#include <qle/cashflows/yoyinflationcoupon.hpp>

Collaboration diagram for yoyInflationLeg:

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

yoyInflationLeg &	withNotionals (Real notional)

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

yoyInflationLeg &	withPaymentDayCounter (const DayCounter &)

yoyInflationLeg &	withPaymentAdjustment (BusinessDayConvention)

yoyInflationLeg &	withFixingDays (Natural fixingDays)

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

yoyInflationLeg &	withGearings (Real gearing)

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

yoyInflationLeg &	withSpreads (Spread spread)

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

yoyInflationLeg &	withCaps (Rate cap)

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

yoyInflationLeg &	withFloors (Rate floor)

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

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

yoyInflationLeg &	withInflationNotional (bool addInflationNotional_)

	operator Leg () const

Private Attributes
Schedule	schedule_

ext::shared_ptr< YoYInflationIndex >	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_

Detailed Description

Helper class building a sequence of capped/floored yoy inflation coupons payoff is: spread + gearing x index

Definition at line 84 of file yoyinflationcoupon.hpp.

Constructor & Destructor Documentation

◆ yoyInflationLeg()

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

Definition at line 100 of file yoyinflationcoupon.cpp.

    : schedule_(std::move(schedule)), index_(std::move(index)), observationLag_(observationLag),
      paymentAdjustment_(ModifiedFollowing), paymentCalendar_(std::move(paymentCalendar)),
      addInflationNotional_(false) {}

Member Function Documentation

◆ withNotionals() [1/2]

yoyInflationLeg & withNotionals ( Real notional )

Definition at line 106 of file yoyinflationcoupon.cpp.

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

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◆ withNotionals() [2/2]

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

Definition at line 111 of file yoyinflationcoupon.cpp.

                                                                                {
    notionals_ = notionals;
    return *this;
}

◆ withPaymentDayCounter()

yoyInflationLeg & withPaymentDayCounter ( const DayCounter & dayCounter )

Definition at line 116 of file yoyinflationcoupon.cpp.

                                                                                    {
    paymentDayCounter_ = dayCounter;
    return *this;
}

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◆ withPaymentAdjustment()

yoyInflationLeg & withPaymentAdjustment ( BusinessDayConvention convention )

Definition at line 121 of file yoyinflationcoupon.cpp.

                                                                                        {
    paymentAdjustment_ = convention;
    return *this;
}

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◆ withFixingDays() [1/2]

yoyInflationLeg & withFixingDays ( Natural fixingDays )

Definition at line 126 of file yoyinflationcoupon.cpp.

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

◆ withFixingDays() [2/2]

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

Definition at line 131 of file yoyinflationcoupon.cpp.

                                                                                     {
    fixingDays_ = fixingDays;
    return *this;
}

◆ withGearings() [1/2]

yoyInflationLeg & withGearings ( Real gearing )

Definition at line 136 of file yoyinflationcoupon.cpp.

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

◆ withGearings() [2/2]

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

Definition at line 141 of file yoyinflationcoupon.cpp.

                                                                              {
    gearings_ = gearings;
    return *this;
}

◆ withSpreads() [1/2]

yoyInflationLeg & withSpreads ( Spread spread )

Definition at line 146 of file yoyinflationcoupon.cpp.

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

◆ withSpreads() [2/2]

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

Definition at line 151 of file yoyinflationcoupon.cpp.

                                                                              {
    spreads_ = spreads;
    return *this;
}

◆ withCaps() [1/2]

yoyInflationLeg & withCaps ( Rate cap )

Definition at line 156 of file yoyinflationcoupon.cpp.

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

◆ withCaps() [2/2]

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

Definition at line 161 of file yoyinflationcoupon.cpp.

                                                                      {
    caps_ = caps;
    return *this;
}

◆ withFloors() [1/2]

yoyInflationLeg & withFloors ( Rate floor )

Definition at line 166 of file yoyinflationcoupon.cpp.

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

◆ withFloors() [2/2]

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

Definition at line 171 of file yoyinflationcoupon.cpp.

                                                                          {
    floors_ = floors;
    return *this;
}

◆ withRateCurve()

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

Definition at line 176 of file yoyinflationcoupon.cpp.

                                                                                           {
    rateCurve_ = rateCurve;
    return *this;
}

◆ withInflationNotional()

yoyInflationLeg & withInflationNotional ( bool addInflationNotional_ )

Definition at line 181 of file yoyinflationcoupon.cpp.

                                                                                 {
    addInflationNotional_ = addInflationNotional;
    return *this;
}

◆ operator Leg()

operator Leg ( ) const

Definition at line 186 of file yoyinflationcoupon.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<YoYInflationCoupon> coup(new YoYInflationCoupon(
                    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_));
 
                // in this case you can set a pricer
                // straight away because it only provides computation - not data
                ext::shared_ptr<YoYInflationCouponPricer> pricer =
                    ext::make_shared<YoYInflationCouponPricer>(rateCurve_);
                coup->setPricer(pricer);
                leg.push_back(ext::dynamic_pointer_cast<CashFlow>(coup));
 
            } else { // cap/floorlet
                leg.push_back(ext::shared_ptr<CashFlow>(new CappedFlooredYoYInflationCoupon(
                    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_)));
            }
        }
    }
 
    return leg;
}

Member Data Documentation

◆ schedule_

Schedule schedule_

private

Definition at line 107 of file yoyinflationcoupon.hpp.

◆ index_

ext::shared_ptr<YoYInflationIndex> index_

private

Definition at line 108 of file yoyinflationcoupon.hpp.

◆ observationLag_

Period observationLag_

private

Definition at line 109 of file yoyinflationcoupon.hpp.

◆ notionals_

std::vector<Real> notionals_

private

Definition at line 110 of file yoyinflationcoupon.hpp.

◆ paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 111 of file yoyinflationcoupon.hpp.

◆ paymentAdjustment_

BusinessDayConvention paymentAdjustment_

private

Definition at line 112 of file yoyinflationcoupon.hpp.

◆ paymentCalendar_

Calendar paymentCalendar_

private

Definition at line 113 of file yoyinflationcoupon.hpp.

◆ fixingDays_

std::vector<Natural> fixingDays_

private

Definition at line 114 of file yoyinflationcoupon.hpp.

◆ gearings_

std::vector<Real> gearings_

private

Definition at line 115 of file yoyinflationcoupon.hpp.

◆ spreads_

std::vector<Spread> spreads_

private

Definition at line 116 of file yoyinflationcoupon.hpp.

◆ caps_

std::vector<Rate> caps_

private

Definition at line 117 of file yoyinflationcoupon.hpp.

◆ floors_

std::vector<Rate> floors_

private

Definition at line 117 of file yoyinflationcoupon.hpp.

◆ rateCurve_

Handle<YieldTermStructure> rateCurve_

private

Definition at line 118 of file yoyinflationcoupon.hpp.

◆ addInflationNotional_

bool addInflationNotional_

private

Definition at line 119 of file yoyinflationcoupon.hpp.

Public Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ yoyInflationLeg()

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()

◆ operator Leg()

Member Data Documentation

◆ schedule_

◆ index_

◆ observationLag_

◆ notionals_

◆ paymentDayCounter_

◆ paymentAdjustment_

◆ paymentCalendar_

◆ fixingDays_

◆ gearings_

◆ spreads_

◆ caps_

◆ floors_

◆ rateCurve_

◆ addInflationNotional_