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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.
*/
/*! \file inflationhelpers.hpp
\brief Bootstrap helpers for inflation term structures
*/
#ifndef quantlib_inflation_helpers_hpp
#define quantlib_inflation_helpers_hpp
#include <ql/instruments/yearonyearinflationswap.hpp>
#include <ql/instruments/zerocouponinflationswap.hpp>
#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/termstructures/inflationtermstructure.hpp>
namespace QuantLib {
//! Zero-coupon inflation-swap bootstrap helper
class ZeroCouponInflationSwapHelper
: public RelativeDateBootstrapHelper<ZeroInflationTermStructure> {
public:
ZeroCouponInflationSwapHelper(
const Handle<Quote>& quote,
const Period& swapObsLag, // lag on swap observation of index
const Date& maturity,
Calendar calendar, // index may have null calendar as valid on every day
BusinessDayConvention paymentConvention,
DayCounter dayCounter,
const ext::shared_ptr<ZeroInflationIndex>& zii,
CPI::InterpolationType observationInterpolation);
ZeroCouponInflationSwapHelper(
const Handle<Quote>& quote,
const Period& swapObsLag, // lag on swap observation of index
const Date& startDate,
const Date& endDate,
Calendar calendar, // index may have null calendar as valid on every day
BusinessDayConvention paymentConvention,
DayCounter dayCounter,
const ext::shared_ptr<ZeroInflationIndex>& zii,
CPI::InterpolationType observationInterpolation);
/*! \deprecated Use the overload that does not take a nominal curve.
Deprecated in version 1.39.
*/
[[deprecated("Use the overload that does not take a nominal curve.")]]
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);
void setTermStructure(ZeroInflationTermStructure*) override;
Real impliedQuote() const override;
//! \name inspectors
//@{
// NOLINTNEXTLINE(cppcoreguidelines-noexcept-swap,performance-noexcept-swap)
ext::shared_ptr<ZeroCouponInflationSwap> swap() const { return zciis_; }
//@}
protected:
void initializeDates() override;
Period swapObsLag_;
Date startDate_, maturity_;
Calendar calendar_;
BusinessDayConvention paymentConvention_;
DayCounter dayCounter_;
ext::shared_ptr<ZeroInflationIndex> zii_;
CPI::InterpolationType observationInterpolation_;
ext::shared_ptr<ZeroCouponInflationSwap> zciis_;
Handle<YieldTermStructure> nominalTermStructure_;
RelinkableHandle<ZeroInflationTermStructure> termStructureHandle_;
private:
ZeroCouponInflationSwapHelper(
const Handle<Quote>& quote,
const Period& swapObsLag,
const Date& startDate,
const Date& endDate,
Calendar calendar,
BusinessDayConvention paymentConvention,
DayCounter dayCounter,
const ext::shared_ptr<ZeroInflationIndex>& zii,
CPI::InterpolationType observationInterpolation,
Handle<YieldTermStructure> nominalTermStructure);
};
//! Year-on-year inflation-swap bootstrap helper
class YearOnYearInflationSwapHelper
: public RelativeDateBootstrapHelper<YoYInflationTermStructure> {
public:
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);
YearOnYearInflationSwapHelper(const Handle<Quote>& quote,
const Period& swapObsLag,
const Date& startDate,
const Date& endDate,
Calendar calendar,
BusinessDayConvention paymentConvention,
DayCounter dayCounter,
const ext::shared_ptr<YoYInflationIndex>& yii,
CPI::InterpolationType interpolation,
Handle<YieldTermStructure> nominalTermStructure);
void setTermStructure(YoYInflationTermStructure*) override;
Real impliedQuote() const override;
//! \name inspectors
//@{
// NOLINTNEXTLINE(cppcoreguidelines-noexcept-swap,performance-noexcept-swap)
ext::shared_ptr<YearOnYearInflationSwap> swap() const { return yyiis_; }
//@}
protected:
void initializeDates() override;
Period swapObsLag_;
Date startDate_, maturity_;
Calendar calendar_;
BusinessDayConvention paymentConvention_;
DayCounter dayCounter_;
ext::shared_ptr<YoYInflationIndex> yii_;
CPI::InterpolationType interpolation_;
ext::shared_ptr<YearOnYearInflationSwap> yyiis_;
Handle<YieldTermStructure> nominalTermStructure_;
RelinkableHandle<YoYInflationTermStructure> termStructureHandle_;
};
}
#endif
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