Clean up inflation swaps convention #1539
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USCPI now interpolated JPY now interpolated (using 10th of the month inflation) All GBP indices now use 2 month inflation lag. Primary Source: http://www.trade2win.com/boards/attachments/next-steps/101520d1296424640-inflation-trading-barclays-inflation-derivatives-users-guide.pdf
jodastephen
requested changes
Jul 28, 2017
| * @param businessDayAdjustment the business day | ||
| * @return the convention | ||
| */ | ||
| public static InflationRateSwapLegConvention of( | ||
| PriceIndex index, | ||
| Period lag, | ||
| PriceIndexCalculationMethod priceIndexCalculationMethod, |
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This is an incompatible change. Need to add an overload.
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Ok. Have deprecated the old method as the client should have to provide interpolation style when defining conventions. Defaulting to monthly seems slightly arbitrary.
| BusinessDayAdjustment businessDayAdjustment) { | ||
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| return new InflationRateSwapLegConvention(index, lag, PriceIndexCalculationMethod.MONTHLY, false, | ||
| return new InflationRateSwapLegConvention(index, lag, priceIndexCalculationMethod, false, |
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Each argument should be on a new line
| @@ -157,6 +194,7 @@ private static FixedRateSwapLegConvention fixedLegZcConvention(Currency ccy, Hol | |||
| } | |||
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| //------------------------------------------------------------------------- | |||
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| private static final InflationRateSwapLegConvention INFL3 = InflationRateSwapLegConvention.of(GB_RPIX, LAG_3M, BDA_MOD_FOLLOW); | ||
| private static final InflationRateSwapLegConvention INFL = InflationRateSwapLegConvention.of(GB_HICP, LAG_3M, MONTHLY, BDA_MOD_FOLLOW); | ||
| private static final InflationRateSwapLegConvention INFL2 = InflationRateSwapLegConvention.of(GB_RPI, LAG_3M, MONTHLY, BDA_MOD_FOLLOW); | ||
| private static final InflationRateSwapLegConvention INFL3 = InflationRateSwapLegConvention.of(GB_RPIX, LAG_3M, MONTHLY, BDA_MOD_FOLLOW); |
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Could back this out when compatibility overload added.
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Would rather keep the test changes in order to discourage the use of the now deprecated method.
jodastephen
approved these changes
Jul 28, 2017
jodastephen
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Jul 28, 2017
* Cleaning up inflation swaps convention: USCPI now interpolated JPY now interpolated (using 10th of the month inflation) All GBP indices now use 2 month inflation lag. Primary Source: http://www.trade2win.com/boards/attachments/next-steps/101520d1296424640-inflation-trading-barclays-inflation-derivatives-users-guide.pdf
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Primary Source: Barclays Inflation Derivatives Users Guide
“The trading month for UK RPI breakeven swaps has a lag of two months“
“US zero coupon CPI swaps have adopted an interpolated base index format“
“…with the most standard format for [JPY] zero coupon breakevens using the same interpolated inflation basis as JGBi bonds, ie, a three-month lagged inflation reference from the tenth of the month. “