Zero-coupon inflation-indexed swap. More...

#include <ql/instruments/zerocouponinflationswap.hpp>

Inheritance diagram for ZeroCouponInflationSwap:

Collaboration diagram for ZeroCouponInflationSwap:

Classes
class	arguments

class	engine

Public Member Functions
	ZeroCouponInflationSwap (Type type, Real nominal, const Date &startDate, const Date &maturity, 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())

Inspectors
Type	type () const
	"Payer" or "Receiver" refers to the inflation leg More...

Real	nominal () const

Date	startDate () const override

Date	maturityDate () const override

Calendar	fixedCalendar () const

BusinessDayConvention	fixedConvention () const

DayCounter	dayCounter () const

Rate	fixedRate () const
	\( K \) in the above formula. More...

ext::shared_ptr< ZeroInflationIndex >	inflationIndex () const

Period	observationLag () const

CPI::InterpolationType	observationInterpolation () const

bool	adjustObservationDates () const

Calendar	inflationCalendar () const

BusinessDayConvention	inflationConvention () const

const Leg &	fixedLeg () const
	just one cashflow (that is not a coupon) in each leg More...

const Leg &	inflationLeg () const
	just one cashflow (that is not a coupon) in each leg More...

Public Member Functions inherited from Swap
void	deepUpdate () override

Size	numberOfLegs () const

const std::vector< Leg > &	legs () const

Real	legBPS (Size j) const

Real	legNPV (Size j) const

DiscountFactor	startDiscounts (Size j) const

DiscountFactor	endDiscounts (Size j) const

DiscountFactor	npvDateDiscount () const

const Leg &	leg (Size j) const

bool	payer (Size j) const

bool	isExpired () const override
	returns whether the instrument might have value greater than zero. More...

void	setupArguments (PricingEngine::arguments *) const override

void	fetchResults (const PricingEngine::results *) const override

	Swap (const Leg &firstLeg, const Leg &secondLeg)

	Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer)

Public Member Functions inherited from Instrument
	Instrument ()

Real	NPV () const
	returns the net present value of the instrument. More...

Real	errorEstimate () const
	returns the error estimate on the NPV when available. More...

const Date &	valuationDate () const
	returns the date the net present value refers to. More...

template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine. More...

const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine. More...

void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...

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 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 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 ()

Results
Type	type_

Real	nominal_

Date	startDate_

Date	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_

Date	obsDate_

Real	fixedLegNPV () const

Real	inflationLegNPV () const

Real	fairRate () const

Additional Inherited Members
Public Types inherited from Swap
enum	Type { Receiver = -1 , Payer = 1 }

Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from Swap
void	setupExpired () const override

	Swap (Size legs)

Protected Member Functions inherited from Instrument
void	calculate () const override

void	performCalculations () const override

Protected Member Functions inherited from LazyObject
Protected Attributes inherited from Swap
std::vector< Leg >	legs_

std::vector< Real >	payer_

std::vector< Real >	legNPV_

std::vector< Real >	legBPS_

std::vector< DiscountFactor >	startDiscounts_

std::vector< DiscountFactor >	endDiscounts_

DiscountFactor	npvDateDiscount_

Protected Attributes inherited from Instrument
Real	NPV_

Real	errorEstimate_

Date	valuationDate_

std::map< std::string, ext::any >	additionalResults_

ext::shared_ptr< PricingEngine >	engine_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

Zero-coupon inflation-indexed swap.

Quoted as a fixed rate \( K \). At start:

\[ P_n(0,T) N [(1+K)^{T}-1] = P_n(0,T) N \left[ \frac{I(T)}{I(0)} -1 \right] \]

where \( T \) is the maturity time, \( P_n(0,t) \) is the nominal discount factor at time \( t \), \( N \) is the notional, and \( I(t) \) is the inflation index value at time \( t \).

This inherits from swap and has two very simple legs: a fixed leg, from the quote (K); and an indexed leg. At maturity the two single cashflows are swapped. These are the notional versus the inflation-indexed notional Because the coupons are zero there are no accruals (and no coupons).

In this swap, the passed type (Payer or Receiver) refers to the inflation leg.

Inflation is generally available on every day, including holidays and weekends. Hence there is a variable to state whether the observe/fix dates for inflation are adjusted or not. The default is not to adjust.

A zero inflation swap is a simple enough instrument that the standard discounting pricing engine that works for a vanilla swap also works.

Note: we do not need Schedules on the legs because they use one or two dates only per leg.

Definition at line 68 of file zerocouponinflationswap.hpp.

Constructor & Destructor Documentation

◆ ZeroCouponInflationSwap()

ZeroCouponInflationSwap	(	Type	type,
		Real	nominal,
		const Date &	startDate,
		const Date &	maturity,
		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()`
	)