public YearOnYearInflationSwap(
Type type,
double nominal,
Schedule fixedSchedule,
double fixedRate,
DayCounter fixedDayCount,
Schedule yoySchedule,
YoYInflationIndex yoyIndex,
Period observationLag,
double spread,
DayCounter yoyDayCount,
Calendar paymentCalendar, // inflation index does not have a calendar
BusinessDayConvention paymentConvention = BusinessDayConvention.ModifiedFollowing)
: base(2)
{
type_ = type;
nominal_ = nominal;
fixedSchedule_ = fixedSchedule;
fixedRate_ = fixedRate;
fixedDayCount_ = fixedDayCount;
yoySchedule_ = yoySchedule;
yoyIndex_ = yoyIndex;
observationLag_ = observationLag;
spread_ = spread;
yoyDayCount_ = yoyDayCount;
paymentCalendar_ = paymentCalendar;
paymentConvention_ = paymentConvention;
// N.B. fixed leg gets its calendar from the schedule!
List<CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule_)
.withCouponRates(fixedRate_, fixedDayCount_) // Simple compounding by default
.withNotionals(nominal_)
.withPaymentAdjustment(paymentConvention_);
List<CashFlow> yoyLeg = new yoyInflationLeg(yoySchedule_, paymentCalendar_, yoyIndex_, observationLag_)
.withSpreads(spread_)
.withPaymentDayCounter(yoyDayCount_)
.withNotionals(nominal_)
.withPaymentAdjustment(paymentConvention_);
yoyLeg.ForEach((i, x) => x.registerWith(update));
legs_[0] = fixedLeg;
legs_[1] = yoyLeg;
if (type_ == Type.Payer)
{
payer_[0] = -1.0;
payer_[1] = +1.0;
}
else
{
payer_[0] = +1.0;
payer_[1] = -1.0;
}
}
public List<CashFlow> makeYoYCapFlooredLeg(int which, Date startDate,
int length,
List<double> caps,
List<double> floors,
double volatility,
double gearing = 1.0,
double spread = 0.0)
{
Handle<YoYOptionletVolatilitySurface> vol = new Handle<YoYOptionletVolatilitySurface>(
new ConstantYoYOptionletVolatility(volatility,
settlementDays,
calendar,
convention,
dc,
observationLag,
frequency,
iir.interpolated()));
YoYInflationCouponPricer pricer = null;
switch (which) {
case 0:
pricer = new BlackYoYInflationCouponPricer(vol);
break;
case 1:
pricer = new UnitDisplacedBlackYoYInflationCouponPricer(vol);
break;
case 2:
pricer = new BachelierYoYInflationCouponPricer(vol);
break;
default:
Assert.Fail("unknown coupon pricer request: which = "+which
+"should be 0=Black,1=DD,2=Bachelier");
break;
}
InitializedList<double> gearingVector = new InitializedList<double>(length, gearing);
InitializedList<double> spreadVector = new InitializedList<double>(length, spread);
YoYInflationIndex ii = iir as YoYInflationIndex;
Date endDate = calendar.advance(startDate,new Period(length,TimeUnit.Years),BusinessDayConvention.Unadjusted);
Schedule schedule = new Schedule(startDate, endDate, new Period(frequency), calendar,
BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted,// ref periods & acc periods
DateGeneration.Rule.Forward, false);
List<CashFlow> yoyLeg = new yoyInflationLeg(schedule, calendar, ii, observationLag)
.withPaymentDayCounter(dc)
.withGearings(gearingVector)
.withSpreads(spreadVector)
.withCaps(caps)
.withFloors(floors)
.withNotionals(nominals)
.withPaymentAdjustment(convention);
for(int i=0; i<yoyLeg.Count; i++)
{
((YoYInflationCoupon)(yoyLeg[i])).setPricer(pricer);
}
//setCouponPricer(iborLeg, pricer);
return yoyLeg;
}