cpicapfloor.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2010, 2011 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_cpicapfloor_hpp
#define quantlib_cpicapfloor_hpp
 
#include <ql/instrument.hpp>
#include <ql/option.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/indexes/inflationindex.hpp>
#include <ql/cashflows/cpicoupon.hpp>
 
namespace QuantLib {
 
 
    class CPICapFloor : public Instrument {
      public:
        class arguments;
        class engine;
 
        CPICapFloor(Option::Type type,
                    Real nominal,
                    const Date& startDate, // start date of contract (only)
                    Real baseCPI,
                    const Date& maturity, // this is pre-adjustment!
                    Calendar fixCalendar,
                    BusinessDayConvention fixConvention,
                    Calendar payCalendar,
                    BusinessDayConvention payConvention,
                    Rate strike,
                    const ext::shared_ptr<ZeroInflationIndex>& inflationIndex,
                    const Period& observationLag,
                    CPI::InterpolationType observationInterpolation = CPI::AsIndex);
 
 
        Option::Type type() const { return type_; }
        Real nominal() const { return nominal_; }
        Rate strike() const { return strike_; }
        Date fixingDate() const;
        Date payDate() const;
        const ext::shared_ptr<ZeroInflationIndex>& index() const { return index_; }
        Period observationLag() const { return observationLag_; }
 
 
        bool isExpired() const override;
        void setupArguments(PricingEngine::arguments*) const override;
 
      protected:
        Option::Type type_;
        Real nominal_;
        Date startDate_, fixDate_, payDate_;
        Real baseCPI_;
        Date maturity_;
        Calendar fixCalendar_;
        BusinessDayConvention fixConvention_;
        Calendar payCalendar_;
        BusinessDayConvention payConvention_;
        Rate strike_;
        ext::shared_ptr<ZeroInflationIndex> index_;
        Period observationLag_;
        CPI::InterpolationType observationInterpolation_;
    };
 
 
    class CPICapFloor::arguments : public virtual PricingEngine::arguments {
      public:
        Option::Type type;
        Real nominal;
        Date startDate, fixDate, payDate;
        Real baseCPI;
        Date maturity;
        Calendar fixCalendar, payCalendar;
        BusinessDayConvention fixConvention, payConvention;
        Rate strike;
        ext::shared_ptr<ZeroInflationIndex> index;
        Period observationLag;
        CPI::InterpolationType observationInterpolation;
 
        void validate() const override;
    };
 
    class CPICapFloor::engine : public GenericEngine<CPICapFloor::arguments,
                                                     CPICapFloor::results> {};
 
}
 
 
#endif