public static List <CashFlow> yoyInflationLeg(List <double> notionals_,
Schedule schedule_,
BusinessDayConvention paymentAdjustment_,
YoYInflationIndex index_,
List <double> gearings_,
List <double> spreads_,
DayCounter paymentDayCounter_,
List <double> caps_,
List <double> floors_,
Calendar paymentCalendar_,
List <int> fixingDays_,
Period observationLag_)
{
int n = schedule_.Count - 1;
Utils.QL_REQUIRE(!notionals_.empty(), () => "no notional given");
Utils.QL_REQUIRE(notionals_.Count <= n, () => "too many nominals (" + notionals_.Count + "), only " + n + " required");
if (gearings_ != null)
{
Utils.QL_REQUIRE(gearings_.Count <= n, () => "too many gearings (" + gearings_.Count + "), only " + n + " required");
}
if (spreads_ != null)
{
Utils.QL_REQUIRE(spreads_.Count <= n, () => "too many spreads (" + spreads_.Count + "), only " + n + " required");
}
if (caps_ != null)
{
Utils.QL_REQUIRE(caps_.Count <= n, () => "too many caps (" + caps_.Count + "), only " + n + " required");
}
if (floors_ != null)
{
Utils.QL_REQUIRE(floors_.Count <= n, () => "too many floors (" + floors_.Count + "), only " + n + " required");
}
List <CashFlow> leg = new List <CashFlow>(n);
Calendar calendar = paymentCalendar_;
Date refStart, start, refEnd, end;
for (int i = 0; i < n; ++i)
{
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i + 1);
Date paymentDate = calendar.adjust(end, paymentAdjustment_);
if (i == 0 && !schedule_.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule_.businessDayConvention();
refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);
}
if (i == n - 1 && !schedule_.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule_.businessDayConvention();
refEnd = schedule_.calendar().adjust(start + schedule_.tenor(), bdc);
}
if (Utils.Get(gearings_, i, 1.0).IsEqual(0.0))
{
// fixed coupon
leg.Add(new FixedRateCoupon(paymentDate, Utils.Get(notionals_, i, 1.0),
Utils.effectiveFixedRate(spreads_, caps_, floors_, i),
paymentDayCounter_,
start, end, refStart, refEnd));
}
else
{
// yoy inflation coupon
if (Utils.noOption(caps_, floors_, i))
{
// just swaplet
YoYInflationCoupon coup = new YoYInflationCoupon(paymentDate,
Utils.Get(notionals_, i, 1.0),
start, end,
Utils.Get(fixingDays_, i, 0),
index_,
observationLag_,
paymentDayCounter_,
Utils.Get(gearings_, i, 1.0),
Utils.Get(spreads_, i, 0.0),
refStart, refEnd);
// in this case you can set a pricer
// straight away because it only provides computation - not data
YoYInflationCouponPricer pricer = new YoYInflationCouponPricer();
coup.setPricer(pricer);
leg.Add(coup);
}
else
{
// cap/floorlet
leg.Add(new CappedFlooredYoYInflationCoupon(
paymentDate,
Utils.Get(notionals_, i, 1.0),
start, end,
Utils.Get(fixingDays_, i, 0),
index_,
observationLag_,
paymentDayCounter_,
Utils.Get(gearings_, i, 1.0),
Utils.Get(spreads_, i, 0.0),
Utils.toNullable(Utils.Get(caps_, i, Double.MinValue)),
Utils.toNullable(Utils.Get(floors_, i, Double.MinValue)),
refStart, refEnd));
}
}
}
return(leg);
}
public static List <CashFlow> FloatingLeg <InterestRateIndexType, FloatingCouponType, CappedFlooredCouponType>(
List <double> nominals,
Schedule schedule,
InterestRateIndexType index,
DayCounter paymentDayCounter,
BusinessDayConvention paymentAdj,
List <int> fixingDays,
List <double> gearings,
List <double> spreads,
List <double> caps,
List <double> floors,
bool isInArrears,
bool isZero)
where InterestRateIndexType : InterestRateIndex, new()
where FloatingCouponType : FloatingRateCoupon, new()
where CappedFlooredCouponType : CappedFlooredCoupon, new()
{
int n = schedule.Count;
Utils.QL_REQUIRE(!nominals.empty(), () => "no notional given");
Utils.QL_REQUIRE(nominals.Count <= n, () => "too many nominals (" + nominals.Count + "), only " + n + " required");
if (gearings != null)
{
Utils.QL_REQUIRE(gearings.Count <= n, () => "too many gearings (" + gearings.Count + "), only " + n + " required");
}
if (spreads != null)
{
Utils.QL_REQUIRE(spreads.Count <= n, () => "too many spreads (" + spreads.Count + "), only " + n + " required");
}
if (caps != null)
{
Utils.QL_REQUIRE(caps.Count <= n, () => "too many caps (" + caps.Count + "), only " + n + " required");
}
if (floors != null)
{
Utils.QL_REQUIRE(floors.Count <= n, () => "too many floors (" + floors.Count + "), only " + n + " required");
}
Utils.QL_REQUIRE(!isZero || !isInArrears, () => "in-arrears and zero features are not compatible");
List <CashFlow> leg = new List <CashFlow>();
// the following is not always correct
Calendar calendar = schedule.calendar();
Date lastPaymentDate = calendar.adjust(schedule[n - 1], paymentAdj);
for (int i = 0; i < n - 1; ++i)
{
Date refStart, start, refEnd, end;
