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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
<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/inflationcouponpricer.hpp>
#include <ql/indexes/inflationindex.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/shared_ptr.hpp>
#include <ql/termstructures/inflation/inflationhelpers.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/utilities/null_deleter.hpp>
#include <utility>
namespace QuantLib {
QL_DEPRECATED_DISABLE_WARNING
ZeroCouponInflationSwapHelper::ZeroCouponInflationSwapHelper(
const Handle<Quote>& quote,
const Period& swapObsLag,
const Date& maturity,
Calendar calendar,
BusinessDayConvention paymentConvention,
const DayCounter& dayCounter,
const ext::shared_ptr<ZeroInflationIndex>& zii,
CPI::InterpolationType observationInterpolation)
: ZeroCouponInflationSwapHelper(
quote, swapObsLag, maturity, std::move(calendar), paymentConvention,
dayCounter, zii, observationInterpolation,
// any nominal term structure will give the same result;
// when calculating the fair rate, the equal discount factors
// for the payments on the two legs will cancel out.
Handle<YieldTermStructure>(ext::make_shared<FlatForward>(0, NullCalendar(), 0.0, dayCounter))) {}
ZeroCouponInflationSwapHelper::ZeroCouponInflationSwapHelper(
const Handle<Quote>& quote,
const Period& swapObsLag,
const Date& maturity,
Calendar calendar,
BusinessDayConvention paymentConvention,
DayCounter dayCounter,
const ext::shared_ptr<ZeroInflationIndex>& zii,
CPI::InterpolationType observationInterpolation,
Handle<YieldTermStructure> nominalTermStructure)
: RelativeDateBootstrapHelper<ZeroInflationTermStructure>(quote), swapObsLag_(swapObsLag),
maturity_(maturity), calendar_(std::move(calendar)), paymentConvention_(paymentConvention),
dayCounter_(std::move(dayCounter)), observationInterpolation_(observationInterpolation),
nominalTermStructure_(std::move(nominalTermStructure)) {
zii_ = zii->clone(termStructureHandle_);
// We want to be notified of changes of fixings, but we don't
// want notifications from termStructureHandle_ (they would
// interfere with bootstrapping.)
zii_->unregisterWith(termStructureHandle_);
auto fixingPeriod = inflationPeriod(maturity_ - swapObsLag_, zii_->frequency());
auto interpolationPeriod = inflationPeriod(maturity, zii_->frequency());
if (detail::CPI::isInterpolated(observationInterpolation_) && maturity > interpolationPeriod.first) {
// if interpolated, we need to cover the end of the interpolation period
earliestDate_ = fixingPeriod.first;
latestDate_ = fixingPeriod.second + 1;
} else {
// if not interpolated, the date of the initial fixing is enough
earliestDate_ = fixingPeriod.first;
latestDate_ = fixingPeriod.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 (detail::CPI::isInterpolated(observationInterpolation_)) {
Period pShift(zii_->frequency());
QL_REQUIRE(swapObsLag_ - pShift >= zii_->availabilityLag(),
"inconsistency between swap observation lag "
<< swapObsLag_ << ", index period " << pShift << " and index availability "
<< zii_->availabilityLag() << ": need (obsLag-index period) >= availLag");
}
registerWith(zii_);
registerWith(nominalTermStructure_);
ZeroCouponInflationSwapHelper::initializeDates();
}
QL_DEPRECATED_ENABLE_WARNING
Real ZeroCouponInflationSwapHelper::impliedQuote() const {
zciis_->deepUpdate();
return zciis_->fairRate();
}
void ZeroCouponInflationSwapHelper::initializeDates() {
zciis_ = ext::make_shared<ZeroCouponInflationSwap>(
Swap::Payer, 1.0, evaluationDate_, maturity_, calendar_,
paymentConvention_, dayCounter_, 0.0, zii_, swapObsLag_,
observationInterpolation_);
// Because very simple instrument only takes
// standard discounting swap engine.
