#include <qle/cashflows/nonstandardcapflooredyoyinflationcoupon.hpp>

Collaboration diagram for NonStandardYoYInflationLeg:

Public Member Functions
	NonStandardYoYInflationLeg (const Schedule &schedule, const Calendar &cal, const ext::shared_ptr< ZeroInflationIndex > &index, const Period &observationLag)

NonStandardYoYInflationLeg &	withNotionals (Real notional)

NonStandardYoYInflationLeg &	withNotionals (const std::vector< Real > &notionals)

NonStandardYoYInflationLeg &	withPaymentDayCounter (const DayCounter &)

NonStandardYoYInflationLeg &	withPaymentAdjustment (BusinessDayConvention)

NonStandardYoYInflationLeg &	withFixingDays (Natural fixingDays)

NonStandardYoYInflationLeg &	withFixingDays (const std::vector< Natural > &fixingDays)

NonStandardYoYInflationLeg &	withGearings (Real gearing)

NonStandardYoYInflationLeg &	withGearings (const std::vector< Real > &gearings)

NonStandardYoYInflationLeg &	withSpreads (Spread spread)

NonStandardYoYInflationLeg &	withSpreads (const std::vector< Spread > &spreads)

NonStandardYoYInflationLeg &	withCaps (Rate cap)

NonStandardYoYInflationLeg &	withCaps (const std::vector< Rate > &caps)

NonStandardYoYInflationLeg &	withFloors (Rate floor)

NonStandardYoYInflationLeg &	withFloors (const std::vector< Rate > &floors)

NonStandardYoYInflationLeg &	withRateCurve (const Handle< YieldTermStructure > &rateCurve)

NonStandardYoYInflationLeg &	withInflationNotional (bool addInflationNotional_)

NonStandardYoYInflationLeg &	withObservationInterpolation (QuantLib::CPI::InterpolationType interpolation)

	operator Leg () const

Private Attributes
Schedule	schedule_

ext::shared_ptr< ZeroInflationIndex >	index_

Period	observationLag_

std::vector< Real >	notionals_

DayCounter	paymentDayCounter_

BusinessDayConvention	paymentAdjustment_

Calendar	paymentCalendar_

std::vector< Natural >	fixingDays_

std::vector< Real >	gearings_

std::vector< Spread >	spreads_

std::vector< Rate >	caps_

std::vector< Rate >	floors_

Handle< YieldTermStructure >	rateCurve_

bool	addInflationNotional_

QuantLib::CPI::InterpolationType	interpolation_

Detailed Description

Definition at line 129 of file nonstandardcapflooredyoyinflationcoupon.hpp.

Constructor & Destructor Documentation

◆ NonStandardYoYInflationLeg()

NonStandardYoYInflationLeg	(	const Schedule &	schedule,
		const Calendar &	cal,
		const ext::shared_ptr< ZeroInflationIndex > &	index,
		const Period &	observationLag
	)

Definition at line 165 of file nonstandardcapflooredyoyinflationcoupon.cpp.

168 : schedule_(schedule), index_(index), observationLag_(observationLag), paymentAdjustment_(ModifiedFollowing),

169 paymentCalendar_(paymentCalendar), addInflationNotional_(false), interpolation_(QuantLib::CPI::Flat) {}

QuantExt::NonStandardYoYInflationLeg::schedule_

Schedule schedule_

Definition: nonstandardcapflooredyoyinflationcoupon.hpp:153

QuantExt::NonStandardYoYInflationLeg::paymentAdjustment_

BusinessDayConvention paymentAdjustment_

Definition: nonstandardcapflooredyoyinflationcoupon.hpp:158

QuantExt::NonStandardYoYInflationLeg::addInflationNotional_

bool addInflationNotional_

Definition: nonstandardcapflooredyoyinflationcoupon.hpp:165

QuantExt::NonStandardYoYInflationLeg::observationLag_

Period observationLag_

Definition: nonstandardcapflooredyoyinflationcoupon.hpp:155

QuantExt::NonStandardYoYInflationLeg::paymentCalendar_

Calendar paymentCalendar_

Definition: nonstandardcapflooredyoyinflationcoupon.hpp:159

QuantExt::NonStandardYoYInflationLeg::interpolation_

QuantLib::CPI::InterpolationType interpolation_

Definition: nonstandardcapflooredyoyinflationcoupon.hpp:166

QuantExt::NonStandardYoYInflationLeg::index_

ext::shared_ptr< ZeroInflationIndex > index_

Definition: nonstandardcapflooredyoyinflationcoupon.hpp:154

Member Function Documentation

◆ withNotionals() [1/2]

NonStandardYoYInflationLeg & withNotionals ( Real notional )

Definition at line 171 of file nonstandardcapflooredyoyinflationcoupon.cpp.

