cpiswap.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007, 2009, 2011 Chris Kenyon
 Copyright (C) 2009 StatPro Italia srl
 
 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_zeroinflationswap_hpp
#define quantlib_zeroinflationswap_hpp
 
#include <ql/instruments/swap.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/schedule.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/cashflows/cpicoupon.hpp>
 
namespace QuantLib {
 
    class ZeroInflationIndex;
 
 
    class CPISwap : public Swap {
      public:
        class arguments;
        class results;
        class engine;
 
        CPISwap(Type type,
                Real nominal,
                bool subtractInflationNominal,
                // float+spread leg
                Spread spread,
                DayCounter floatDayCount,
                Schedule floatSchedule,
                const BusinessDayConvention& floatRoll,
                Natural fixingDays,
                ext::shared_ptr<IborIndex> floatIndex,
                // fixed x inflation leg
                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>());
 
        // results
        // float+spread
        virtual Real floatLegNPV() const;
        virtual Spread fairSpread() const;
        // fixed rate x inflation
        virtual Real fixedLegNPV() const;
        virtual Rate fairRate() const;
 
        // inspectors
        virtual Type type() const;
        virtual Real nominal() const;
        virtual bool subtractInflationNominal() const;
 
        // float+spread
        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;
 
        // fixed rate x inflation
        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;
 
        // legs
        virtual const Leg& cpiLeg() const;
        virtual const Leg& floatLeg() const;
 
        // other
        void setupArguments(PricingEngine::arguments* args) const override;
        void fetchResults(const PricingEngine::results*) const override;
 
      private:
        void setupExpired() const override;
 
        Type type_;
        Real nominal_;
        bool subtractInflationNominal_;
 
        // float+spread leg
        Spread spread_;
        DayCounter floatDayCount_;
        Schedule floatSchedule_;
        BusinessDayConvention floatPaymentRoll_;
        Natural fixingDays_;
        ext::shared_ptr<IborIndex> floatIndex_;
 
        // fixed x inflation leg
        Rate fixedRate_;
        Real baseCPI_;
        DayCounter fixedDayCount_;
        Schedule fixedSchedule_;
        BusinessDayConvention fixedPaymentRoll_;
        ext::shared_ptr<ZeroInflationIndex> fixedIndex_;
        Period observationLag_;
        CPI::InterpolationType observationInterpolation_;
        Real inflationNominal_;
        // results
        mutable Spread fairSpread_;
        mutable Rate fairRate_;
 
    };
 
 
    class CPISwap::arguments : public Swap::arguments {
    public:
      arguments() : nominal(Null<Real>()) {}
      Type type = Receiver;
      Real nominal;
 
      void validate() const override;
    };
 
    class CPISwap::results : public Swap::results {
    public:
        Rate fairRate;
        Spread fairSpread;
        void reset() override;
    };
 
    class CPISwap::engine : public GenericEngine<CPISwap::arguments,
                                                 CPISwap::results> {};
 
 
    // inline definitions
 
    // inspectors
    inline  Swap::Type CPISwap::type() const { return type_; }
    inline  Real CPISwap::nominal() const { return nominal_; }
    inline  bool CPISwap::subtractInflationNominal() const { return subtractInflationNominal_; }
 
    // float+spread
    inline Spread CPISwap::spread() const { return spread_; }
    inline const DayCounter& CPISwap::floatDayCount() const { return floatDayCount_; }
    inline const Schedule& CPISwap::floatSchedule() const { return floatSchedule_; }
    inline const BusinessDayConvention& CPISwap::floatPaymentRoll() const { return floatPaymentRoll_; }
    inline Natural CPISwap::fixingDays() const { return fixingDays_; }
    inline const ext::shared_ptr<IborIndex>& CPISwap::floatIndex() const { return floatIndex_; }
 
    // fixed rate x inflation
    inline Rate CPISwap::fixedRate() const { return fixedRate_; }
    inline Real CPISwap::baseCPI() const { return baseCPI_; }
    inline const DayCounter& CPISwap::fixedDayCount() const { return fixedDayCount_; }
    inline const Schedule& CPISwap::fixedSchedule() const { return fixedSchedule_; }
    inline const BusinessDayConvention& CPISwap::fixedPaymentRoll() const { return fixedPaymentRoll_; }
    inline Period CPISwap::observationLag() const { return observationLag_; }
    inline const ext::shared_ptr<ZeroInflationIndex>& CPISwap::fixedIndex() const { return fixedIndex_; }
    inline CPI::InterpolationType CPISwap::observationInterpolation() const { return observationInterpolation_; }
    inline Real CPISwap::inflationNominal() const { return inflationNominal_; }
 
    inline const Leg& CPISwap::cpiLeg() const {//inflation indexed
        return legs_[0];
    }
 
    inline const Leg& CPISwap::floatLeg() const {
        return legs_[1];
    }
 
}
 
#endif