Coupon paying the performance of a CPI (zero inflation) index More...

#include <ql/cashflows/cpicoupon.hpp>

Inheritance diagram for CPICoupon:

Collaboration diagram for CPICoupon:

Public Member Functions
Constructors
	CPICoupon (Real baseCPI, const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::shared_ptr< ZeroInflationIndex > &index, const Period &observationLag, CPI::InterpolationType observationInterpolation, const DayCounter &dayCounter, Real fixedRate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())

	CPICoupon (const Date &baseDate, const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::shared_ptr< ZeroInflationIndex > &index, const Period &observationLag, CPI::InterpolationType observationInterpolation, const DayCounter &dayCounter, Real fixedRate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())

	CPICoupon (Real baseCPI, const Date &baseDate, const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::shared_ptr< ZeroInflationIndex > &index, const Period &observationLag, CPI::InterpolationType observationInterpolation, const DayCounter &dayCounter, Real fixedRate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())

QL_DEPRECATED	CPICoupon (Real baseCPI, const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::shared_ptr< ZeroInflationIndex > &index, const Period &observationLag, CPI::InterpolationType observationInterpolation, const DayCounter &dayCounter, Real fixedRate, Spread spread, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())

QL_DEPRECATED	CPICoupon (const Date &baseDate, const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::shared_ptr< ZeroInflationIndex > &index, const Period &observationLag, CPI::InterpolationType observationInterpolation, const DayCounter &dayCounter, Real fixedRate, Spread spread, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())

QL_DEPRECATED	CPICoupon (Real baseCPI, const Date &baseDate, const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::shared_ptr< ZeroInflationIndex > &index, const Period &observationLag, CPI::InterpolationType observationInterpolation, const DayCounter &dayCounter, Real fixedRate, Spread spread, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())

QL_DEPRECATED_DISABLE_WARNING	~CPICoupon () override=default

Inspectors
Real	fixedRate () const
	fixed rate that will be inflated by the index ratio More...

Spread	spread () const

Rate	baseCPI () const
	base value for the CPI index More...

Date	baseDate () const
	base date for the base fixing of the CPI index More...

CPI::InterpolationType	observationInterpolation () const
	how do you observe the index? as-is, flat, linear? More...

ext::shared_ptr< ZeroInflationIndex >	cpiIndex () const
	index used More...

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

Rate	indexFixing () const override
	the index value observed (with a lag) at the end date More...

Rate	indexRatio (Date d) const
	the ratio between the index fixing at the passed date and the base CPI More...

Rate	adjustedIndexGrowth () const
	the ratio between the end index fixing and the base CPI More...

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...

void	performCalculations () const override

void	accept (AcyclicVisitor &) 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
Real	baseCPI_

Real	fixedRate_

Spread	spread_

CPI::InterpolationType	observationInterpolation_

Date	baseDate_

void	accept (AcyclicVisitor &) override

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

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

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

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

Coupon paying the performance of a CPI (zero inflation) index

The performance is relative to the index value on the base date.

The other inflation value is taken from the refPeriodEnd date with observation lag, so any roll/calendar etc. will be built in by the caller. By default this is done in the InflationCoupon which uses ModifiedPreceding with fixing days assumed positive meaning earlier, i.e. always stay in same month (relative to referencePeriodEnd).

This is more sophisticated than an IndexedCashFlow because it does date calculations itself.

Definition at line 55 of file cpicoupon.hpp.

Constructor & Destructor Documentation

◆ CPICoupon() [1/6]

QL_DEPRECATED_DISABLE_WARNING CPICoupon	(	Real	baseCPI,
		const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		const ext::shared_ptr< ZeroInflationIndex > &	index,
		const Period &	observationLag,
		CPI::InterpolationType	observationInterpolation,
		const DayCounter &	dayCounter,
		Real	fixedRate,
		const Date &	refPeriodStart = `Date()`,
		const Date &	refPeriodEnd = `Date()`,
		const Date &	exCouponDate = `Date()`
	)

Definition at line 34 of file cpicoupon.cpp.

◆ CPICoupon() [2/6]

CPICoupon	(	const Date &	baseDate,
		const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		const ext::shared_ptr< ZeroInflationIndex > &	index,
		const Period &	observationLag,
		CPI::InterpolationType	observationInterpolation,
		const DayCounter &	dayCounter,
		Real	fixedRate,
		const Date &	refPeriodStart = `Date()`,
		const Date &	refPeriodEnd = `Date()`,
		const Date &	exCouponDate = `Date()`
	)

Definition at line 51 of file cpicoupon.cpp.

◆ CPICoupon() [3/6]

CPICoupon	(	Real	baseCPI,
		const Date &	baseDate,
		const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		const ext::shared_ptr< ZeroInflationIndex > &	index,
		const Period &	observationLag,
		CPI::InterpolationType	observationInterpolation,
		const DayCounter &	dayCounter,
		Real	fixedRate,
		const Date &	refPeriodStart = `Date()`,
		const Date &	refPeriodEnd = `Date()`,
		const Date &	exCouponDate = `Date()`
	)

Definition at line 68 of file cpicoupon.cpp.

◆ CPICoupon() [4/6]

CPICoupon	(	Real	baseCPI,
		const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		const ext::shared_ptr< ZeroInflationIndex > &	index,
		const Period &	observationLag,
		CPI::InterpolationType	observationInterpolation,
		const DayCounter &	dayCounter,
		Real	fixedRate,
		Spread	spread,
		const Date &	refPeriodStart = `Date()`,
		const Date &	refPeriodEnd = `Date()`,
		const Date &	exCouponDate = `Date()`
	)

Deprecated:: Use one of the constructors without spread. Deprecated in version 1.31.