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

◆ withNotionals() [2/2]

NonStandardYoYInflationLeg & withNotionals ( const std::vector< Real > & notionals )

Definition at line 176 of file nonstandardcapflooredyoyinflationcoupon.cpp.

                                                                                                      {
    notionals_ = notionals;
    return *this;
}

◆ withPaymentDayCounter()

NonStandardYoYInflationLeg & withPaymentDayCounter ( const DayCounter & dayCounter )

Definition at line 181 of file nonstandardcapflooredyoyinflationcoupon.cpp.

                                                                                                          {
    paymentDayCounter_ = dayCounter;
    return *this;
}

◆ withPaymentAdjustment()

NonStandardYoYInflationLeg & withPaymentAdjustment ( BusinessDayConvention convention )

Definition at line 186 of file nonstandardcapflooredyoyinflationcoupon.cpp.

                                                                                                              {
    paymentAdjustment_ = convention;
    return *this;
}

◆ withFixingDays() [1/2]

NonStandardYoYInflationLeg & withFixingDays ( Natural fixingDays )

Definition at line 191 of file nonstandardcapflooredyoyinflationcoupon.cpp.

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

◆ withFixingDays() [2/2]

NonStandardYoYInflationLeg & withFixingDays ( const std::vector< Natural > & fixingDays )

Definition at line 196 of file nonstandardcapflooredyoyinflationcoupon.cpp.

                                                                                                           {
    fixingDays_ = fixingDays;
    return *this;
}

◆ withGearings() [1/2]

NonStandardYoYInflationLeg & withGearings ( Real gearing )

Definition at line 201 of file nonstandardcapflooredyoyinflationcoupon.cpp.

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

◆ withGearings() [2/2]

NonStandardYoYInflationLeg & withGearings ( const std::vector< Real > & gearings )

Definition at line 206 of file nonstandardcapflooredyoyinflationcoupon.cpp.

                                                                                                    {
    gearings_ = gearings;
    return *this;
}

◆ withSpreads() [1/2]

NonStandardYoYInflationLeg & withSpreads ( Spread spread )

Definition at line 211 of file nonstandardcapflooredyoyinflationcoupon.cpp.

                                                                                 {
    spreads_ = std::vector<Spread>(1, spread);
    return *this;
}

◆ withSpreads() [2/2]

NonStandardYoYInflationLeg & withSpreads ( const std::vector< Spread > & spreads )

Definition at line 216 of file nonstandardcapflooredyoyinflationcoupon.cpp.

                                                                                                    {
    spreads_ = spreads;
    return *this;
}

◆ withCaps() [1/2]

NonStandardYoYInflationLeg & withCaps ( Rate cap )

Definition at line 221 of file nonstandardcapflooredyoyinflationcoupon.cpp.

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

◆ withCaps() [2/2]

NonStandardYoYInflationLeg & withCaps ( const std::vector< Rate > & caps )

Definition at line 226 of file nonstandardcapflooredyoyinflationcoupon.cpp.

                                                                                            {
    caps_ = caps;
    return *this;
}

◆ withFloors() [1/2]

NonStandardYoYInflationLeg & withFloors ( Rate floor )

Definition at line 231 of file nonstandardcapflooredyoyinflationcoupon.cpp.

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

◆ withFloors() [2/2]

NonStandardYoYInflationLeg & withFloors ( const std::vector< Rate > & floors )

Definition at line 236 of file nonstandardcapflooredyoyinflationcoupon.cpp.

                                                                                                {
    floors_ = floors;
    return *this;
}

◆ withRateCurve()

NonStandardYoYInflationLeg & withRateCurve ( const Handle< YieldTermStructure > & rateCurve )

Definition at line 241 of file nonstandardcapflooredyoyinflationcoupon.cpp.

                                                                                                                 {
    rateCurve_ = rateCurve;
    return *this;
}

◆ withInflationNotional()

NonStandardYoYInflationLeg & withInflationNotional ( bool addInflationNotional_ )

Definition at line 246 of file nonstandardcapflooredyoyinflationcoupon.cpp.

                                                                                                       {
    addInflationNotional_ = addInflationNotional;
    return *this;
}

◆ withObservationInterpolation()

NonStandardYoYInflationLeg & withObservationInterpolation ( QuantLib::CPI::InterpolationType interpolation )

Definition at line 251 of file nonstandardcapflooredyoyinflationcoupon.cpp.

