zeroinflationcashflow.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 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.
*/
 
#include <ql/cashflows/zeroinflationcashflow.hpp>
#include <ql/indexes/inflationindex.hpp>
#include <ql/termstructures/inflationtermstructure.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
 
namespace QuantLib {
 
    ZeroInflationCashFlow::ZeroInflationCashFlow(Real notional,
                                                 const ext::shared_ptr<ZeroInflationIndex>& index,
                                                 CPI::InterpolationType observationInterpolation,
                                                 const Date& startDate,
                                                 const Date& endDate,
                                                 const Period& observationLag,
                                                 const Date& paymentDate,
                                                 bool growthOnly)
    : IndexedCashFlow(notional, index,
                      startDate - observationLag, endDate - observationLag,
                      paymentDate, growthOnly),
      zeroInflationIndex_(index), observationInterpolation_(observationInterpolation),
      startDate_(startDate), endDate_(endDate), observationLag_(observationLag) {}
 
    void ZeroInflationCashFlow::performCalculations() const {
 
        Real I0, I1;
 
        if (observationInterpolation_ == CPI::AsIndex) {
            I0 = zeroInflationIndex_->fixing(baseDate());
            I1 = zeroInflationIndex_->fixing(fixingDate());
        } else {
            I0 = CPI::laggedFixing(zeroInflationIndex_, startDate_, observationLag_, observationInterpolation_);
            I1 = CPI::laggedFixing(zeroInflationIndex_, endDate_, observationLag_, observationInterpolation_);
        }
 
        if (growthOnly())
            amount_ = notional() * (I1 / I0 - 1.0);
        else
            amount_ = notional() * (I1 / I0);
    }
 
    void ZeroInflationCashFlow::accept(AcyclicVisitor& v) {
        auto* v1 = dynamic_cast<Visitor<ZeroInflationCashFlow>*>(&v);
        if (v1 != nullptr)
            v1->visit(*this);
        else
            IndexedCashFlow::accept(v);
    }
 
}