg cpiLeg = CPILeg(fixedSchedule_, fixedIndex_,
baseCPI_, observationLag_)
.withNotionals(inflationNominal_)
.withFixedRates(fixedRate_)
.withPaymentDayCounter(fixedDayCount_)
.withPaymentAdjustment(fixedPaymentRoll_)
.withObservationInterpolation(observationInterpolation_)
.withSubtractInflationNominal(subtractInflationNominal_);
Leg::const_iterator i;
for (i = cpiLeg.begin(); i < cpiLeg.end(); ++i) {
registerWith(*i);
}
for (i = floatingLeg.begin(); i < floatingLeg.end(); ++i) {
registerWith(*i);
}
legs_[0] = cpiLeg;
legs_[1] = floatingLeg;
if (type_==Payer) {
payer_[0] = 1.0;
payer_[1] = -1.0;
} else {
payer_[0] = -1.0;
payer_[1] = 1.0;
}
}
//! for simple case sufficient to copy base class
void CPISwap::setupArguments(PricingEngine::arguments* args) const {
Swap::setupArguments(args);
auto* arguments = dynamic_cast<CPISwap::arguments*>(args);
if (arguments == nullptr)
return; // it's a swap engine...
}
Rate CPISwap::fairRate() const {
calculate();
QL_REQUIRE(fairRate_ != Null<Rate>(), "result not available");
return fairRate_;
}
Spread CPISwap::fairSpread() const {
calculate();
QL_REQUIRE(fairSpread_ != Null<Spread>(), "result not available");
return fairSpread_;
}
Real CPISwap::fixedLegNPV() const {//FIXME
calculate();
QL_REQUIRE(legNPV_[0] != Null<Real>(), "result not available");
return legNPV_[0];
}
Real CPISwap::floatLegNPV() const {//FIXME
calculate();
QL_REQUIRE(legNPV_[1] != Null<Real>(), "result not available");
return legNPV_[1];
}
void CPISwap::setupExpired() const {
Swap::setupExpired();
legBPS_[0] = legBPS_[1] = 0.0;
fairRate_ = Null<Rate>();
fairSpread_ = Null<Spread>();
}
void CPISwap::fetchResults(const PricingEngine::results* r) const {
static const Spread basisPoint = 1.0e-4;
// copy from VanillaSwap
// works because similarly simple instrument
// that we always expect to be priced with a swap engine
Swap::fetchResults(r);
const auto* results = dynamic_cast<const CPISwap::results*>(r);
if (results != nullptr) { // might be a swap engine, so no error is thrown
fairRate_ = results->fairRate;
fairSpread_ = results->fairSpread;
} else {
fairRate_ = Null<Rate>();
fairSpread_ = Null<Spread>();
}
if (fairRate_ == Null<Rate>()) {
// calculate it from other results
if (legBPS_[0] != Null<Real>())
fairRate_ = fixedRate_ - NPV_/(legBPS_[0]/basisPoint);
}
if (fairSpread_ == Null<Spread>()) {
// ditto
if (legBPS_[1] != Null<Real>())
fairSpread_ = spread_ - NPV_/(legBPS_[1]/basisPoint);
}
}
void CPISwap::arguments::validate() const {
Swap::arguments::validate();
}
void CPISwap::results::reset() {
Swap::results::reset();
fairRate = Null<Rate>();
fairSpread = Null<Spread>();
}
}
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