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inflationhelpers.cpp
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inflationhelpers.cpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007, 2009 Chris Kenyon
Copyright (C) 2007 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.
*/
#include <ql/cashflows/inflationcouponpricer.hpp>
#include <ql/indexes/inflationindex.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/termstructures/inflation/inflationhelpers.hpp>
#include <ql/utilities/null_deleter.hpp>
#include <utility>
namespace QuantLib {
ZeroCouponInflationSwapHelper::ZeroCouponInflationSwapHelper(
const Handle<Quote>& quote,
const Period& swapObsLag,
const Date& maturity,
Calendar calendar,
BusinessDayConvention paymentConvention,
DayCounter dayCounter,
ext::shared_ptr<ZeroInflationIndex> zii,
CPI::InterpolationType observationInterpolation,
Handle<YieldTermStructure> nominalTermStructure)
: BootstrapHelper<ZeroInflationTermStructure>(quote), swapObsLag_(swapObsLag),
maturity_(maturity), calendar_(std::move(calendar)), paymentConvention_(paymentConvention),
dayCounter_(std::move(dayCounter)), zii_(std::move(zii)),
observationInterpolation_(observationInterpolation),
nominalTermStructure_(std::move(nominalTermStructure)) {
std::pair<Date, Date> limStart = inflationPeriod(maturity_ - swapObsLag_, zii_->frequency());
if (detail::CPI::effectiveInterpolationType(zii_, observationInterpolation_) == CPI::Linear) {
// if interpolated, we need to cover the end of the interpolation period
earliestDate_ = limStart.first;
latestDate_ = limStart.second + 1;
} else {
// if not interpolated, the date of the initial fixing is enough
earliestDate_ = limStart.first;
latestDate_ = limStart.first;
}
// check that the observation lag of the swap
// is compatible with the availability lag of the index AND
// it's interpolation (assuming the start day is spot)
if (detail::CPI::effectiveInterpolationType(zii_, observationInterpolation_) == CPI::Linear) {
Period pShift(zii_->frequency());
QL_REQUIRE(swapObsLag_ - pShift >= zii_->availabilityLag(),
"inconsistency between swap observation lag "
<< swapObsLag_ << ", index period " << pShift << " and index availability "
<< zii_->availabilityLag() << ": need (obsLag-index period) >= availLag");
}
registerWith(Settings::instance().evaluationDate());
registerWith(nominalTermStructure_);
}
ZeroCouponInflationSwapHelper::ZeroCouponInflationSwapHelper(
const Handle<Quote>& quote,
const Period& swapObsLag,
const Date& maturity,
Calendar calendar,
BusinessDayConvention paymentConvention,
DayCounter dayCounter,
ext::shared_ptr<ZeroInflationIndex> zii,
Handle<YieldTermStructure> nominalTermStructure)
: ZeroCouponInflationSwapHelper(quote,
swapObsLag,
maturity,
std::move(calendar),
paymentConvention,
std::move(dayCounter),
std::move(zii),
CPI::AsIndex,
std::move(nominalTermStructure)) {}
Real ZeroCouponInflationSwapHelper::impliedQuote() const {
// what does the term structure imply?
// in this case just the same value ... trivial case
// (would not be so for an inflation-linked bond)
zciis_->recalculate();
return zciis_->fairRate();
}
void ZeroCouponInflationSwapHelper::setTermStructure(ZeroInflationTermStructure* z) {
BootstrapHelper<ZeroInflationTermStructure>::setTermStructure(z);
// set up a new ZCIIS
// but this one does NOT own its inflation term structure
const bool own = false;
Rate K = quote()->value();
// The effect of the new inflation term structure is
// felt via the effect on the inflation index
Handle<ZeroInflationTermStructure> zits(
ext::shared_ptr<ZeroInflationTermStructure>(z, null_deleter()), own);
ext::shared_ptr<ZeroInflationIndex> new_zii = zii_->clone(zits);
QL_DEPRECATED_DISABLE_WARNING
Handle<YieldTermStructure> nominalTS =
!nominalTermStructure_.empty() ? nominalTermStructure_ : z->nominalTermStructure();
QL_DEPRECATED_ENABLE_WARNING
Real nominal = 1000000.0; // has to be something but doesn't matter what
Date start = nominalTS->referenceDate();
zciis_.reset(new ZeroCouponInflationSwap(Swap::Payer, nominal, start,
maturity_, calendar_, paymentConvention_,
dayCounter_, K, // fixed side & fixed rate
new_zii, swapObsLag_, observationInterpolation_));
// Because very simple instrument only takes
// standard discounting swap engine.
