CPILeg Class Reference

Helper class building a sequence of capped/floored CPI coupons. More...

#include <qle/cashflows/cpicoupon.hpp>

Collaboration diagram for CPILeg:

Public Member Functions
	CPILeg (const Schedule &schedule, const ext::shared_ptr< ZeroInflationIndex > &index, const Handle< YieldTermStructure > &rateCurve, const Real baseCPI, const Period &observationLag)
CPILeg &	withNotionals (Real notional)
CPILeg &	withNotionals (const std::vector< Real > &notionals)
CPILeg &	withFixedRates (Real fixedRate)
CPILeg &	withFixedRates (const std::vector< Real > &fixedRates)
CPILeg &	withPaymentDayCounter (const DayCounter &)
CPILeg &	withPaymentAdjustment (BusinessDayConvention)
CPILeg &	withPaymentCalendar (const Calendar &)
CPILeg &	withPaymentLag (Natural lag)
CPILeg &	withFixingDays (Natural fixingDays)
CPILeg &	withFixingDays (const std::vector< Natural > &fixingDays)
CPILeg &	withObservationInterpolation (CPI::InterpolationType)
CPILeg &	withSubtractInflationNominal (bool)
CPILeg &	withCaps (Rate cap)
CPILeg &	withCaps (const std::vector< Rate > &caps)
CPILeg &	withFloors (Rate floor)
CPILeg &	withFloors (const std::vector< Rate > &floors)
CPILeg &	withFinalFlowCap (Rate cap)
CPILeg &	withFinalFlowFloor (Rate floor)
CPILeg &	withExCouponPeriod (const Period &, const Calendar &, BusinessDayConvention, bool endOfMonth=false)
CPILeg &	withStartDate (const Date &startDate)
CPILeg &	withObservationLag (const Period &observationLag)
CPILeg &	withSubtractInflationNominalAllCoupons (bool subtractInflationNominalAllCoupons)
CPILeg &	withBaseDate (const Date &baseDate)
	operator Leg () const

Private Attributes
Schedule	schedule_
ext::shared_ptr< ZeroInflationIndex >	index_
Handle< YieldTermStructure >	rateCurve_
Real	baseCPI_
Period	observationLag_
std::vector< Real >	notionals_
std::vector< Real >	fixedRates_
DayCounter	paymentDayCounter_
BusinessDayConvention	paymentAdjustment_
Calendar	paymentCalendar_
Natural	paymentLag_
std::vector< Natural >	fixingDays_
CPI::InterpolationType	observationInterpolation_
bool	subtractInflationNominal_
std::vector< Rate >	caps_
std::vector< Rate >	floors_
double	finalFlowCap_
double	finalFlowFloor_
Period	exCouponPeriod_
Calendar	exCouponCalendar_
BusinessDayConvention	exCouponAdjustment_
bool	exCouponEndOfMonth_
bool	subtractInflationNominalAllCoupons_
Date	startDate_
Date	baseDate_

Detailed Description

Helper class building a sequence of capped/floored CPI coupons.

Also allowing for the inflated notional at the end... especially if there is only one date in the schedule. If a fixedRate is zero you get a FixedRateCoupon, otherwise you get a ZeroInflationCoupon.

payoff is: spread + fixedRate x index

Definition at line 138 of file cpicoupon.hpp.

Constructor & Destructor Documentation

CPILeg()

CPILeg	(	const Schedule &	schedule,
		const ext::shared_ptr< ZeroInflationIndex > &	index,
		const Handle< YieldTermStructure > &	rateCurve,
		const Real	baseCPI,
		const Period &	observationLag
	)

Definition at line 225 of file cpicoupon.cpp.

