NonStandardYoYInflationCoupon Class Reference

Coupon paying a YoY-inflation type index More...

#include <qle/cashflows/nonstandardyoyinflationcoupon.hpp>

Inheritance diagram for NonStandardYoYInflationCoupon:

Collaboration diagram for NonStandardYoYInflationCoupon:

Public Member Functions
	NonStandardYoYInflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< ZeroInflationIndex > &index, const Period &observationLag, const DayCounter &dayCounter, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), bool addInflationNotional=false, QuantLib::CPI::InterpolationType interpolation=QuantLib::CPI::InterpolationType::Flat)
Inspectors
Real	gearing () const
	index gearing, i.e. multiplicative coefficient for the index More...
Spread	spread () const
	spread paid over the fixing of the underlying index More...
Rate	adjustedFixing () const

Visitability
Date	fixingDateNumerator_
Date	fixingDateDenumerator_
Real	gearing_
Spread	spread_
bool	addInflationNotional_
QuantLib::CPI::InterpolationType	interpolationType_
virtual void	accept (AcyclicVisitor &) override
virtual Date	fixingDateNumerator () const
virtual Date	fixingDateDenumerator () const
virtual ext::shared_ptr< ZeroInflationIndex >	cpiIndex () const
virtual Rate	indexFixing () const override
virtual Date	fixingDate () const override
virtual Rate	rate () const override
bool	addInflationNotional () const
bool	isInterpolated () const
QuantLib::CPI::InterpolationType	interpolationType () const
bool	checkPricerImpl (const ext::shared_ptr< InflationCouponPricer > &) const override
void	setFixingDates (const Date &denumatorDate, const Date &numeratorDate, const Period &observationLag)

Detailed Description

Coupon paying a YoY-inflation type index

Definition at line 39 of file nonstandardyoyinflationcoupon.hpp.

Constructor & Destructor Documentation

NonStandardYoYInflationCoupon()

NonStandardYoYInflationCoupon	(	const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		Natural	fixingDays,
		const ext::shared_ptr< ZeroInflationIndex > &	index,
		const Period &	observationLag,
		const DayCounter &	dayCounter,
		Real	gearing = 1.0,
		Spread	spread = 0.0,
		const Date &	refPeriodStart = Date(),
		const Date &	refPeriodEnd = Date(),
		bool	addInflationNotional = false,
		QuantLib::CPI::InterpolationType	interpolation = QuantLib::CPI::InterpolationType::Flat
	)

Definition at line 54 of file nonstandardyoyinflationcoupon.cpp.

    : QuantLib::InflationCoupon(paymentDate, nominal, startDate, endDate, fixingDays, index, observationLag, dayCounter,
                                refPeriodStart, refPeriodEnd),
      gearing_(gearing), spread_(spread), addInflationNotional_(addInflationNotional),
      interpolationType_(interpolation) {
    setFixingDates(refPeriodStart, refPeriodEnd, observationLag);
}

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Member Function Documentation

gearing()

Real gearing

(

)

const

index gearing, i.e. multiplicative coefficient for the index

Definition at line 53 of file nonstandardyoyinflationcoupon.hpp.

{ return gearing_; }

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spread()

Spread spread

(

)

const

spread paid over the fixing of the underlying index

Definition at line 55 of file nonstandardyoyinflationcoupon.hpp.

{ return spread_; }

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adjustedFixing()

Rate adjustedFixing

(

)

const

Definition at line 87 of file nonstandardyoyinflationcoupon.cpp.

{ return (rate() - spread()) / gearing(); }

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accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented in NonStandardCappedFlooredYoYInflationCoupon.

Definition at line 65 of file nonstandardyoyinflationcoupon.cpp.

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

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fixingDateNumerator()

Date fixingDateNumerator ( ) const

virtual

Definition at line 77 of file nonstandardyoyinflationcoupon.cpp.

{ return fixingDateNumerator_; }

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fixingDateDenumerator()

Date fixingDateDenumerator ( ) const

virtual

Definition at line 78 of file nonstandardyoyinflationcoupon.cpp.