zciis_->setPricingEngine(
ext::shared_ptr<PricingEngine>(new DiscountingSwapEngine(nominalTS)));
}
YearOnYearInflationSwapHelper::YearOnYearInflationSwapHelper(
const Handle<Quote>& quote,
const Period& swapObsLag,
const Date& maturity,
Calendar calendar,
BusinessDayConvention paymentConvention,
DayCounter dayCounter,
ext::shared_ptr<YoYInflationIndex> yii,
Handle<YieldTermStructure> nominalTermStructure)
: BootstrapHelper<YoYInflationTermStructure>(quote), swapObsLag_(swapObsLag),
maturity_(maturity), calendar_(std::move(calendar)), paymentConvention_(paymentConvention),
dayCounter_(std::move(dayCounter)), yii_(std::move(yii)),
nominalTermStructure_(std::move(nominalTermStructure)) {
if (yii_->interpolated()) {
// if interpolated then simple
earliestDate_ = maturity_ - swapObsLag_;
latestDate_ = maturity_ - swapObsLag_;
} else {
// but if NOT interpolated then the value is valid
// for every day in an inflation period so you actually
// get an extended validity, however for curve building
// just put the first date because using that convention
// for the base date throughout
std::pair<Date, Date> limStart =
inflationPeriod(maturity_ - swapObsLag_, yii_->frequency());
earliestDate_ = limStart.first;
latestDate_ = limStart.first;
}
// check that the observation lag of the swap
// is compatible with the availability lag of the index AND
// it's interpolation (assuming the start day is spot)
if (yii_->interpolated()) {
Period pShift(yii_->frequency());
QL_REQUIRE(swapObsLag_ - pShift >= yii_->availabilityLag(),
"inconsistency between swap observation lag "
<< swapObsLag_ << ", index period " << pShift << " and index availability "
<< yii_->availabilityLag() << ": need (obsLag-index period) >= availLag");
}
registerWith(Settings::instance().evaluationDate());
registerWith(nominalTermStructure_);
}
Real YearOnYearInflationSwapHelper::impliedQuote() const {
yyiis_->recalculate();
return yyiis_->fairRate();
}
void YearOnYearInflationSwapHelper::setTermStructure(YoYInflationTermStructure* y) {
BootstrapHelper<YoYInflationTermStructure>::setTermStructure(y);
// set up a new YYIIS
// but this one does NOT own its inflation term structure
const bool own = false;
// The effect of the new inflation term structure is
// felt via the effect on the inflation index
Handle<YoYInflationTermStructure> yyts(
ext::shared_ptr<YoYInflationTermStructure>(y, null_deleter()), own);
ext::shared_ptr<YoYInflationIndex> new_yii = yii_->clone(yyts);
// always works because tenor is always 1 year so
// no problem with different days-in-month
Date from = Settings::instance().evaluationDate();
Date to = maturity_;
Schedule fixedSchedule = MakeSchedule()
.from(from)
.to(to)
.withTenor(1 * Years)
.withConvention(Unadjusted)
.withCalendar(calendar_) // fixed leg gets cal from sched
.backwards();
const Schedule& yoySchedule = fixedSchedule;
Spread spread = 0.0;
Rate fixedRate = quote()->value();
Real nominal = 1000000.0; // has to be something but doesn't matter what
yyiis_.reset(new YearOnYearInflationSwap(
Swap::Payer, nominal, fixedSchedule, fixedRate, dayCounter_,
yoySchedule, new_yii, swapObsLag_, spread, dayCounter_,
calendar_, // inflation index does not have a calendar
paymentConvention_));
// The instrument takes a standard discounting swap engine.
// The inflation-related work is done by the coupons.
QL_DEPRECATED_DISABLE_WARNING
Handle<YieldTermStructure> nominalTS =
!nominalTermStructure_.empty() ? nominalTermStructure_ : y->nominalTermStructure();
QL_DEPRECATED_ENABLE_WARNING
yyiis_->setPricingEngine(
ext::shared_ptr<PricingEngine>(new DiscountingSwapEngine(nominalTS)));
}
}