    : schedule_(schedule), index_(index), rateCurve_(rateCurve), baseCPI_(baseCPI), observationLag_(observationLag),
      paymentDayCounter_(Thirty360(Thirty360::BondBasis)), paymentAdjustment_(ModifiedFollowing), paymentCalendar_(schedule.calendar()),
      fixingDays_(std::vector<Natural>(1, 0)), observationInterpolation_(CPI::AsIndex), subtractInflationNominal_(true),
      finalFlowCap_(Null<Real>()), finalFlowFloor_(Null<Real>()), subtractInflationNominalAllCoupons_(false),
      startDate_(schedule_.dates().front()) {
    QL_REQUIRE(schedule_.dates().size() > 0, "empty schedule passed to CPILeg");
}

Member Function Documentation

withNotionals() [1/2]

CPILeg & withNotionals

(

Real

notional

)

Definition at line 250 of file cpicoupon.cpp.

                                           {
    notionals_ = std::vector<Real>(1, notional);
    return *this;
}

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withNotionals() [2/2]

CPILeg & withNotionals

(

const std::vector< Real > &

notionals

)

Definition at line 255 of file cpicoupon.cpp.

                                                              {
    notionals_ = notionals;
    return *this;
}

withFixedRates() [1/2]

CPILeg & withFixedRates

(

Real

fixedRate

)

Definition at line 240 of file cpicoupon.cpp.

                                             {
    fixedRates_ = std::vector<Real>(1, fixedRate);
    return *this;
}

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withFixedRates() [2/2]

CPILeg & withFixedRates

(

const std::vector< Real > &

fixedRates

)

Definition at line 245 of file cpicoupon.cpp.

                                                                {
    fixedRates_ = fixedRates;
    return *this;
}

withPaymentDayCounter()

CPILeg & withPaymentDayCounter

(

const DayCounter &

dayCounter

)

Definition at line 265 of file cpicoupon.cpp.

                                                                  {
    paymentDayCounter_ = dayCounter;
    return *this;
}

withPaymentAdjustment()

CPILeg & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 270 of file cpicoupon.cpp.

                                                                      {
    paymentAdjustment_ = convention;
    return *this;
}

withPaymentCalendar()

CPILeg & withPaymentCalendar

(

const Calendar &

cal

)

Definition at line 275 of file cpicoupon.cpp.

                                                       {
    paymentCalendar_ = cal;
    return *this;
}

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withPaymentLag()

CPILeg & withPaymentLag

(

Natural

lag

)

Definition at line 280 of file cpicoupon.cpp.

                                          {
    paymentLag_ = lag;
    return *this;
}

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withFixingDays() [1/2]

CPILeg & withFixingDays

(

Natural

fixingDays

)

Definition at line 285 of file cpicoupon.cpp.

                                                 {
    fixingDays_ = std::vector<Natural>(1, fixingDays);
    return *this;
}

withFixingDays() [2/2]

CPILeg & withFixingDays

(

const std::vector< Natural > &

fixingDays

)

Definition at line 290 of file cpicoupon.cpp.

                                                                   {
    fixingDays_ = fixingDays;
    return *this;
}

withObservationInterpolation()

CPILeg & withObservationInterpolation

(

CPI::InterpolationType

interp

)

Definition at line 235 of file cpicoupon.cpp.

                                                                        {
    observationInterpolation_ = interp;
    return *this;
}

withSubtractInflationNominal()

CPILeg & withSubtractInflationNominal

(

bool

growthOnly

)

Definition at line 260 of file cpicoupon.cpp.

                                                            {
    subtractInflationNominal_ = growthOnly;
    return *this;
}

withCaps() [1/2]

CPILeg & withCaps

(

Rate

cap

)

Definition at line 295 of file cpicoupon.cpp.

                                 {
    caps_ = std::vector<Rate>(1, cap);
    return *this;
}

withCaps() [2/2]

CPILeg & withCaps

(

const std::vector< Rate > &

caps

)

Definition at line 300 of file cpicoupon.cpp.

                                                    {
    caps_ = caps;
    return *this;
}

withFloors() [1/2]

CPILeg & withFloors

(

Rate

floor

)

Definition at line 305 of file cpicoupon.cpp.

