zero-inflation-indexed swap, More...

#include <cpiswap.hpp>

Inheritance diagram for CPISwap:

Collaboration diagram for CPISwap:

Classes
class	arguments
	Arguments for swap calculation More...

class	engine

class	results
	Results from swap calculation More...

Public Member Functions
	CPISwap (Type type, Real nominal, bool subtractInflationNominal, Spread spread, DayCounter floatDayCount, Schedule floatSchedule, const BusinessDayConvention &floatRoll, Natural fixingDays, ext::shared_ptr< IborIndex > floatIndex, Rate fixedRate, Real baseCPI, DayCounter fixedDayCount, Schedule fixedSchedule, const BusinessDayConvention &fixedRoll, const Period &observationLag, ext::shared_ptr< ZeroInflationIndex > fixedIndex, CPI::InterpolationType observationInterpolation=CPI::AsIndex, Real inflationNominal=Null< Real >())

virtual Real	floatLegNPV () const

virtual Spread	fairSpread () const

virtual Real	fixedLegNPV () const

virtual Rate	fairRate () const

virtual Type	type () const

virtual Real	nominal () const

virtual bool	subtractInflationNominal () const

virtual Spread	spread () const

virtual const DayCounter &	floatDayCount () const

virtual const Schedule &	floatSchedule () const

virtual const BusinessDayConvention &	floatPaymentRoll () const

virtual Natural	fixingDays () const

virtual const ext::shared_ptr< IborIndex > &	floatIndex () const

virtual Rate	fixedRate () const

virtual Real	baseCPI () const

virtual const DayCounter &	fixedDayCount () const

virtual const Schedule &	fixedSchedule () const

virtual const BusinessDayConvention &	fixedPaymentRoll () const

virtual Period	observationLag () const

virtual const ext::shared_ptr< ZeroInflationIndex > &	fixedIndex () const

virtual CPI::InterpolationType	observationInterpolation () const

virtual Real	inflationNominal () const

virtual const Leg &	cpiLeg () const

virtual const Leg &	floatLeg () const

void	setupArguments (PricingEngine::arguments *args) const override
	for simple case sufficient to copy base class More...

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

Public Member Functions inherited from Swap
void	deepUpdate () override

Size	numberOfLegs () const

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

virtual Date	startDate () const

virtual Date	maturityDate () 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 ()

Private Member Functions
void	setupExpired () const override

Private Attributes
Type	type_

Real	nominal_

bool	subtractInflationNominal_

Spread	spread_

DayCounter	floatDayCount_

Schedule	floatSchedule_

BusinessDayConvention	floatPaymentRoll_

Natural	fixingDays_

ext::shared_ptr< IborIndex >	floatIndex_

Rate	fixedRate_

Real	baseCPI_

DayCounter	fixedDayCount_

Schedule	fixedSchedule_

BusinessDayConvention	fixedPaymentRoll_

ext::shared_ptr< ZeroInflationIndex >	fixedIndex_

Period	observationLag_

CPI::InterpolationType	observationInterpolation_

Real	inflationNominal_

Spread	fairSpread_

Rate	fairRate_

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-inflation-indexed swap,

fixed x zero-inflation, i.e. fixed x CPI(i'th fixing)/CPI(base) versus floating + spread

Note that this does ony the inflation-vs-floating-leg. Extension to inflation-vs-fixed-leg. is simple - just replace the floating leg with a fixed leg.

Typically there are notional exchanges at the end: either inflated-notional vs notional; or just (inflated-notional - notional) vs zero. The latter is perhaphs more typical.

Warning:: Setting subtractInflationNominal to true means that the original inflation nominal is subtracted from both nominals before they are exchanged, even if they are different.

This swap can mimic a ZCIIS where [(1+q)^n - 1] is exchanged against (cpi ratio - 1), by using differnt nominals on each leg and setting subtractInflationNominal to true. ALSO - there must be just one date in each schedule.

The two legs can have different schedules, fixing (days vs lag), settlement, and roll conventions. N.B. accrual adjustment periods are already in the schedules. Trade date and swap settlement date are outside the scope of the instrument.

Definition at line 66 of file cpiswap.hpp.