Definition at line 86 of file cpicoupon.cpp.

◆ CPICoupon() [5/6]

CPICoupon	(	const Date &	baseDate,
		const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		const ext::shared_ptr< ZeroInflationIndex > &	index,
		const Period &	observationLag,
		CPI::InterpolationType	observationInterpolation,
		const DayCounter &	dayCounter,
		Real	fixedRate,
		Spread	spread,
		const Date &	refPeriodStart = `Date()`,
		const Date &	refPeriodEnd = `Date()`,
		const Date &	exCouponDate = `Date()`
	)

Deprecated:: Use one of the constructors without spread. Deprecated in version 1.31.

Definition at line 104 of file cpicoupon.cpp.

◆ CPICoupon() [6/6]

CPICoupon	(	Real	baseCPI,
		const Date &	baseDate,
		const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		const ext::shared_ptr< ZeroInflationIndex > &	index,
		const Period &	observationLag,
		CPI::InterpolationType	observationInterpolation,
		const DayCounter &	dayCounter,
		Real	fixedRate,
		Spread	spread,
		const Date &	refPeriodStart = `Date()`,
		const Date &	refPeriodEnd = `Date()`,
		const Date &	exCouponDate = `Date()`
	)

Deprecated:: Use one of the constructors without spread. Deprecated in version 1.31.

Definition at line 122 of file cpicoupon.cpp.

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◆ ~CPICoupon()

QL_DEPRECATED_DISABLE_WARNING ~CPICoupon ( )

overridedefault

Member Function Documentation

◆ fixedRate()

Real fixedRate ( ) const

fixed rate that will be inflated by the index ratio

Definition at line 338 of file cpicoupon.hpp.

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◆ spread()

Real spread ( ) const

Deprecated:: Do not use this method. A spread doesn't make sense for this coupon. Deprecated in version 1.31.

Definition at line 342 of file cpicoupon.hpp.

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◆ baseCPI()

Rate baseCPI ( ) const

base value for the CPI index

Warning:: make sure that the interpolation used to create this is what you are using for the fixing, i.e. the observationInterpolation.

Definition at line 358 of file cpicoupon.hpp.

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◆ baseDate()

Date baseDate ( ) const

base date for the base fixing of the CPI index

Definition at line 362 of file cpicoupon.hpp.

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◆ observationInterpolation()

CPI::InterpolationType observationInterpolation ( ) const

how do you observe the index? as-is, flat, linear?

Definition at line 366 of file cpicoupon.hpp.

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◆ cpiIndex()

ext::shared_ptr< ZeroInflationIndex > cpiIndex ( ) const

index used

Definition at line 370 of file cpicoupon.hpp.

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◆ accruedAmount()

Real accruedAmount ( const Date & ) const

overridevirtual

accrued amount at the given date

Implements Coupon.

Definition at line 161 of file cpicoupon.cpp.

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◆ indexFixing()

Rate indexFixing ( ) const

overridevirtual

the index value observed (with a lag) at the end date

Reimplemented from InflationCoupon.

Definition at line 354 of file cpicoupon.hpp.

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◆ indexRatio()

Rate indexRatio ( Date d ) const

the ratio between the index fixing at the passed date and the base CPI

No adjustments are applied

Definition at line 172 of file cpicoupon.cpp.

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◆ adjustedIndexGrowth()

Rate adjustedIndexGrowth ( ) const

the ratio between the end index fixing and the base CPI

This might include adjustments calculated by the pricer

Definition at line 348 of file cpicoupon.hpp.

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◆ accept()

QL_DEPRECATED_ENABLE_WARNING void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from Coupon.

Definition at line 153 of file cpicoupon.cpp.

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◆ checkPricerImpl()

bool checkPricerImpl ( const ext::shared_ptr< InflationCouponPricer > & ) const

overrideprotectedvirtual

makes sure you were given the correct type of pricer

Implements InflationCoupon.

Definition at line 191 of file cpicoupon.cpp.

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Member Data Documentation

◆ baseCPI_

Real baseCPI_

protected

Definition at line 214 of file cpicoupon.hpp.

◆ fixedRate_

Real fixedRate_

protected

Definition at line 215 of file cpicoupon.hpp.

◆ spread_

Spread spread_

protected

Deprecated:: Don't use this data member. A spread doesn't make sense for this coupon. Deprecated in version 1.31.

Definition at line 220 of file cpicoupon.hpp.

◆ observationInterpolation_

CPI::InterpolationType observationInterpolation_

protected

Definition at line 221 of file cpicoupon.hpp.

◆ baseDate_

Date baseDate_

protected

Definition at line 222 of file cpicoupon.hpp.

Public Member Functions

Visitability

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CPICoupon() [1/6]

◆ CPICoupon() [2/6]

◆ CPICoupon() [3/6]

◆ CPICoupon() [4/6]

◆ CPICoupon() [5/6]

◆ CPICoupon() [6/6]

◆ ~CPICoupon()

Member Function Documentation

◆ fixedRate()

◆ spread()

◆ baseCPI()

◆ baseDate()

◆ observationInterpolation()

◆ cpiIndex()

◆ accruedAmount()

◆ indexFixing()

◆ indexRatio()

◆ adjustedIndexGrowth()

◆ accept()

◆ checkPricerImpl()

Member Data Documentation

◆ baseCPI_

◆ fixedRate_

◆ spread_

◆ observationInterpolation_

◆ baseDate_