                                                                                                                               {
    interpolation_ = interpolation;
    return *this;
}

◆ operator Leg()

operator Leg ( ) const

Definition at line 256 of file nonstandardcapflooredyoyinflationcoupon.cpp.

                                               {
 
    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;
 
    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_.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);
        }
        if (detail::get(gearings_, i, 1.0) == 0.0) { // fixed coupon
            leg.push_back(ext::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
                ext::shared_ptr<NonStandardYoYInflationCoupon> coup(new NonStandardYoYInflationCoupon(
                    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, addInflationNotional_, interpolation_));
 
                // in this case you can set a pricer
                // straight away because it only provides computation - not data
                ext::shared_ptr<NonStandardYoYInflationCouponPricer> pricer(
                    new NonStandardYoYInflationCouponPricer(rateCurve_));
                coup->setPricer(pricer);
                leg.push_back(ext::dynamic_pointer_cast<CashFlow>(coup));
 
            } else { // cap/floorlet
                leg.push_back(ext::shared_ptr<CashFlow>(new NonStandardCappedFlooredYoYInflationCoupon(
                    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,
                    addInflationNotional_, interpolation_)));
            }
        }
    }
 
    return leg;
}

Member Data Documentation

◆ schedule_

Schedule schedule_

private

Definition at line 153 of file nonstandardcapflooredyoyinflationcoupon.hpp.

◆ index_

ext::shared_ptr<ZeroInflationIndex> index_

private

Definition at line 154 of file nonstandardcapflooredyoyinflationcoupon.hpp.

◆ observationLag_

Period observationLag_

private

Definition at line 155 of file nonstandardcapflooredyoyinflationcoupon.hpp.

◆ notionals_

std::vector<Real> notionals_

private

Definition at line 156 of file nonstandardcapflooredyoyinflationcoupon.hpp.

◆ paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 157 of file nonstandardcapflooredyoyinflationcoupon.hpp.

◆ paymentAdjustment_

BusinessDayConvention paymentAdjustment_

private

Definition at line 158 of file nonstandardcapflooredyoyinflationcoupon.hpp.

◆ paymentCalendar_

Calendar paymentCalendar_

private

Definition at line 159 of file nonstandardcapflooredyoyinflationcoupon.hpp.

◆ fixingDays_

std::vector<Natural> fixingDays_

private

Definition at line 160 of file nonstandardcapflooredyoyinflationcoupon.hpp.

◆ gearings_

std::vector<Real> gearings_

private

Definition at line 161 of file nonstandardcapflooredyoyinflationcoupon.hpp.

◆ spreads_

std::vector<Spread> spreads_

private

Definition at line 162 of file nonstandardcapflooredyoyinflationcoupon.hpp.

◆ caps_

std::vector<Rate> caps_

private

Definition at line 163 of file nonstandardcapflooredyoyinflationcoupon.hpp.

◆ floors_

std::vector<Rate> floors_

private

Definition at line 163 of file nonstandardcapflooredyoyinflationcoupon.hpp.

◆ rateCurve_

Handle<YieldTermStructure> rateCurve_

private

Definition at line 164 of file nonstandardcapflooredyoyinflationcoupon.hpp.

◆ addInflationNotional_

bool addInflationNotional_

private

Definition at line 165 of file nonstandardcapflooredyoyinflationcoupon.hpp.

◆ interpolation_

QuantLib::CPI::InterpolationType interpolation_

private

Definition at line 166 of file nonstandardcapflooredyoyinflationcoupon.hpp.

Public Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ NonStandardYoYInflationLeg()

Member Function Documentation

◆ withNotionals() [1/2]

◆ withNotionals() [2/2]

◆ withPaymentDayCounter()

◆ withPaymentAdjustment()

◆ withFixingDays() [1/2]

◆ withFixingDays() [2/2]

◆ withGearings() [1/2]

◆ withGearings() [2/2]

◆ withSpreads() [1/2]

◆ withSpreads() [2/2]

◆ withCaps() [1/2]

◆ withCaps() [2/2]

◆ withFloors() [1/2]

◆ withFloors() [2/2]

◆ withRateCurve()

◆ withInflationNotional()

◆ withObservationInterpolation()

◆ operator Leg()

Member Data Documentation

◆ schedule_

◆ index_

◆ observationLag_

◆ notionals_

◆ paymentDayCounter_

◆ paymentAdjustment_

◆ paymentCalendar_

◆ fixingDays_

◆ gearings_

◆ spreads_

◆ caps_

◆ floors_

◆ rateCurve_

◆ addInflationNotional_

◆ interpolation_