Capped or floored inflation coupon. More...

#include <ql/cashflows/capflooredinflationcoupon.hpp>

Inheritance diagram for CappedFlooredYoYInflationCoupon:

Collaboration diagram for CappedFlooredYoYInflationCoupon:

Public Member Functions
	CappedFlooredYoYInflationCoupon (const ext::shared_ptr< YoYInflationCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >())

	CappedFlooredYoYInflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< YoYInflationIndex > &index, const Period &observationLag, const DayCounter &dayCounter, Real gearing=1.0, Spread spread=0.0, const Rate cap=Null< Rate >(), const Rate floor=Null< Rate >(), const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date())

augmented Coupon interface
Rate	rate () const override
	swap(let) rate More...

Rate	cap () const
	cap More...

Rate	floor () const
	floor More...

Rate	effectiveCap () const
	effective cap of fixing More...

Rate	effectiveFloor () const
	effective floor of fixing More...

Observer interface
void	update () override

Public Member Functions inherited from YoYInflationCoupon
	YoYInflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< YoYInflationIndex > &index, const Period &observationLag, const DayCounter &dayCounter, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date())

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

const ext::shared_ptr< YoYInflationIndex > &	yoyIndex () const

void	accept (AcyclicVisitor &) override

Public Member Functions inherited from InflationCoupon
	InflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, ext::shared_ptr< InflationIndex > index, const Period &observationLag, DayCounter dayCounter, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())

Real	amount () const override
	returns the amount of the cash flow More...

Real	price (const Handle< YieldTermStructure > &discountingCurve) const

DayCounter	dayCounter () const override
	day counter for accrual calculation More...

Real	accruedAmount (const Date &) const override
	accrued amount at the given date More...

Rate	rate () const override
	accrued rate More...

const ext::shared_ptr< InflationIndex > &	index () const
	yoy inflation index More...

Period	observationLag () const
	how the coupon observes the index More...

Natural	fixingDays () const
	fixing days More...

virtual Date	fixingDate () const
	fixing date More...

virtual Rate	indexFixing () const
	fixing of the underlying index, as observed by the coupon More...

void	performCalculations () const override

void	setPricer (const ext::shared_ptr< InflationCouponPricer > &)

ext::shared_ptr< InflationCouponPricer >	pricer () const

Public Member Functions inherited from Coupon
	Coupon (const Date &paymentDate, Real nominal, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())

Date	date () const override

Date	exCouponDate () const override
	returns the date that the cash flow trades exCoupon More...

virtual Real	nominal () const

const Date &	accrualStartDate () const
	start of the accrual period More...

const Date &	accrualEndDate () const
	end of the accrual period More...

const Date &	referencePeriodStart () const
	start date of the reference period More...

const Date &	referencePeriodEnd () const
	end date of the reference period More...

Time	accrualPeriod () const
	accrual period as fraction of year More...

Date::serial_type	accrualDays () const
	accrual period in days More...

Time	accruedPeriod (const Date &) const
	accrued period as fraction of year at the given date More...

Date::serial_type	accruedDays (const Date &) const
	accrued days at the given date More...

Public Member Functions inherited from CashFlow
	~CashFlow () override=default

bool	hasOccurred (const Date &refDate=Date(), ext::optional< bool > includeRefDate=ext::nullopt) const override
	returns true if an event has already occurred before a date More...

bool	tradingExCoupon (const Date &refDate=Date()) const
	returns true if the cashflow is trading ex-coupon on the refDate More...

Public Member Functions inherited from Event
	~Event () override=default

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

void	update () override

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Visitability
ext::shared_ptr< YoYInflationCoupon >	underlying_

bool	isFloored_

bool	isCapped_

Rate	cap_

Rate	floor_

void	accept (AcyclicVisitor &v) override

Rate	underlyingRate () const
	this returns the expected rate before cap and floor are applied More...

bool	isCapped () const

bool	isFloored () const

void	setPricer (const ext::shared_ptr< YoYInflationCouponPricer > &)

virtual QL_DEPRECATED void	setCommon (Rate cap, Rate floor)

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from YoYInflationCoupon
bool	checkPricerImpl (const ext::shared_ptr< InflationCouponPricer > &) const override
	makes sure you were given the correct type of pricer More...