Constructor & Destructor Documentation

◆ CPISwap()

CPISwap	(	Type	type,
		Real	nominal,
		bool	subtractInflationNominal,
		Spread	spread,
		DayCounter	floatDayCount,
		Schedule	floatSchedule,
		const BusinessDayConvention &	floatRoll,
		Natural	fixingDays,
		ext::shared_ptr< IborIndex >	floatIndex,
		Rate	fixedRate,
		Real	baseCPI,
		DayCounter	fixedDayCount,
		Schedule	fixedSchedule,
		const BusinessDayConvention &	fixedRoll,
		const Period &	observationLag,
		ext::shared_ptr< ZeroInflationIndex >	fixedIndex,
		CPI::InterpolationType	observationInterpolation = `CPI::AsIndex`,
		Real	inflationNominal = `Null<Real>()`
	)

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

Definition at line 37 of file cpiswap.cpp.

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Member Function Documentation

◆ floatLegNPV()

Real floatLegNPV ( ) const

virtual

Definition at line 164 of file cpiswap.cpp.

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◆ fairSpread()

Spread fairSpread ( ) const

virtual

Definition at line 151 of file cpiswap.cpp.

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◆ fixedLegNPV()

Real fixedLegNPV ( ) const

virtual

Definition at line 158 of file cpiswap.cpp.

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◆ fairRate()

Rate fairRate ( ) const

virtual

Definition at line 145 of file cpiswap.cpp.

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◆ type()

Swap::Type type ( ) const

virtual

Definition at line 191 of file cpiswap.hpp.

◆ nominal()

Real nominal ( ) const

virtual

Definition at line 192 of file cpiswap.hpp.

◆ subtractInflationNominal()

bool subtractInflationNominal ( ) const

virtual

Definition at line 193 of file cpiswap.hpp.

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◆ spread()

Spread spread ( ) const

virtual

Definition at line 196 of file cpiswap.hpp.

◆ floatDayCount()

const DayCounter & floatDayCount ( ) const

virtual

Definition at line 197 of file cpiswap.hpp.

◆ floatSchedule()

const Schedule & floatSchedule ( ) const

virtual

Definition at line 198 of file cpiswap.hpp.

◆ floatPaymentRoll()

const BusinessDayConvention & floatPaymentRoll ( ) const

virtual

Definition at line 199 of file cpiswap.hpp.

◆ fixingDays()

Natural fixingDays ( ) const

virtual

Definition at line 200 of file cpiswap.hpp.

◆ floatIndex()

const ext::shared_ptr< IborIndex > & floatIndex ( ) const

virtual

Definition at line 201 of file cpiswap.hpp.

◆ fixedRate()

Rate fixedRate ( ) const

virtual

Definition at line 204 of file cpiswap.hpp.

◆ baseCPI()

Real baseCPI ( ) const

virtual

Definition at line 205 of file cpiswap.hpp.

◆ fixedDayCount()

const DayCounter & fixedDayCount ( ) const

virtual

Definition at line 206 of file cpiswap.hpp.

◆ fixedSchedule()

const Schedule & fixedSchedule ( ) const

virtual

Definition at line 207 of file cpiswap.hpp.

◆ fixedPaymentRoll()

const BusinessDayConvention & fixedPaymentRoll ( ) const

virtual

Definition at line 208 of file cpiswap.hpp.

◆ observationLag()

Period observationLag ( ) const

virtual

Definition at line 209 of file cpiswap.hpp.

◆ fixedIndex()

const ext::shared_ptr< ZeroInflationIndex > & fixedIndex ( ) const

virtual

Definition at line 210 of file cpiswap.hpp.

◆ observationInterpolation()

CPI::InterpolationType observationInterpolation ( ) const

virtual

Definition at line 211 of file cpiswap.hpp.

◆ inflationNominal()

Real inflationNominal ( ) const

virtual

Definition at line 212 of file cpiswap.hpp.

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◆ cpiLeg()

const Leg & cpiLeg ( ) const

virtual

Definition at line 214 of file cpiswap.hpp.

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◆ floatLeg()

const Leg & floatLeg ( ) const

virtual

Definition at line 218 of file cpiswap.hpp.

