inflationcoupon.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2009 Chris Kenyon
 
 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_inflation_coupon_hpp
#define quantlib_inflation_coupon_hpp
 
#include <ql/cashflows/coupon.hpp>
#include <ql/patterns/visitor.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/handle.hpp>
 
namespace QuantLib {
 
    class InflationIndex;
    class YieldTermStructure;
    class InflationCouponPricer;
 
 
    class InflationCoupon : public Coupon {
    public:
      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 { return rate() * accrualPeriod() * nominal(); }
 
 
      Real price(const Handle<YieldTermStructure>& discountingCurve) const;
      DayCounter dayCounter() const override { return dayCounter_; }
      Real accruedAmount(const Date&) const override;
      Rate rate() const override;
 
 
 
      const ext::shared_ptr<InflationIndex>& index() const { return index_; }
      Period observationLag() const { return observationLag_; }
      Natural fixingDays() const { return fixingDays_; }
      virtual Date fixingDate() const;
      virtual Rate indexFixing() const;
 
 
      void performCalculations() const override;
 
 
      void accept(AcyclicVisitor&) override;
      void setPricer(const ext::shared_ptr<InflationCouponPricer>&);
      ext::shared_ptr<InflationCouponPricer> pricer() const;
 
    protected:
        ext::shared_ptr<InflationCouponPricer> pricer_;
        ext::shared_ptr<InflationIndex> index_;
        Period observationLag_;
        DayCounter dayCounter_;
        Natural fixingDays_;
        mutable Real rate_;
 
        // this can also done in external pricer setter classes via
        // accept/visit mechanism
        virtual bool checkPricerImpl(const
            ext::shared_ptr<InflationCouponPricer>&) const = 0;
    };
 
    // inline definitions
 
 
    inline void InflationCoupon::accept(AcyclicVisitor& v) {
        auto* v1 = dynamic_cast<Visitor<InflationCoupon>*>(&v);
        if (v1 != nullptr)
            v1->visit(*this);
        else
            Coupon::accept(v);
    }
 
    inline ext::shared_ptr<InflationCouponPricer>
    InflationCoupon::pricer() const {
        return pricer_;
    }
 
}
 
#endif