{ return fixingDateDenumerator_; }

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cpiIndex()

ext::shared_ptr< ZeroInflationIndex > cpiIndex ( ) const

virtual

Definition at line 101 of file nonstandardyoyinflationcoupon.cpp.

                                                                                {
    return ext::dynamic_pointer_cast<ZeroInflationIndex>(index_);
}

indexFixing()

Rate indexFixing ( ) const

overridevirtual

Definition at line 80 of file nonstandardyoyinflationcoupon.cpp.

                                                      {
    auto zii = QuantLib::ext::dynamic_pointer_cast<QuantLib::ZeroInflationIndex>(index_);
    Real I_t = CPI::laggedFixing(zii, fixingDateNumerator() + observationLag_, observationLag_, interpolationType_);
    Real I_s = CPI::laggedFixing(zii, fixingDateDenumerator() + observationLag_, observationLag_, interpolationType_);
    return I_t / I_s - 1.0;
}

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fixingDate()

Date fixingDate ( ) const

overridevirtual

Definition at line 89 of file nonstandardyoyinflationcoupon.cpp.

{ return fixingDateNumerator_; };

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rate()

Rate rate ( ) const

overridevirtual

Reimplemented in NonStandardCappedFlooredYoYInflationCoupon.

Definition at line 91 of file nonstandardyoyinflationcoupon.cpp.

                                               {
    Rate r = InflationCoupon::rate();
    if (addInflationNotional_) {
        r = gearing() * ((r - spread()) / gearing() + 1) + spread();
    }
    return r;
}

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addInflationNotional()

bool addInflationNotional

(

)

const

Definition at line 99 of file nonstandardyoyinflationcoupon.cpp.

{ return addInflationNotional_; };

isInterpolated()

bool isInterpolated

(

)

const

Definition at line 74 of file nonstandardyoyinflationcoupon.hpp.

{ return interpolationType() == CPI::Linear; }

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interpolationType()

QuantLib::CPI::InterpolationType interpolationType

(

)

const

Definition at line 75 of file nonstandardyoyinflationcoupon.hpp.

{ return interpolationType_; }

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checkPricerImpl()

bool checkPricerImpl ( const ext::shared_ptr< InflationCouponPricer > &  pricer ) const

overrideprotected

Definition at line 73 of file nonstandardyoyinflationcoupon.cpp.

                                                                                                            {
    return static_cast<bool>(ext::dynamic_pointer_cast<NonStandardYoYInflationCouponPricer>(pricer));
}

setFixingDates()

void setFixingDates ( const Date &  denumatorDate, const Date &  numeratorDate, const Period &  observationLag  )

private

Definition at line 44 of file nonstandardyoyinflationcoupon.cpp.

                                                                                 {
 
    fixingDateDenumerator_ = index_->fixingCalendar().advance(
        denumatorDate - observationLag_, -static_cast<Integer>(fixingDays_), Days, ModifiedPreceding);
 
    fixingDateNumerator_ = index_->fixingCalendar().advance(
        numeratorDate - observationLag_, -static_cast<Integer>(fixingDays_), Days, ModifiedPreceding);
}

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Member Data Documentation

fixingDateNumerator_

Date fixingDateNumerator_

protected

Definition at line 78 of file nonstandardyoyinflationcoupon.hpp.

fixingDateDenumerator_

Date fixingDateDenumerator_

protected

Definition at line 79 of file nonstandardyoyinflationcoupon.hpp.

gearing_

Real gearing_

protected

Definition at line 80 of file nonstandardyoyinflationcoupon.hpp.

spread_

Spread spread_

protected

Definition at line 81 of file nonstandardyoyinflationcoupon.hpp.

addInflationNotional_

bool addInflationNotional_

protected

Definition at line 82 of file nonstandardyoyinflationcoupon.hpp.

interpolationType_

QuantLib::CPI::InterpolationType interpolationType_

protected

Definition at line 83 of file nonstandardyoyinflationcoupon.hpp.