◆ setupArguments()

void setupArguments ( PricingEngine::arguments * args ) const

overridevirtual

for simple case sufficient to copy base class

Reimplemented from Instrument.

Definition at line 134 of file cpiswap.cpp.

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◆ fetchResults()

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

overridevirtual

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Definition at line 177 of file cpiswap.cpp.

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◆ setupExpired()

void setupExpired ( ) const

overrideprivatevirtual

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.

Definition at line 170 of file cpiswap.cpp.

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Member Data Documentation

◆ type_

Type type_

private

Definition at line 137 of file cpiswap.hpp.

◆ nominal_

Real nominal_

private

Definition at line 138 of file cpiswap.hpp.

◆ subtractInflationNominal_

bool subtractInflationNominal_

private

Definition at line 139 of file cpiswap.hpp.

◆ spread_

Spread spread_

private

Definition at line 142 of file cpiswap.hpp.

◆ floatDayCount_

DayCounter floatDayCount_

private

Definition at line 143 of file cpiswap.hpp.

◆ floatSchedule_

Schedule floatSchedule_

private

Definition at line 144 of file cpiswap.hpp.

◆ floatPaymentRoll_

BusinessDayConvention floatPaymentRoll_

private

Definition at line 145 of file cpiswap.hpp.

◆ fixingDays_

Natural fixingDays_

private

Definition at line 146 of file cpiswap.hpp.

◆ floatIndex_

ext::shared_ptr<IborIndex> floatIndex_

private

Definition at line 147 of file cpiswap.hpp.

◆ fixedRate_

Rate fixedRate_

private

Definition at line 150 of file cpiswap.hpp.

◆ baseCPI_

Real baseCPI_

private

Definition at line 151 of file cpiswap.hpp.

◆ fixedDayCount_

DayCounter fixedDayCount_

private

Definition at line 152 of file cpiswap.hpp.

◆ fixedSchedule_

Schedule fixedSchedule_

private

Definition at line 153 of file cpiswap.hpp.

◆ fixedPaymentRoll_

BusinessDayConvention fixedPaymentRoll_

private

Definition at line 154 of file cpiswap.hpp.

◆ fixedIndex_

ext::shared_ptr<ZeroInflationIndex> fixedIndex_

private

Definition at line 155 of file cpiswap.hpp.

◆ observationLag_

Period observationLag_

private

Definition at line 156 of file cpiswap.hpp.

◆ observationInterpolation_

CPI::InterpolationType observationInterpolation_

private

Definition at line 157 of file cpiswap.hpp.

◆ inflationNominal_

Real inflationNominal_

private

Definition at line 158 of file cpiswap.hpp.

◆ fairSpread_

Spread fairSpread_

mutableprivate

Definition at line 160 of file cpiswap.hpp.

◆ fairRate_

Rate fairRate_

mutableprivate

Definition at line 161 of file cpiswap.hpp.

Classes

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CPISwap()

Member Function Documentation

◆ floatLegNPV()

◆ fairSpread()

◆ fixedLegNPV()

◆ fairRate()

◆ type()

◆ nominal()

◆ subtractInflationNominal()

◆ spread()

◆ floatDayCount()

◆ floatSchedule()

◆ floatPaymentRoll()

◆ fixingDays()

◆ floatIndex()

◆ fixedRate()

◆ baseCPI()

◆ fixedDayCount()

◆ fixedSchedule()

◆ fixedPaymentRoll()

◆ observationLag()

◆ fixedIndex()

◆ observationInterpolation()

◆ inflationNominal()

◆ cpiLeg()

◆ floatLeg()

◆ setupArguments()

◆ fetchResults()

◆ setupExpired()

Member Data Documentation

◆ type_

◆ nominal_

◆ subtractInflationNominal_

◆ spread_

◆ floatDayCount_

◆ floatSchedule_

◆ floatPaymentRoll_

◆ fixingDays_

◆ floatIndex_

◆ fixedRate_

◆ baseCPI_

◆ fixedDayCount_

◆ fixedSchedule_

◆ fixedPaymentRoll_

◆ fixedIndex_

◆ observationLag_

◆ observationInterpolation_

◆ inflationNominal_

◆ fairSpread_

◆ fairRate_