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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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
<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/capflooredinflationcoupon.hpp>
#include <ql/cashflows/cashflowvectors.hpp>
#include <ql/cashflows/inflationcoupon.hpp>
#include <ql/cashflows/inflationcouponpricer.hpp>
#include <utility>
namespace QuantLib {
YoYInflationCoupon::
YoYInflationCoupon(const Date& paymentDate,
Real nominal,
const Date& startDate,
const Date& endDate,
Natural fixingDays,
const ext::shared_ptr<YoYInflationIndex>& yoyIndex,
const Period& observationLag,
CPI::InterpolationType interpolation,
const DayCounter& dayCounter,
Real gearing,
Spread spread,
const Date& refPeriodStart,
const Date& refPeriodEnd)
: InflationCoupon(paymentDate, nominal, startDate, endDate,
fixingDays, yoyIndex, observationLag,
dayCounter, refPeriodStart, refPeriodEnd),
yoyIndex_(yoyIndex), interpolation_(interpolation), gearing_(gearing), spread_(spread) {}
void YoYInflationCoupon::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<YoYInflationCoupon>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
InflationCoupon::accept(v);
}
bool YoYInflationCoupon::checkPricerImpl(
const ext::shared_ptr<InflationCouponPricer>&pricer) const {
return static_cast<bool>(
ext::dynamic_pointer_cast<YoYInflationCouponPricer>(pricer));
}
Rate YoYInflationCoupon::indexFixing() const {
return CPI::laggedYoYRate(yoyIndex(), accrualEndDate(), observationLag(), interpolation_);
}
yoyInflationLeg::yoyInflationLeg(Schedule schedule,
Calendar paymentCalendar,
ext::shared_ptr<YoYInflationIndex> index,
const Period& observationLag,
CPI::InterpolationType interpolation)
: schedule_(std::move(schedule)), index_(std::move(index)), observationLag_(observationLag),
interpolation_(interpolation), paymentCalendar_(std::move(paymentCalendar)) {}
yoyInflationLeg& yoyInflationLeg::withNotionals(Real notional) {
notionals_ = std::vector<Real>(1,notional);
return *this;
}
yoyInflationLeg& yoyInflationLeg::withNotionals(const std::vector<Real>& notionals) {
notionals_ = notionals;
return *this;
}
yoyInflationLeg& yoyInflationLeg::withPaymentDayCounter(const DayCounter& dayCounter) {
paymentDayCounter_ = dayCounter;
return *this;
}
yoyInflationLeg& yoyInflationLeg::withPaymentAdjustment(BusinessDayConvention convention) {
paymentAdjustment_ = convention;
return *this;
}
yoyInflationLeg& yoyInflationLeg::withFixingDays(Natural fixingDays) {
fixingDays_ = std::vector<Natural>(1,fixingDays);
return *this;
}
yoyInflationLeg& yoyInflationLeg::withFixingDays(const std::vector<Natural>& fixingDays) {
fixingDays_ = fixingDays;
return *this;
}
yoyInflationLeg& yoyInflationLeg::withGearings(Real gearing) {
gearings_ = std::vector<Real>(1,gearing);
return *this;
}
yoyInflationLeg& yoyInflationLeg::withGearings(const std::vector<Real>& gearings) {
gearings_ = gearings;
return *this;
}
yoyInflationLeg& yoyInflationLeg::withSpreads(Spread spread) {
spreads_ = std::vector<Spread>(1,spread);
return *this;
}
yoyInflationLeg& yoyInflationLeg::withSpreads(const std::vector<Spread>& spreads) {
spreads_ = spreads;
return *this;
}
yoyInflationLeg& yoyInflationLeg::withCaps(Rate cap) {
caps_ = std::vector<Rate>(1,cap);
return *this;
}
yoyInflationLeg& yoyInflationLeg::withCaps(const std::vector<Rate>& caps) {
caps_ = caps;
return *this;
}
yoyInflationLeg& yoyInflationLeg::withFloors(Rate floor) {
floors_ = std::vector<Rate>(1,floor);
return *this;
}
yoyInflationLeg& yoyInflationLeg::withFloors(const std::vector<Rate>& floors) {
floors_ = floors;
return *this;
}
yoyInflationLeg::operator Leg() const {
Size n = schedule_.size()-1;
QL_REQUIRE(!paymentDayCounter_.empty(), "no payment daycounter given");
QL_REQUIRE(!notionals_.empty(), "no notional given");
QL_REQUIRE(notionals_.size() <= n,
"too many nominals (" << notionals_.size() <<
"), only " << n << " required");
QL_REQUIRE(gearings_.size()<=n,
"too many gearings (" << gearings_.size() <<
"), only " << n << " required");
QL_REQUIRE(spreads_.size()<=n,
"too many spreads (" << spreads_.size() <<
"), only " << n << " required");
QL_REQUIRE(caps_.size()<=n,
"too many caps (" << caps_.size() <<
"), only " << n << " required");
QL_REQUIRE(floors_.size()<=n,
"too many floors (" << floors_.size() <<
"), only " << n << " required");
Leg leg; leg.reserve(n);
Calendar calendar = paymentCalendar_;
Date refStart, start, refEnd, end;
for (Size i=0; i<n; ++i) {
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i+1);
Date paymentDate = calendar.adjust(end, paymentAdjustment_);
if (i==0 && schedule_.hasIsRegular() && !schedule_.isRegular(i+1)) {
BusinessDayConvention bdc = schedule_.businessDayConvention();
refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);
}
if (i==n-1 && schedule_.hasIsRegular() && !schedule_.isRegular(i+1)) {
BusinessDayConvention bdc = schedule_.businessDayConvention();
refEnd = schedule_.calendar().adjust(start + schedule_.tenor(), bdc);
}
if (detail::get(gearings_, i, 1.0) == 0.0) { // fixed coupon
leg.push_back(ext::make_shared<FixedRateCoupon>(
paymentDate,
detail::get(notionals_, i, 1.0),
detail::effectiveFixedRate(spreads_,caps_,
floors_,i),
paymentDayCounter_,
start, end, refStart, refEnd));
} else { // yoy inflation coupon
if (detail::noOption(caps_, floors_, i)) { // just swaplet
leg.push_back(ext::make_shared<YoYInflationCoupon>(
paymentDate,
detail::get(notionals_, i, 1.0),
start, end,
detail::get(fixingDays_, i, 0),
index_,
observationLag_,
interpolation_,
paymentDayCounter_,
detail::get(gearings_, i, 1.0),
detail::get(spreads_, i, 0.0),
refStart, refEnd));
} else { // cap/floorlet
leg.push_back(ext::make_shared<CappedFlooredYoYInflationCoupon>(
paymentDate,
detail::get(notionals_, i, 1.0),
start, end,
detail::get(fixingDays_, i, 0),
index_,
observationLag_,
interpolation_,
paymentDayCounter_,
detail::get(gearings_, i, 1.0),
detail::get(spreads_, i, 0.0),
detail::get(caps_, i, Null<Rate>()),
detail::get(floors_, i, Null<Rate>()),
refStart, refEnd));
}
}
}
// Without caps or floors, this is enough; otherwise, a more
// specific pricer will need to be set in client code.
if (caps_.empty() && floors_.empty())
setCouponPricer(leg, ext::make_shared<YoYInflationCouponPricer>());
return leg;
}
}
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