Logo Search packages:      
Sourcecode: quantlib version File versions  Download package

yoyinflationcoupon.cpp

/* -*- 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
 <http://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/cashflows/inflationcoupon.hpp>
#include <ql/cashflows/capflooredinflationcoupon.hpp>
#include <ql/cashflows/cashflowvectors.hpp>

namespace QuantLib {

    YoYInflationCoupon::
    YoYInflationCoupon(const Date& paymentDate,
                   Real nominal,
                   const Date& startDate,
                   const Date& endDate,
                   Natural fixingDays,
                   const boost::shared_ptr<YoYInflationIndex>& yoyIndex,
                   const Period& observationLag,
                   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), gearing_(gearing), spread_(spread) {}


    void YoYInflationCoupon::accept(AcyclicVisitor& v) {
        Visitor<YoYInflationCoupon>* v1 =
        dynamic_cast<Visitor<YoYInflationCoupon>*>(&v);
        if (v1 != 0)
            v1->visit(*this);
        else
            InflationCoupon::accept(v);
    }


00057     bool YoYInflationCoupon::checkPricerImpl(
        const boost::shared_ptr<InflationCouponPricer>&pricer) const {
        return boost::dynamic_pointer_cast<YoYInflationCouponPricer>(pricer);
    }



    yoyInflationLeg::
    yoyInflationLeg(const Schedule& schedule, const Calendar& paymentCalendar,
                    const boost::shared_ptr<YoYInflationIndex>& index,
                    const Period& observationLag)
    : schedule_(schedule), index_(index),
      observationLag_(observationLag),
      paymentAdjustment_(ModifiedFollowing),
      paymentCalendar_(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(!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;
        Date lastPaymentDate = calendar.adjust(schedule_.date(n), paymentAdjustment_);

        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_.isRegular(i+1)) {
                BusinessDayConvention bdc = schedule_.businessDayConvention();
                refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);
            }
            if (i==n-1 && !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(boost::shared_ptr<CashFlow>(new
                            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
                    boost::shared_ptr<YoYInflationCoupon> coup(new
                            YoYInflationCoupon(
                            paymentDate,
                            detail::get(notionals_, i, 1.0),
                            start, end,
                            detail::get(fixingDays_, i, 0),
                            index_,
                            observationLag_,
                            paymentDayCounter_,
                            detail::get(gearings_, i, 1.0),
                            detail::get(spreads_, i, 0.0),
                            refStart, refEnd));

                    // in this case you can set a pricer
                    // straight away because it only provides computation - not data
                    boost::shared_ptr<YoYInflationCouponPricer> pricer(
                                            new YoYInflationCouponPricer);
                    coup->setPricer(pricer);
                    leg.push_back(boost::dynamic_pointer_cast<CashFlow>(coup));



                } else {    // cap/floorlet
                    leg.push_back(boost::shared_ptr<CashFlow>(new
                            CappedFlooredYoYInflationCoupon(
                            paymentDate,
                            detail::get(notionals_, i, 1.0),
                            start, end,
                            detail::get(fixingDays_, i, 0),
                            index_,
                            observationLag_,
                            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)));
                }
            }
        }

        return leg;
    }






}


Generated by  Doxygen 1.6.0   Back to index