                                     {
    floors_ = std::vector<Rate>(1, floor);
    return *this;
}

withFloors() [2/2]

CPILeg & withFloors

(

const std::vector< Rate > &

floors

)

Definition at line 320 of file cpicoupon.cpp.

                                                        {
    floors_ = floors;
    return *this;
}

withFinalFlowCap()

CPILeg & withFinalFlowCap

(

Rate

cap

)

Definition at line 310 of file cpicoupon.cpp.

                                         {
    finalFlowCap_ = cap;
    return *this;
}

withFinalFlowFloor()

CPILeg & withFinalFlowFloor

(

Rate

floor

)

Definition at line 315 of file cpicoupon.cpp.

                                             {
    finalFlowFloor_ = floor;
    return *this;
}

withExCouponPeriod()

CPILeg & withExCouponPeriod	(	const Period &	period,
		const Calendar &	cal,
		BusinessDayConvention	convention,
		bool	endOfMonth = false
	)

Definition at line 335 of file cpicoupon.cpp.

                                                    {
    exCouponPeriod_ = period;
    exCouponCalendar_ = cal;
    exCouponAdjustment_ = convention;
    exCouponEndOfMonth_ = endOfMonth;
    return *this;
}

withStartDate()

CPILeg & withStartDate

(

const Date &

startDate

)

Definition at line 325 of file cpicoupon.cpp.

                                                   {
    startDate_ = startDate;
    return *this;
}

withObservationLag()

CPILeg & withObservationLag

(

const Period &

observationLag

)

Definition at line 330 of file cpicoupon.cpp.

                                                               {
    observationLag_ = observationLag;
    return *this;
}

withSubtractInflationNominalAllCoupons()

CPILeg & withSubtractInflationNominalAllCoupons

(

bool

subtractInflationNominalAllCoupons

)

Definition at line 344 of file cpicoupon.cpp.

                                                                                              {
    subtractInflationNominalAllCoupons_ = subtractInflationNominalAllCoupons;
    return *this;
}

withBaseDate()

CPILeg & withBaseDate

(

const Date &

baseDate

)

operator Leg()

operator Leg

(

)

const

Definition at line 349 of file cpicoupon.cpp.

                           {
 
    QL_REQUIRE(!notionals_.empty(), "no notional given");
    Size n = schedule_.size() - 1;
    Leg leg;
    leg.reserve(n + 1); // +1 for notional, we always have some sort ...
    Date baseDate = baseDate_ == Date() ? startDate_ - observationLag_ : baseDate_;
    if (n > 0) {
        QL_REQUIRE(!fixedRates_.empty(), "no fixedRates given");
 
        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 = paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_);
 
            Date exCouponDate;
            if (exCouponPeriod_ != Period()) {
                exCouponDate =
                    exCouponCalendar_.advance(paymentDate, -exCouponPeriod_, exCouponAdjustment_, exCouponEndOfMonth_);
            }
 
            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);
            }
 
            auto coup = ext::make_shared<CPICoupon>(
                baseCPI_, // all have same base for ratio
                baseDate, paymentDate, detail::get(notionals_, i, 0.0), start, end, index_, observationLag_,
                observationInterpolation_, paymentDayCounter_, detail::get(fixedRates_, i, 0.0),
                refStart, refEnd, exCouponDate, subtractInflationNominalAllCoupons_);
 
            // set a pricer for the underlying coupon straight away because it only provides computation - not data
            auto pricer = ext::make_shared<CPICouponPricer>(Handle<YieldTermStructure>(rateCurve_));
            coup->setPricer(pricer);
 
            if (detail::noOption(caps_, floors_, i)) { // just swaplet
                leg.push_back(coup);
            } else { // cap/floorlet
                auto cfCoup = ext::make_shared<CappedFlooredCPICoupon>(
                    coup, startDate_, detail::get(caps_, i, Null<Rate>()), detail::get(floors_, i, Null<Rate>()));
                // in this case we need to set the "outer" pricer later that handles cap and floor
                leg.push_back(cfCoup);
            }
        }
    }
 