zciis_->setPricingEngine(
ext::make_shared<DiscountingSwapEngine>(nominalTermStructure_));
}
void ZeroCouponInflationSwapHelper::setTermStructure(ZeroInflationTermStructure* z) {
// do not set the relinkable handle as an observer -
// force recalculation when needed
bool observer = false;
ext::shared_ptr<ZeroInflationTermStructure> temp(z, null_deleter());
termStructureHandle_.linkTo(std::move(temp), observer);
RelativeDateBootstrapHelper<ZeroInflationTermStructure>::setTermStructure(z);
}
YearOnYearInflationSwapHelper::YearOnYearInflationSwapHelper(
const Handle<Quote>& quote,
const Period& swapObsLag,
const Date& maturity,
Calendar calendar,
BusinessDayConvention paymentConvention,
DayCounter dayCounter,
const ext::shared_ptr<YoYInflationIndex>& yii,
CPI::InterpolationType interpolation,
Handle<YieldTermStructure> nominalTermStructure)
: RelativeDateBootstrapHelper<YoYInflationTermStructure>(quote), swapObsLag_(swapObsLag),
maturity_(maturity), calendar_(std::move(calendar)), paymentConvention_(paymentConvention),
dayCounter_(std::move(dayCounter)), interpolation_(interpolation),
nominalTermStructure_(std::move(nominalTermStructure)) {
yii_ = yii->clone(termStructureHandle_);
// We want to be notified of changes of fixings, but we don't
// want notifications from termStructureHandle_ (they would
// interfere with bootstrapping.)
yii_->unregisterWith(termStructureHandle_);
auto fixingPeriod = inflationPeriod(maturity_ - swapObsLag_, yii_->frequency());
auto interpolationPeriod = inflationPeriod(maturity, yii_->frequency());
if (detail::CPI::isInterpolated(interpolation_, yii_) && maturity > interpolationPeriod.first) {
// if interpolated, we need to cover the end of the interpolation period
earliestDate_ = fixingPeriod.first;
latestDate_ = fixingPeriod.second + 1;
} else {
// if not interpolated, the date of the initial fixing is enough
earliestDate_ = fixingPeriod.first;
latestDate_ = fixingPeriod.first;
}
// check that the observation lag of the swap
// is compatible with the availability lag of the index AND
// its interpolation (assuming the start day is spot)
if (detail::CPI::isInterpolated(interpolation_, yii_)) {
Period pShift(yii_->frequency());
QL_REQUIRE(swapObsLag_ - pShift >= yii_->availabilityLag(),
"inconsistency between swap observation lag "
<< swapObsLag_ << ", index period " << pShift << " and index availability "
<< yii_->availabilityLag() << ": need (obsLag-index period) >= availLag");
}
registerWith(yii_);
registerWith(nominalTermStructure_);
YearOnYearInflationSwapHelper::initializeDates();
}
YearOnYearInflationSwapHelper::YearOnYearInflationSwapHelper(
const Handle<Quote>& quote,
const Period& swapObsLag,
const Date& maturity,
Calendar calendar,
BusinessDayConvention paymentConvention,
DayCounter dayCounter,
const ext::shared_ptr<YoYInflationIndex>& yii,
Handle<YieldTermStructure> nominalTermStructure)
: YearOnYearInflationSwapHelper(quote, swapObsLag, maturity, std::move(calendar), paymentConvention,
std::move(dayCounter), yii, CPI::AsIndex, std::move(nominalTermStructure)) {}
Real YearOnYearInflationSwapHelper::impliedQuote() const {
yyiis_->deepUpdate();
return yyiis_->fairRate();
}
void YearOnYearInflationSwapHelper::initializeDates() {
// always works because tenor is always 1 year so
// no problem with different days-in-month
Schedule fixedSchedule = MakeSchedule()
.from(evaluationDate_)
.to(maturity_)
.withTenor(1 * Years)
.withConvention(Unadjusted)
.withCalendar(calendar_) // fixed leg gets cal from sched
.backwards();
const Schedule& yoySchedule = fixedSchedule;
yyiis_ = ext::make_shared<YearOnYearInflationSwap>(
Swap::Payer, 1.0, fixedSchedule, 0.0, dayCounter_,
yoySchedule, yii_, swapObsLag_, interpolation_,
0.0, dayCounter_, calendar_, paymentConvention_);
// The instrument takes a standard discounting swap engine.
// The inflation-related work is done by the coupons.
yyiis_->setPricingEngine(
ext::make_shared<DiscountingSwapEngine>(nominalTermStructure_));
}
void YearOnYearInflationSwapHelper::setTermStructure(YoYInflationTermStructure* y) {
// do not set the relinkable handle as an observer -
// force recalculation when needed
bool observer = false;
ext::shared_ptr<YoYInflationTermStructure> temp(y, null_deleter());
termStructureHandle_.linkTo(std::move(temp), observer);
RelativeDateBootstrapHelper<YoYInflationTermStructure>::setTermStructure(y);
}
}
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