zerocouponinflationswap.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007, 2009 Chris Kenyon
 Copyright (C) 2009 StatPro Italia srl
 Copyright (C) 2021 Ralf Konrad Eckel
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
#ifndef quantlib_xxxzciis_hpp
#define quantlib_xxxzciis_hpp
 
#include <ql/indexes/inflationindex.hpp>
#include <ql/instruments/swap.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>
 
 
namespace QuantLib {
 
    class ZeroCouponInflationSwap : public Swap {
      public:
        class arguments;
        class engine;
 
        ZeroCouponInflationSwap(Type type,
                                Real nominal,
                                const Date& startDate, // start date of contract (only)
                                const Date& maturity,  // this is pre-adjustment!
                                Calendar fixCalendar,
                                BusinessDayConvention fixConvention,
                                DayCounter dayCounter,
                                Rate fixedRate,
                                const ext::shared_ptr<ZeroInflationIndex>& infIndex,
                                const Period& observationLag,
                                CPI::InterpolationType observationInterpolation,
                                bool adjustInfObsDates = false,
                                Calendar infCalendar = Calendar(),
                                BusinessDayConvention infConvention = BusinessDayConvention());
 
 
 
        Type type() const { return type_; }
        Real nominal() const { return nominal_; }
        Date startDate() const override { return startDate_; }
        Date maturityDate() const override { return maturityDate_; }
        Calendar fixedCalendar() const { return fixCalendar_; }
        BusinessDayConvention fixedConvention() const {
            return fixConvention_;
        }
        DayCounter dayCounter() const { return dayCounter_; }
        Rate fixedRate() const { return fixedRate_; }
        ext::shared_ptr<ZeroInflationIndex> inflationIndex() const {
            return infIndex_;
        }
        Period observationLag() const { return observationLag_; }
        CPI::InterpolationType observationInterpolation() const {
            return observationInterpolation_;
        }
        bool adjustObservationDates() const { return adjustInfObsDates_; }
        Calendar inflationCalendar() const { return infCalendar_; }
        BusinessDayConvention inflationConvention() const {
            return infConvention_;
        }
        const Leg& fixedLeg() const;
        const Leg& inflationLeg() const;
 
 
        Real fixedLegNPV() const;
        Real inflationLegNPV() const;
        Real fairRate() const;
 
      protected:
        Type type_;
        Real nominal_;
        Date startDate_, maturityDate_;
        Calendar fixCalendar_;
        BusinessDayConvention fixConvention_;
        Rate fixedRate_;
        ext::shared_ptr<ZeroInflationIndex> infIndex_;
        Period observationLag_;
        CPI::InterpolationType observationInterpolation_;
        bool adjustInfObsDates_;
        Calendar infCalendar_;
        BusinessDayConvention infConvention_;
        DayCounter dayCounter_;
        Date baseDate_, obsDate_;
    };
 
 
    class ZeroCouponInflationSwap::arguments : public Swap::arguments {
      public:
        Rate fixedRate;
    };
 
 
    class ZeroCouponInflationSwap::engine
    : public GenericEngine<ZeroCouponInflationSwap::arguments,
                           ZeroCouponInflationSwap::results> {};
 
}
 
 
#endif