JY pricer for YoY inflation coupons. More...

#include <qle/cashflows/jyyoyinflationcouponpricer.hpp>

Inheritance diagram for JyYoYInflationCouponPricer:

Collaboration diagram for JyYoYInflationCouponPricer:

Public Member Functions
	JyYoYInflationCouponPricer (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index)

Private Member Functions
QuantLib::Real	optionletRate (QuantLib::Option::Type optionType, QuantLib::Real effStrike) const override

QuantLib::Rate	adjustedFixing (QuantLib::Rate fixing=QuantLib::Null< QuantLib::Rate >()) const override

Private Attributes
QuantLib::ext::shared_ptr< CrossAssetModel >	model_

QuantLib::Size	index_

Detailed Description

JY pricer for YoY inflation coupons.

Definition at line 32 of file jyyoyinflationcouponpricer.hpp.

Constructor & Destructor Documentation

◆ JyYoYInflationCouponPricer()

JyYoYInflationCouponPricer	(	const QuantLib::ext::shared_ptr< CrossAssetModel > &	model,
		QuantLib::Size	index
	)

Constructor

Parameters

model	the cross asset model to be used in the valuation.
index	the index of the inflation component to use within the cross asset model.

Definition at line 30 of file jyyoyinflationcouponpricer.cpp.

    : YoYInflationCouponPricer(model->irlgm1f(model->ccyIndex(model->infjy(index)->currency()))->termStructure()),
      model_(model), index_(index) {
 
    Size irIdx = model_->ccyIndex(model_->infjy(index_)->currency());
    nominalTermStructure_ = model_->irlgm1f(irIdx)->termStructure();
 
    registerWith(model_);
    registerWith(nominalTermStructure_);
}

Member Function Documentation

◆ optionletRate()

Real optionletRate	(	QuantLib::Option::Type	optionType,
		QuantLib::Real	effStrike
	)		const

overrideprivate

Definition at line 41 of file jyyoyinflationcouponpricer.cpp.

                                                                                          {
    QL_FAIL("JyYoYInflationCouponPricer::optionletRate: not implemented.");
}

◆ adjustedFixing()

Rate adjustedFixing ( QuantLib::Rate fixing = QuantLib::Null<QuantLib::Rate>() ) const

overrideprivate

Definition at line 45 of file jyyoyinflationcouponpricer.cpp.

                                                          {
 
    // We only need to use the Jarrow Yildrim model if both I(T) and I(S) are not yet known (i.e. published).
    // If only I(S) is known, we have a ZCIIS. If both are known, we just use the published values. In either case,
    // we can just ask the inflation index for its fixing.
 
    // Fixing date associated with numerator inflation index value i.e. I(T). Incorporates the observation lag.
    // It is essentially: coupon_end_date - contract_observation_lag.
    Date numFixingDate = coupon_->fixingDate();
 
    // Fixing date associated with denominator inflation index value i.e. I(S).
    Date denFixingDate = numFixingDate - 1 * Years;
 
    // If everything has been published in order to determine I(S), return model independent value read off curve.
    // Logic to determine last available fixing and where forecasting is needed copied from YoYInflationIndex::fixing.
    Date today = Settings::instance().evaluationDate();
    const auto& index = coupon_->yoyIndex();
    auto freq = index->frequency();
    auto ip = inflationPeriod(today - index->availabilityLag(), freq);
    bool isInterp = index->interpolated();
    if ((!isInterp && denFixingDate < ip.first) || (isInterp && denFixingDate < ip.first - Period(freq))) {
        return coupon_->indexFixing();
    }
 
    // Use the JY model to calculate the adjusted fixing.
    auto zts = model_->infjy(index_)->realRate()->termStructure();
    auto S = inflationTime(denFixingDate, *zts, index->interpolated());
    auto T = inflationTime(numFixingDate, *zts, index->interpolated());
 
    return jyExpectedIndexRatio(model_, index_, S, T, index->interpolated()) - 1;
}

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Member Data Documentation

◆ model_

QuantLib::ext::shared_ptr<CrossAssetModel> model_

private

Definition at line 42 of file jyyoyinflationcouponpricer.hpp.

◆ index_

QuantLib::Size index_