public YoYInflationLeg(Schedule schedule, Calendar cal, YoYInflationIndex index, Period observationLag)
{
schedule_ = schedule;
index_ = index;
observationLag_ = observationLag;
paymentAdjustment_ = BusinessDayConvention.ModifiedFollowing;
paymentCalendar_ = cal;
}
public IPricingEngine makeEngine(double volatility, int which)
{
YoYInflationIndex yyii = iir as YoYInflationIndex;
Handle <YoYOptionletVolatilitySurface> vol = new Handle <YoYOptionletVolatilitySurface>(
new ConstantYoYOptionletVolatility(volatility,
settlementDays,
calendar,
convention,
dc,
observationLag,
frequency,
iir.interpolated()));
switch (which)
{
case 0:
return(new YoYInflationBlackCapFloorEngine(iir, vol));
//break;
case 1:
return(new YoYInflationUnitDisplacedBlackCapFloorEngine(iir, vol));
//break;
case 2:
return(new YoYInflationBachelierCapFloorEngine(iir, vol));
//break;
default:
QAssert.Fail("unknown engine request: which = " + which
+ "should be 0=Black,1=DD,2=Bachelier");
break;
}
// make compiler happy
Utils.QL_FAIL("never get here - no engine resolution");
return(null);
}
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:
QAssert.Fail("unknown coupon pricer request: which = " + which
+ "should be 0=Black,1=DD,2=Bachelier");
break;
}
List <double> gearingVector = new InitializedList <double>(length, gearing);
List <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);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(YoYInflationIndex obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
public YearOnYearInflationSwapHelper(double rate, Period lag, Date maturity, Calendar calendar, BusinessDayConvention bdc, DayCounter dayCounter, YoYInflationIndex index) : this(NQuantLibcPINVOKE.new_YearOnYearInflationSwapHelper(rate, Period.getCPtr(lag), Date.getCPtr(maturity), Calendar.getCPtr(calendar), (int)bdc, DayCounter.getCPtr(dayCounter), YoYInflationIndex.getCPtr(index)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(YoYInflationIndex obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public YearOnYearInflationSwap(_YearOnYearInflationSwap.Type type, double nominal, Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCounter, Schedule yoySchedule, YoYInflationIndex index, Period lag, double spread, DayCounter yoyDayCounter, Calendar paymentCalendar) : this(NQuantLibcPINVOKE.new_YearOnYearInflationSwap__SWIG_1((int)type, nominal, Schedule.getCPtr(fixedSchedule), fixedRate, DayCounter.getCPtr(fixedDayCounter), Schedule.getCPtr(yoySchedule), YoYInflationIndex.getCPtr(index), Period.getCPtr(lag), spread, DayCounter.getCPtr(yoyDayCounter), Calendar.getCPtr(paymentCalendar)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public YearOnYearInflationSwapHelper(double rate, Period lag, Date maturity, Calendar calendar, BusinessDayConvention bdc, DayCounter dayCounter, YoYInflationIndex index) : this(NQuantLibcPINVOKE.new_YearOnYearInflationSwapHelper(rate, Period.getCPtr(lag), Date.getCPtr(maturity), Calendar.getCPtr(calendar), (int)bdc, DayCounter.getCPtr(dayCounter), YoYInflationIndex.getCPtr(index)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public YearOnYearInflationSwapHelper(QuoteHandle quote, Period lag, Date maturity, Calendar calendar, BusinessDayConvention bdc, DayCounter dayCounter, YoYInflationIndex index, YieldTermStructureHandle nominalTS) : this(NQuantLibcPINVOKE.new_YearOnYearInflationSwapHelper__SWIG_0(QuoteHandle.getCPtr(quote), Period.getCPtr(lag), Date.getCPtr(maturity), Calendar.getCPtr(calendar), (int)bdc, DayCounter.getCPtr(dayCounter), YoYInflationIndex.getCPtr(index), YieldTermStructureHandle.getCPtr(nominalTS)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public YearOnYearInflationSwap(_YearOnYearInflationSwap.Type type, double nominal, Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCounter, Schedule yoySchedule, YoYInflationIndex index, Period lag, double spread, DayCounter yoyDayCounter, Calendar paymentCalendar) : this(NQuantLibcPINVOKE.new_YearOnYearInflationSwap__SWIG_1((int)type, nominal, Schedule.getCPtr(fixedSchedule), fixedRate, DayCounter.getCPtr(fixedDayCounter), Schedule.getCPtr(yoySchedule), YoYInflationIndex.getCPtr(index), Period.getCPtr(lag), spread, DayCounter.getCPtr(yoyDayCounter), Calendar.getCPtr(paymentCalendar)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
