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);
}
public void TestLaggedCPI()
{
var targetDate = new Date(2005, 8, 31);
Date[] cpiDates =
{ new Date(2005, 3, 1), new Date(2005, 4, 1), new Date(2005, 5, 1), new Date(2005, 6, 1), new Date(2005, 7, 1), new Date(2005, 8, 1),
new Date(2005, 9, 1), new Date(2005, 10, 1), new Date(2005, 11, 1), new Date(2005, 12, 1), new Date(2006, 1, 1), new Date(2006, 2, 1),
new Date(2006, 3, 1), new Date(2006, 4, 1), new Date(2006, 5, 1), new Date(2006, 6, 1), new Date(2006, 7, 1), new Date(2006, 8, 1),
new Date(2006, 9, 1), new Date(2006, 10, 1), new Date(2006, 11, 1), new Date(2006, 12, 1), new Date(2007, 1, 1), new Date(2007, 2, 1),
new Date(2007, 3, 1), new Date(2007, 4, 1), new Date(2007, 5, 1), new Date(2007, 6, 1), new Date(2007, 7, 1), new Date(2007, 8, 1),
new Date(2007, 9, 1), new Date(2007, 10, 1)
, };
double[] cpiRates =
{
126.90, 127.60, 127.60, 127.40, 128.50, 129.0, 129.50, 129.60, 129.50, 129.50, 130.40, 130.50, 131.20, 131.80, 132.60, 133.60, 134.90,
136.0, 136.30, 136.60, 136.50, 137.0, 138.20, 139.20, 138.0, 141.0, 141.80, 143.0, 144.40, 145.10, 146.10, 147.40
};
var cpiTargetDate = LaggedCPI.GetCPI(targetDate, cpiDates, cpiRates);
Assert.AreEqual(127.60, (double)cpiTargetDate);
}
