CappedFlooredCPICoupon Class Reference

Capped or floored CPI coupon. More...

#include <qle/cashflows/cpicoupon.hpp>

Inheritance diagram for CappedFlooredCPICoupon:

Collaboration diagram for CappedFlooredCPICoupon:

Public Member Functions
	CappedFlooredCPICoupon (const ext::shared_ptr< CPICoupon > &underlying, Date startDate=Date(), Rate cap=Null< Rate >(), Rate floor=Null< Rate >())
virtual Rate	rate () const override
ext::shared_ptr< CPICoupon >	underlying () const
Observer interface
void	update () override
Public Member Functions inherited from CPICoupon
	CPICoupon (Real baseCPI, const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::shared_ptr< ZeroInflationIndex > &index, const Period &observationLag, CPI::InterpolationType observationInterpolation, const DayCounter &dayCounter, Real fixedRate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date(), bool subtractInflationNominal=false)
	CPICoupon (Real baseCPI, const Date &baseDate, const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::shared_ptr< ZeroInflationIndex > &index, const Period &observationLag, CPI::InterpolationType observationInterpolation, const DayCounter &dayCounter, Real fixedRate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date(), bool subtractInflationNominal=false)
virtual Rate	rate () const override
bool	subtractInflationNotional ()

Visitability
ext::shared_ptr< CPICoupon >	underlying_
ext::shared_ptr< CPICapFloor >	cpiCap_
ext::shared_ptr< CPICapFloor >	cpiFloor_
Date	startDate_
bool	isFloored_
bool	isCapped_
Rate	cap_
Rate	floor_
virtual void	accept (AcyclicVisitor &v) override
bool	isCapped () const
bool	isFloored () const
virtual void	setCommon (Rate cap, Rate floor)

Additional Inherited Members
Protected Attributes inherited from CPICoupon
bool	subtractInflationNominal_

Detailed Description

Capped or floored CPI coupon.

Extended QuantLib::CPICoupon

Definition at line 99 of file cpicoupon.hpp.

Constructor & Destructor Documentation

CappedFlooredCPICoupon()

CappedFlooredCPICoupon	(	const ext::shared_ptr< CPICoupon > &	underlying,
		Date	startDate = Date(),
		Rate	cap = Null<Rate>(),
		Rate	floor = Null<Rate>()
	)

Definition at line 72 of file cpicoupon.cpp.

    : CPICoupon(underlying->baseCPI(), underlying->baseDate(), underlying->date(), underlying->nominal(), underlying->accrualStartDate(),
                underlying->accrualEndDate(), underlying->cpiIndex(),
                underlying->observationLag(), underlying->observationInterpolation(), underlying->dayCounter(),
                underlying->fixedRate(), underlying->referencePeriodStart(),
                underlying->referencePeriodEnd(), underlying->exCouponDate(), underlying->subtractInflationNotional()),
      underlying_(underlying), startDate_(startDate), isFloored_(false), isCapped_(false) {
 
    setCommon(cap, floor);
    registerWith(underlying);
 
    Calendar cal = underlying->cpiIndex()->fixingCalendar(); // not used by the CPICapFloor engine
    BusinessDayConvention conv = Unadjusted;                 // not used by the CPICapFloor engine
 
    if (isCapped_) {
        Rate effectiveCap = cap_;
        cpiCap_ = QuantLib::ext::make_shared<CPICapFloor>(
            Option::Call, underlying_->nominal(), startDate_, underlying_->baseCPI(), underlying_->date(), cal, conv,
            cal, conv, effectiveCap, underlying_->cpiIndex(), underlying_->observationLag(),
            underlying_->observationInterpolation());
        // std::cout << "Capped/Floored CPI Coupon" << std::endl
        //    << "  nominal = " << underlying_->nominal() << std::endl
        //    << "  paymentDate = " << QuantLib::io::iso_date(underlying_->date()) << std::endl
        //    << "  startDate = " << QuantLib::io::iso_date(startDate_) << std::endl
        //    << "  baseCPI = " << underlying_->baseCPI() << std::endl
        //    << "  lag = " << underlying_->observationLag() << std::endl
        //    << "  interpolation = " << underlying_->observationInterpolation() << std::endl;
    }
    if (isFloored_) {
        Rate effectiveFloor = floor_;
        cpiFloor_ = QuantLib::ext::make_shared<CPICapFloor>(
            Option::Put, underlying_->nominal(), startDate_, underlying_->baseCPI(), underlying_->date(), cal, conv,
            cal, conv, effectiveFloor, underlying_->cpiIndex(),
            underlying_->observationLag(),
            underlying_->observationInterpolation());
    }
}

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Member Function Documentation

rate()

Rate rate ( ) const

overridevirtual

Reimplemented from CPICoupon.

