Year-on-year inflation-indexed swap. More...

#include <yearonyearinflationswap.hpp>

Inheritance diagram for YearOnYearInflationSwap:

Collaboration diagram for YearOnYearInflationSwap:

Classes
class	arguments
	Arguments for YoY swap calculation More...

class	engine

class	results
	Results from YoY swap calculation More...

Public Member Functions
	YearOnYearInflationSwap (Type type, Real nominal, Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDayCount, Schedule yoySchedule, ext::shared_ptr< YoYInflationIndex > yoyIndex, const Period &observationLag, Spread spread, DayCounter yoyDayCount, Calendar paymentCalendar, BusinessDayConvention paymentConvention=ModifiedFollowing)

virtual Real	fixedLegNPV () const

virtual Rate	fairRate () const

virtual Real	yoyLegNPV () const

virtual Spread	fairSpread () const

virtual Type	type () const

virtual Real	nominal () const

virtual const Schedule &	fixedSchedule () const

virtual Rate	fixedRate () const

virtual const DayCounter &	fixedDayCount () const

virtual const Schedule &	yoySchedule () const

virtual const ext::shared_ptr< YoYInflationIndex > &	yoyInflationIndex () const

virtual Period	observationLag () const

virtual Spread	spread () const

virtual const DayCounter &	yoyDayCount () const

virtual Calendar	paymentCalendar () const

virtual BusinessDayConvention	paymentConvention () const

virtual const Leg &	fixedLeg () const

virtual const Leg &	yoyLeg () const

void	setupArguments (PricingEngine::arguments *args) const override

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

	~YearOnYearInflationSwap () override=default

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...

	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_

Schedule	fixedSchedule_

Rate	fixedRate_

DayCounter	fixedDayCount_

Schedule	yoySchedule_

ext::shared_ptr< YoYInflationIndex >	yoyIndex_

Period	observationLag_

Spread	spread_

DayCounter	yoyDayCount_

Calendar	paymentCalendar_

BusinessDayConvention	paymentConvention_

Rate	fairRate_

Spread	fairSpread_

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
	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

Year-on-year inflation-indexed swap.

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

\[ \sum_{i=1}^{M} P_n(0,t_i) N K = \sum_{i=1}^{M} P_n(0,t_i) N \left[ \frac{I(t_i)}{I(t_i-1)} - 1 \right] \]

where \( t_M \) 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 \( t \).

Definition at line 47 of file yearonyearinflationswap.hpp.

Constructor & Destructor Documentation

◆ YearOnYearInflationSwap()

YearOnYearInflationSwap	(	Type	type,
		Real	nominal,
		Schedule	fixedSchedule,
		Rate	fixedRate,
		DayCounter	fixedDayCount,
		Schedule	yoySchedule,
		ext::shared_ptr< YoYInflationIndex >	yoyIndex,
		const Period &	observationLag,
		Spread	spread,
		DayCounter	yoyDayCount,
		Calendar	paymentCalendar,
		BusinessDayConvention	paymentConvention = `ModifiedFollowing`
	)

Definition at line 34 of file yearonyearinflationswap.cpp.

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◆ ~YearOnYearInflationSwap()

~YearOnYearInflationSwap ( )

overridedefault

Member Function Documentation

◆ fixedLegNPV()

Real fixedLegNPV ( ) const

virtual

Definition at line 148 of file yearonyearinflationswap.cpp.

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◆ fairRate()

Rate fairRate ( ) const

virtual

Definition at line 135 of file yearonyearinflationswap.cpp.

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◆ yoyLegNPV()

Real yoyLegNPV ( ) const

virtual

Definition at line 154 of file yearonyearinflationswap.cpp.

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◆ fairSpread()

Spread fairSpread ( ) const

virtual

Definition at line 141 of file yearonyearinflationswap.cpp.

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◆ type()

Swap::Type type ( ) const

virtual

Definition at line 150 of file yearonyearinflationswap.hpp.

◆ nominal()

Real nominal ( ) const

virtual

Definition at line 154 of file yearonyearinflationswap.hpp.

◆ fixedSchedule()

const Schedule & fixedSchedule ( ) const

virtual

Definition at line 158 of file yearonyearinflationswap.hpp.

◆ fixedRate()

Rate fixedRate ( ) const

virtual

Definition at line 162 of file yearonyearinflationswap.hpp.

◆ fixedDayCount()

const DayCounter & fixedDayCount ( ) const

virtual

Definition at line 166 of file yearonyearinflationswap.hpp.

◆ yoySchedule()

const Schedule & yoySchedule ( ) const

virtual

Definition at line 170 of file yearonyearinflationswap.hpp.

◆ yoyInflationIndex()

const ext::shared_ptr< YoYInflationIndex > & yoyInflationIndex ( ) const

virtual

Definition at line 174 of file yearonyearinflationswap.hpp.

◆ observationLag()

virtual Period observationLag ( ) const

virtual

Definition at line 81 of file yearonyearinflationswap.hpp.

◆ spread()

Spread spread ( ) const

virtual

Definition at line 178 of file yearonyearinflationswap.hpp.

◆ yoyDayCount()

const DayCounter & yoyDayCount ( ) const

virtual

Definition at line 182 of file yearonyearinflationswap.hpp.

◆ paymentCalendar()

virtual Calendar paymentCalendar ( ) const

virtual

Definition at line 85 of file yearonyearinflationswap.hpp.

◆ paymentConvention()

BusinessDayConvention paymentConvention ( ) const

virtual

Definition at line 186 of file yearonyearinflationswap.hpp.

◆ fixedLeg()

const Leg & fixedLeg ( ) const

virtual

Definition at line 190 of file yearonyearinflationswap.hpp.

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◆ yoyLeg()

const Leg & yoyLeg ( ) const

virtual

Definition at line 194 of file yearonyearinflationswap.hpp.

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◆ setupArguments()

void setupArguments ( PricingEngine::arguments * ) const

overridevirtual

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

Reimplemented from Swap.

Definition at line 79 of file yearonyearinflationswap.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 Swap.

Definition at line 167 of file yearonyearinflationswap.cpp.

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