public static InflationLinkedSwap CreateInflationLinkedSwap(double payFixed, Date startDate, double nominal, Tenor tenor, double fixedRate,
FloatRateIndex index, double spread, Calendar calendar, Currency ccy)
{
//Design floating leg inputs
var quarters = tenor.Years * 4 + tenor.Months / 3;
var resetDatesFloating = new Date[quarters];
var paymentDatesFloating = new Date[quarters];
var spreads = new double[quarters];
var accrualFractions = new double[quarters];
var notionals = new double[quarters];
var date1 = new Date(startDate);
for (var i = 0; i < quarters; i++)
{
var date2 = startDate.AddMonths(3 * (i + 1));
var x = BusinessDayStore.ModifiedFollowing.Adjust(date1, calendar);
resetDatesFloating[i] = new Date(x);
var y = BusinessDayStore.ModifiedFollowing.Adjust(date2, calendar);
paymentDatesFloating[i] = new Date(y);
spreads[i] = 0.0;
accrualFractions[i] = (date2 - date1) / 365.0;
notionals[i] = nominal;
date1 = new Date(date2);
}
//Create new instance of inflation linked swap
var swap = new InflationLinkedSwap(payFixed, startDate, nominal, tenor, fixedRate, index, resetDatesFloating, paymentDatesFloating, spread,
accrualFractions, calendar, ccy);
return(swap);
}
public static ResultStore InflationLinkedSwapMeasures(this InflationLinkedSwap inflationLinkedSwap, Date[] cpiDates, double[] cpiRates, IFloatingRateSource forecastCurve)
{
//Create Inflation Swap
var swap = CreateInflationLinkedSwap(inflationLinkedSwap.payFixed, inflationLinkedSwap.startDate, inflationLinkedSwap.nominal, inflationLinkedSwap.tenor,
inflationLinkedSwap.fixedRate, inflationLinkedSwap.index, inflationLinkedSwap.spread, inflationLinkedSwap.zaCalendar, inflationLinkedSwap.ccy);
//Set value date
swap.SetValueDate(inflationLinkedSwap.startDate);
//Set index values
var indexValues = new double[swap.indexDates.Length];
for (var i = 0; i < swap.indexDates.Length; i++)
{
indexValues[i] = forecastCurve.GetForwardRate(swap.indexDates[i]);
}
swap.SetIndexValues(swap.index, indexValues);
//Determine swap end date
var unAdjEndDate = inflationLinkedSwap.startDate.AddMonths(12 * inflationLinkedSwap.tenor.Years);
var endDate = BusinessDayStore.ModifiedFollowing.Adjust(unAdjEndDate, inflationLinkedSwap.zaCalendar);
//Calculate value of fixed and floating cashflows
var floatingCashFlows = swap.GetCFs();
var floatingLegCashFlows = floatingCashFlows.Last().Amount;
var cpiStartDate = LaggedCPI.GetCPI(inflationLinkedSwap.startDate, cpiDates, cpiRates);
var cpiEndDate = LaggedCPI.GetCPI(endDate, cpiDates, cpiRates);
var fixedCashFlows = inflationLinkedSwap.payFixed * inflationLinkedSwap.nominal * Math.Pow((1 + inflationLinkedSwap.fixedRate / 2),
2 * (endDate - inflationLinkedSwap.startDate) / 365) * cpiEndDate / cpiStartDate;
var netCashFlows = floatingLegCashFlows + fixedCashFlows;
// Store results
var results = new ResultStore();
results.Add(Keys.FloatingLegCashFlows, floatingLegCashFlows);
results.Add(Keys.FixedLegCashFlows, fixedCashFlows);
results.Add(Keys.NetCashFlows, netCashFlows);
return(results);
}