refStart = start = schedule[i];
refEnd = end = schedule[i + 1];
Date paymentDate = isZero ? lastPaymentDate : calendar.adjust(end, paymentAdj);
if (i == 0 && !schedule.isRegular(i + 1))
{
refStart = calendar.adjust(end - schedule.tenor(), schedule.businessDayConvention());
}
if (i == n - 1 && !schedule.isRegular(i + 1))
{
refEnd = calendar.adjust(start + schedule.tenor(), schedule.businessDayConvention());
}
if (Utils.Get(gearings, i, 1).IsEqual(0.0))
{
// fixed coupon
leg.Add(new FixedRateCoupon(paymentDate, Utils.Get(nominals, i),
Utils.effectiveFixedRate(spreads, caps, floors, i),
paymentDayCounter,
start, end, refStart, refEnd));
}
else
{
if (Utils.noOption(caps, floors, i))
{
leg.Add(FastActivator <FloatingCouponType> .Create().factory(
Utils.Get(nominals, i),
paymentDate, start, end,
Utils.Get(fixingDays, i, index.fixingDays()),
index,
Utils.Get(gearings, i, 1),
Utils.Get(spreads, i),
refStart, refEnd, paymentDayCounter,
isInArrears));
}
else
{
leg.Add(FastActivator <CappedFlooredCouponType> .Create().factory(
Utils.Get(nominals, i),
paymentDate, start, end,
Utils.Get(fixingDays, i, index.fixingDays()),
index,
Utils.Get(gearings, i, 1),
Utils.Get(spreads, i),
Utils.toNullable(Utils.Get(caps, i, Double.MinValue)),
Utils.toNullable(Utils.Get(floors, i, Double.MinValue)),
refStart, refEnd, paymentDayCounter,
isInArrears));
}
}
}
return(leg);
}
public static List <CashFlow> FloatingDigitalLeg <InterestRateIndexType, FloatingCouponType, DigitalCouponType>(
List <double> nominals,
Schedule schedule,
InterestRateIndexType index,
DayCounter paymentDayCounter,
BusinessDayConvention paymentAdj,
List <int> fixingDays,
List <double> gearings,
List <double> spreads,
bool isInArrears,
List <double> callStrikes,
Position.Type callPosition,
bool isCallATMIncluded,
List <double> callDigitalPayoffs,
List <double> putStrikes,
Position.Type putPosition,
bool isPutATMIncluded,
List <double> putDigitalPayoffs,
DigitalReplication replication)
where InterestRateIndexType : InterestRateIndex, new()
where FloatingCouponType : FloatingRateCoupon, new()
where DigitalCouponType : DigitalCoupon, new()
{
int n = schedule.Count;
Utils.QL_REQUIRE(!nominals.empty(), () => "no notional given");
Utils.QL_REQUIRE(nominals.Count <= n, () => "too many nominals (" + nominals.Count + "), only " + n + " required");
if (gearings != null)
{
Utils.QL_REQUIRE(gearings.Count <= n, () => "too many gearings (" + gearings.Count + "), only " + n + " required");
}
if (spreads != null)
{
Utils.QL_REQUIRE(spreads.Count <= n, () => "too many spreads (" + spreads.Count + "), only " + n + " required");
}
if (callStrikes != null)
{
Utils.QL_REQUIRE(callStrikes.Count <= n, () => "too many nominals (" + callStrikes.Count + "), only " + n + " required");
}
if (putStrikes != null)
{
Utils.QL_REQUIRE(putStrikes.Count <= n, () => "too many nominals (" + putStrikes.Count + "), only " + n + " required");
}
List <CashFlow> leg = new List <CashFlow>();
// the following is not always correct
Calendar calendar = schedule.calendar();
Date refStart, start, refEnd, end;
Date paymentDate;
for (int i = 0; i < n; ++i)
{
refStart = start = schedule.date(i);
refEnd = end = schedule.date(i + 1);
paymentDate = calendar.adjust(end, paymentAdj);
if (i == 0 && !schedule.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule.businessDayConvention();
refStart = calendar.adjust(end - schedule.tenor(), bdc);
}
if (i == n - 1 && !schedule.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule.businessDayConvention();
refEnd = calendar.adjust(start + schedule.tenor(), bdc);
}
if (Utils.Get(gearings, i, 1.0).IsEqual(0.0))
{
// fixed coupon
leg.Add(new FixedRateCoupon(paymentDate, Utils.Get(nominals, i, 1.0),
Utils.Get(spreads, i, 1.0),
paymentDayCounter,
start, end, refStart, refEnd));
}
else
{
// floating digital coupon
FloatingCouponType underlying = FastActivator <FloatingCouponType> .Create().factory(
Utils.Get(nominals, i, 1.0),
paymentDate, start, end,
Utils.Get(fixingDays, i, index.fixingDays()),
index,
Utils.Get(gearings, i, 1.0),
Utils.Get(spreads, i, 0.0),
refStart, refEnd,
paymentDayCounter, isInArrears) as FloatingCouponType;
DigitalCouponType digitalCoupon = FastActivator <DigitalCouponType> .Create().factory(
underlying,
Utils.toNullable(Utils.Get(callStrikes, i, Double.MinValue)),
callPosition,
isCallATMIncluded,
Utils.toNullable(Utils.Get(callDigitalPayoffs, i, Double.MinValue)),
Utils.toNullable(Utils.Get(putStrikes, i, Double.MinValue)),
putPosition,
isPutATMIncluded,
Utils.toNullable(Utils.Get(putDigitalPayoffs, i, Double.MinValue)),
replication) as DigitalCouponType;
leg.Add(digitalCoupon);
}
}
return(leg);
}
