strippedcapflooredcpicoupon.hpp

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/*
Copyright (C) 2019 Quaternion Risk Management Ltd
All rights reserved.
 
This file is part of ORE, a free-software/open-source library
for transparent pricing and risk analysis - http://opensourcerisk.org
 
ORE is free software: you can redistribute it and/or modify it
under the terms of the Modified BSD License.  You should have received a
copy of the license along with this program.
The license is also available online at <http://opensourcerisk.org>
 
This program is distributed on the basis that it will form a useful
contribution to risk analytics and model standardisation, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file strippedcapflooredcpicoupon.hpp
\brief strips the embedded option from cap floored cpi coupons
*/
 
#ifndef quantext_stripped_capfloored_cpicoupon_hpp
#define quantext_stripped_capfloored_cpicoupon_hpp
 
#include <ql/cashflows/inflationcouponpricer.hpp>
#include <qle/cashflows/cpicoupon.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
class StrippedCappedFlooredCPICoupon : public CPICoupon {
 
public:
    explicit StrippedCappedFlooredCPICoupon(const ext::shared_ptr<CappedFlooredCPICoupon>& underlying);
    //! Coupon interface
    Rate rate() const override;
    Rate cap() const;
    Rate floor() const;
    Rate effectiveCap() const;
    Rate effectiveFloor() const;
 
    //! Observer interface
    void update() override;
    //! Visitability
    virtual void accept(AcyclicVisitor&) override;
 
    //! Underlying coupon
    const ext::shared_ptr<CappedFlooredCPICoupon> underlying() { return underlying_; }
 
    bool isCap() const;
    bool isFloor() const;
    bool isCollar() const;
 
protected:
    ext::shared_ptr<CappedFlooredCPICoupon> underlying_;
};
 
//! Stripped capped or floored CPI cashflow.
/*! Extended QuantLib::CPICashFlow
 */
class StrippedCappedFlooredCPICashFlow : public CPICashFlow {
public:
    StrippedCappedFlooredCPICashFlow(const ext::shared_ptr<CappedFlooredCPICashFlow>& underlying);
    //! Cashflow interface
    Real amount() const override;
    //! Underlying cash flow
    ext::shared_ptr<CappedFlooredCPICashFlow> underlying() const { return underlying_; }
 
private:
    ext::shared_ptr<CappedFlooredCPICashFlow> underlying_;
};
 
class StrippedCappedFlooredCPICouponLeg {
public:
    explicit StrippedCappedFlooredCPICouponLeg(const Leg& underlyingLeg);
    operator Leg() const;
 
private:
    Leg underlyingLeg_;
};
 
} // namespace QuantExt
 
#endif