Protected Member Functions inherited from InflationCoupon
Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Protected Attributes inherited from YoYInflationCoupon
Real	gearing_

Spread	spread_

Protected Attributes inherited from InflationCoupon
ext::shared_ptr< InflationCouponPricer >	pricer_

ext::shared_ptr< InflationIndex >	index_

Period	observationLag_

DayCounter	dayCounter_

Natural	fixingDays_

Real	rate_

Protected Attributes inherited from Coupon
Date	paymentDate_

Real	nominal_

Date	accrualStartDate_

Date	accrualEndDate_

Date	refPeriodStart_

Date	refPeriodEnd_

Date	exCouponDate_

Real	accrualPeriod_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

Capped or floored inflation coupon.

Essentially a copy of the nominal version but taking a different index and a set of pricers (not just one).

The payoff \( P \) of a capped inflation-rate coupon with paysWithin = true is:

\[ P = N \times T \times \min(a L + b, C). \]

where \( N \) is the notional, \( T \) is the accrual time, \( L \) is the inflation rate, \( a \) is its gearing, \( b \) is the spread, and \( C \) and \( F \) the strikes.

The payoff of a floored inflation-rate coupon is:

\[ P = N \times T \times \max(a L + b, F). \]

The payoff of a collared inflation-rate coupon is:

\[ P = N \times T \times \min(\max(a L + b, F), C). \]

If paysWithin = false then the inverse is returned (this provides for instrument cap and caplet prices).

They can be decomposed in the following manner. Decomposition of a capped floating rate coupon when paysWithin = true:

\[ R = \min(a L + b, C) = (a L + b) + \min(C - b - \xi |a| L, 0) \]

where \( \xi = sgn(a) \). Then:

\[ R = (a L + b) + |a| \min(\frac{C - b}{|a|} - \xi L, 0) \]

Definition at line 66 of file capflooredinflationcoupon.hpp.

Constructor & Destructor Documentation

◆ CappedFlooredYoYInflationCoupon() [1/2]

CappedFlooredYoYInflationCoupon	(	const ext::shared_ptr< YoYInflationCoupon > &	underlying,
		Rate	cap = `Null<Rate>()`,
		Rate	floor = `Null<Rate>()`
	)

Definition at line 57 of file capflooredinflationcoupon.cpp.

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◆ CappedFlooredYoYInflationCoupon() [2/2]

CappedFlooredYoYInflationCoupon	(	const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		Natural	fixingDays,
		const ext::shared_ptr< YoYInflationIndex > &	index,
		const Period &	observationLag,
		const DayCounter &	dayCounter,
		Real	gearing = `1.0`,
		Spread	spread = `0.0`,
		const Rate	cap = `Null<Rate>()`,
		const Rate	floor = `Null<Rate>()`,
		const Date &	refPeriodStart = `Date()`,
		const Date &	refPeriodEnd = `Date()`
	)

Definition at line 75 of file capflooredinflationcoupon.hpp.

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Member Function Documentation

◆ rate()

Rate rate ( ) const

overridevirtual

swap(let) rate

Implements Coupon.

Definition at line 93 of file capflooredinflationcoupon.cpp.

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◆ cap()

Rate cap ( ) const

cap

Definition at line 109 of file capflooredinflationcoupon.cpp.

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◆ floor()

Rate floor ( ) const

floor

Definition at line 118 of file capflooredinflationcoupon.cpp.

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◆ effectiveCap()

Rate effectiveCap ( ) const

effective cap of fixing

Definition at line 127 of file capflooredinflationcoupon.cpp.

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◆ effectiveFloor()

Rate effectiveFloor ( ) const

effective floor of fixing

Definition at line 132 of file capflooredinflationcoupon.cpp.

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◆ update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Definition at line 137 of file capflooredinflationcoupon.cpp.

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◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from CashFlow.

Definition at line 142 of file capflooredinflationcoupon.cpp.

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◆ underlyingRate()

Rate underlyingRate ( ) const

this returns the expected rate before cap and floor are applied

Definition at line 89 of file capflooredinflationcoupon.cpp.

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◆ isCapped()

bool isCapped ( ) const

Definition at line 125 of file capflooredinflationcoupon.hpp.

◆ isFloored()

bool isFloored ( ) const

Definition at line 126 of file capflooredinflationcoupon.hpp.

◆ setPricer()

void setPricer ( const ext::shared_ptr< YoYInflationCouponPricer > & pricer )

Definition at line 80 of file capflooredinflationcoupon.cpp.

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◆ setCommon()

void setCommon	(	Rate	cap,
		Rate	floor
	)

protectedvirtual

Deprecated:: Do not use this method and rely on its being called by the constructor of the base class. If you have overridden it, move the code to the constructor of your derived class. Deprecated in version 1.30.

Definition at line 25 of file capflooredinflationcoupon.cpp.

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