#include <cpibond.hpp>

Inheritance diagram for CPIBond:

Collaboration diagram for CPIBond:

Public Member Functions
	CPIBond (Natural settlementDays, Real faceAmount, bool growthOnly, Real baseCPI, const Period &observationLag, ext::shared_ptr< ZeroInflationIndex > cpiIndex, CPI::InterpolationType observationInterpolation, Schedule schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=ModifiedFollowing, const Date &issueDate=Date(), const Calendar &paymentCalendar=Calendar(), const Period &exCouponPeriod=Period(), const Calendar &exCouponCalendar=Calendar(), BusinessDayConvention exCouponConvention=Unadjusted, bool exCouponEndOfMonth=false)

Frequency	frequency () const

const DayCounter &	dayCounter () const

bool	growthOnly () const

Real	baseCPI () const

Period	observationLag () const

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

CPI::InterpolationType	observationInterpolation () const

Public Member Functions inherited from Bond
	Bond (Natural settlementDays, Calendar calendar, const Date &issueDate=Date(), const Leg &coupons=Leg())
	constructor for amortizing or non-amortizing bonds. More...

	Bond (Natural settlementDays, Calendar calendar, Real faceAmount, const Date &maturityDate, const Date &issueDate=Date(), const Leg &cashflows=Leg())
	old constructor for non amortizing bonds. More...

bool	isExpired () const override
	returns whether the instrument might have value greater than zero. More...

void	deepUpdate () override

Natural	settlementDays () const

const Calendar &	calendar () const

const std::vector< Real > &	notionals () const

virtual Real	notional (Date d=Date()) const

const Leg &	cashflows () const

const Leg &	redemptions () const

const ext::shared_ptr< CashFlow > &	redemption () const

Date	startDate () const

Date	maturityDate () const

Date	issueDate () const

bool	isTradable (Date d=Date()) const

Date	settlementDate (Date d=Date()) const

Real	cleanPrice () const
	theoretical clean price More...

Real	dirtyPrice () const
	theoretical dirty price More...

Real	settlementValue () const
	theoretical settlement value More...

Rate	yield (const DayCounter &dc, Compounding comp, Frequency freq, Real accuracy=1.0e-8, Size maxEvaluations=100, Real guess=0.05, Bond::Price::Type priceType=Bond::Price::Clean) const
	theoretical bond yield More...

Real	cleanPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const
	clean price given a yield and settlement date More...

Real	dirtyPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const
	dirty price given a yield and settlement date More...

Real	settlementValue (Real cleanPrice) const
	settlement value as a function of the clean price More...

Rate	yield (Real price, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date(), Real accuracy=1.0e-8, Size maxEvaluations=100, Real guess=0.05, Bond::Price::Type priceType=Bond::Price::Clean) const

Rate	yield (Bond::Price price, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date(), Real accuracy=1.0e-8, Size maxEvaluations=100, Real guess=0.05) const
	yield given a price and settlement date More...

virtual Real	accruedAmount (Date d=Date()) const
	accrued amount at a given date More...

virtual Rate	nextCouponRate (Date d=Date()) const

Rate	previousCouponRate (Date d=Date()) const
	Previous coupon already paid at a given date. More...

Date	nextCashFlowDate (Date d=Date()) const

Date	previousCashFlowDate (Date d=Date()) const

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 ()

Protected Attributes
Frequency	frequency_

DayCounter	dayCounter_

bool	growthOnly_

Real	baseCPI_

Period	observationLag_

ext::shared_ptr< ZeroInflationIndex >	cpiIndex_

CPI::InterpolationType	observationInterpolation_

Protected Attributes inherited from Bond
Natural	settlementDays_

Calendar	calendar_

std::vector< Date >	notionalSchedule_

std::vector< Real >	notionals_

Leg	cashflows_

Leg	redemptions_

Date	maturityDate_

Date	issueDate_

Real	settlementValue_

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_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from Bond
void	setupExpired () const override

void	setupArguments (PricingEngine::arguments *) const override

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

void	addRedemptionsToCashflows (const std::vector< Real > &redemptions=std::vector< Real >())

void	setSingleRedemption (Real notional, Real redemption, const Date &date)

void	setSingleRedemption (Real notional, const ext::shared_ptr< CashFlow > &redemption)

void	calculateNotionalsFromCashflows ()

Protected Member Functions inherited from Instrument
void	calculate () const override

void	performCalculations () const override

Protected Member Functions inherited from LazyObject

Detailed Description

cpi bond; if there is only one date in the schedule it is a zero bond returning an inflated notional.

Definition at line 43 of file cpibond.hpp.

Constructor & Destructor Documentation

◆ CPIBond()

CPIBond	(	Natural	settlementDays,
		Real	faceAmount,
		bool	growthOnly,
		Real	baseCPI,
		const Period &	observationLag,
		ext::shared_ptr< ZeroInflationIndex >	cpiIndex,
		CPI::InterpolationType	observationInterpolation,
		Schedule	schedule,
		const std::vector< Rate > &	coupons,
		const DayCounter &	accrualDayCounter,
		BusinessDayConvention	paymentConvention = `ModifiedFollowing`,
		const Date &	issueDate = `Date()`,
		const Calendar &	paymentCalendar = `Calendar()`,
		const Period &	exCouponPeriod = `Period()`,
		const Calendar &	exCouponCalendar = `Calendar()`,
		BusinessDayConvention	exCouponConvention = `Unadjusted`,
		bool	exCouponEndOfMonth = `false`
	)

Definition at line 36 of file cpibond.cpp.

Here is the call graph for this function:

Member Function Documentation

◆ frequency()

Frequency frequency ( ) const

Definition at line 63 of file cpibond.hpp.

◆ dayCounter()

const DayCounter & dayCounter ( ) const

Definition at line 64 of file cpibond.hpp.

◆ growthOnly()

bool growthOnly ( ) const

Definition at line 65 of file cpibond.hpp.

◆ baseCPI()

Real baseCPI ( ) const

Definition at line 66 of file cpibond.hpp.

◆ observationLag()

Period observationLag ( ) const

Definition at line 67 of file cpibond.hpp.

◆ cpiIndex()

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

Definition at line 68 of file cpibond.hpp.

◆ observationInterpolation()

CPI::InterpolationType observationInterpolation ( ) const

Definition at line 69 of file cpibond.hpp.

Member Data Documentation

◆ frequency_

Frequency frequency_

protected

Definition at line 72 of file cpibond.hpp.

◆ dayCounter_

DayCounter dayCounter_

protected

Definition at line 73 of file cpibond.hpp.

◆ growthOnly_

bool growthOnly_

protected

Definition at line 74 of file cpibond.hpp.

◆ baseCPI_

Real baseCPI_

protected

Definition at line 75 of file cpibond.hpp.

◆ observationLag_

Period observationLag_

protected

Definition at line 76 of file cpibond.hpp.

◆ cpiIndex_

ext::shared_ptr<ZeroInflationIndex> cpiIndex_

protected

Definition at line 77 of file cpibond.hpp.

◆ observationInterpolation_

CPI::InterpolationType observationInterpolation_

protected

Definition at line 78 of file cpibond.hpp.

Public Member Functions

Protected Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CPIBond()

Member Function Documentation

◆ frequency()

◆ dayCounter()

◆ growthOnly()

◆ baseCPI()

◆ observationLag()

◆ cpiIndex()

◆ observationInterpolation()

Member Data Documentation

◆ frequency_

◆ dayCounter_

◆ growthOnly_

◆ baseCPI_

◆ observationLag_

◆ cpiIndex_

◆ observationInterpolation_