    // in CPI legs you always have a notional flow of some sort
    
    // Previous implementations didn't differentiate the observation and payment dates
    Date observationDate = paymentCalendar_.adjust(schedule_.date(n), paymentAdjustment_);
    Date paymentDate = paymentCalendar_.advance(schedule_.date(n), paymentLag_, Days, paymentAdjustment_);
 
    ext::shared_ptr<CPICashFlow> xnl = ext::make_shared<CPICashFlow>(
        detail::get(notionals_, n, 0.0), index_, baseDate, baseCPI_, observationDate, observationLag_,
        observationInterpolation_, paymentDate, subtractInflationNominal_);
 
    if (finalFlowCap_ == Null<Real>() && finalFlowFloor_ == Null<Real>()) {
        leg.push_back(xnl);
    } else {
        ext::shared_ptr<CappedFlooredCPICashFlow> cfxnl = ext::make_shared<CappedFlooredCPICashFlow>(
            xnl, startDate_, observationLag_, finalFlowCap_, finalFlowFloor_);
        leg.push_back(cfxnl);
    }
 
    return leg;
}

Member Data Documentation

schedule_

Schedule schedule_

private

Definition at line 168 of file cpicoupon.hpp.

index_

ext::shared_ptr<ZeroInflationIndex> index_

private

Definition at line 169 of file cpicoupon.hpp.

rateCurve_

Handle<YieldTermStructure> rateCurve_

private

Definition at line 170 of file cpicoupon.hpp.

baseCPI_

Real baseCPI_

private

Definition at line 171 of file cpicoupon.hpp.

observationLag_

Period observationLag_

private

Definition at line 172 of file cpicoupon.hpp.

notionals_

std::vector<Real> notionals_

private

Definition at line 173 of file cpicoupon.hpp.

fixedRates_

std::vector<Real> fixedRates_

private

Definition at line 174 of file cpicoupon.hpp.

paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 175 of file cpicoupon.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_

private

Definition at line 176 of file cpicoupon.hpp.

paymentCalendar_

Calendar paymentCalendar_

private

Definition at line 177 of file cpicoupon.hpp.

paymentLag_

Natural paymentLag_

private

Definition at line 178 of file cpicoupon.hpp.

fixingDays_

std::vector<Natural> fixingDays_

private

Definition at line 179 of file cpicoupon.hpp.

observationInterpolation_

CPI::InterpolationType observationInterpolation_

private

Definition at line 180 of file cpicoupon.hpp.

subtractInflationNominal_

bool subtractInflationNominal_

private

Definition at line 181 of file cpicoupon.hpp.

caps_

std::vector<Rate> caps_

private

Definition at line 182 of file cpicoupon.hpp.

floors_

std::vector<Rate> floors_

private

Definition at line 182 of file cpicoupon.hpp.

finalFlowCap_

double finalFlowCap_

private

Definition at line 183 of file cpicoupon.hpp.

finalFlowFloor_

double finalFlowFloor_

private

Definition at line 183 of file cpicoupon.hpp.

exCouponPeriod_

Period exCouponPeriod_

private

Definition at line 184 of file cpicoupon.hpp.

exCouponCalendar_

Calendar exCouponCalendar_

private

Definition at line 185 of file cpicoupon.hpp.

exCouponAdjustment_

BusinessDayConvention exCouponAdjustment_

private

Definition at line 186 of file cpicoupon.hpp.

exCouponEndOfMonth_

bool exCouponEndOfMonth_

private

Definition at line 187 of file cpicoupon.hpp.

subtractInflationNominalAllCoupons_

bool subtractInflationNominalAllCoupons_

private

Definition at line 188 of file cpicoupon.hpp.

startDate_

Date startDate_

private

Definition at line 191 of file cpicoupon.hpp.

baseDate_

Date baseDate_

private

Definition at line 193 of file cpicoupon.hpp.