Definition at line 111 of file cpicoupon.cpp.

                                        {
    // rate =  fixedRate * capped/floored index
    QuantLib::ext::shared_ptr<CappedFlooredCPICouponPricer> blackPricer =
        QuantLib::ext::dynamic_pointer_cast<CappedFlooredCPICouponPricer>(pricer_);
    QL_REQUIRE(blackPricer, "BlackCPICouponPricer or BachelierCPICouponPricer expected");
    Real capValue = 0.0, floorValue = 0.0;
    if (isCapped_) {
        cpiCap_->setPricingEngine(blackPricer->engine());
        capValue = cpiCap_->NPV();
    }
    if (isFloored_) {
        cpiFloor_->setPricingEngine(blackPricer->engine());
        floorValue = cpiFloor_->NPV();
    }
    Real discount = blackPricer->yieldCurve()->discount(underlying_->date());
    Real nominal = underlying_->nominal();
    // normalize, multiplication with nominal, year fraction, discount follows
    Real capAmount = capValue / (nominal * discount);
    Real floorAmount = floorValue / (nominal * discount);
 
    Rate swapletRate = underlying_->rate();
    // apply gearing
    Rate floorletRate = floorAmount * underlying_->fixedRate();
    Rate capletRate = capAmount * underlying_->fixedRate();
    // long floor, short cap
    Rate totalRate = swapletRate + floorletRate - capletRate;
 
    return totalRate;
}

underlying()

ext::shared_ptr< CPICoupon > underlying

(

)

const

Definition at line 105 of file cpicoupon.hpp.

{ return underlying_; }

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update()

void update ( )

override

Definition at line 141 of file cpicoupon.cpp.

{ notifyObservers(); }

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Definition at line 143 of file cpicoupon.cpp.

                                                     {
    Visitor<CappedFlooredCPICoupon>* v1 = dynamic_cast<Visitor<CappedFlooredCPICoupon>*>(&v);
    if (v1 != 0)
        v1->visit(*this);
    else
        CPICoupon::accept(v);
}

isCapped()

bool isCapped

(

)

const

Definition at line 117 of file cpicoupon.hpp.

{ return isCapped_; }

isFloored()

bool isFloored

(

)

const

Definition at line 118 of file cpicoupon.hpp.

{ return isFloored_; }

setCommon()

void setCommon ( Rate  cap, Rate  floor  )

protectedvirtual

Definition at line 43 of file cpicoupon.cpp.

                                                           {
 
    isCapped_ = false;
    isFloored_ = false;
 
    if (fixedRate_ > 0) {
        if (cap != Null<Rate>()) {
            isCapped_ = true;
            cap_ = cap;
        }
        if (floor != Null<Rate>()) {
            floor_ = floor;
            isFloored_ = true;
        }
    } else {
        if (cap != Null<Rate>()) {
            floor_ = cap;
            isFloored_ = true;
        }
        if (floor != Null<Rate>()) {
            isCapped_ = true;
            cap_ = floor;
        }
    }
    if (isCapped_ && isFloored_) {
        QL_REQUIRE(cap >= floor, "cap level (" << cap << ") less than floor level (" << floor << ")");
    }
}

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Member Data Documentation

underlying_

ext::shared_ptr<CPICoupon> underlying_

protected

Definition at line 123 of file cpicoupon.hpp.

cpiCap_

ext::shared_ptr<CPICapFloor> cpiCap_

protected

Definition at line 124 of file cpicoupon.hpp.

cpiFloor_

ext::shared_ptr<CPICapFloor> cpiFloor_

protected

Definition at line 124 of file cpicoupon.hpp.

startDate_

Date startDate_

protected

Definition at line 125 of file cpicoupon.hpp.

isFloored_

bool isFloored_

protected

Definition at line 126 of file cpicoupon.hpp.

isCapped_

bool isCapped_

protected

Definition at line 126 of file cpicoupon.hpp.

cap_

Rate cap_

protected

Definition at line 127 of file cpicoupon.hpp.

floor_

Rate floor_

protected

Definition at line 127 of file cpicoupon.hpp.