public double fairRate()
{
// What does this mean before or after trade date?
// Always means that NPV is zero for _this_ instrument
// if it was created with _this_ rate
// _knowing_ the time from base to obs (etc).
IndexedCashFlow icf = legs_[1][0] as IndexedCashFlow;
if (icf == null)
{
throw new ApplicationException("failed to downcast to IndexedCashFlow in ::fairRate()");
}
// +1 because the IndexedCashFlow has growthOnly=true
double growth = icf.amount() / icf.notional() + 1.0;
double T = Utils.inflationYearFraction(infIndex_.frequency(),
infIndex_.interpolated(),
dayCounter_, baseDate_, obsDate_);
return(Math.Pow(growth, 1.0 / T) - 1.0);
// we cannot use this simple definition because
// it does not work for already-issued instruments
// return infIndex_->zeroInflationTermStructure()->zeroRate(
// maturityDate(), observationLag(), infIndex_->interpolated());
}
public double fairRate()
{
// What does this mean before or after trade date?
// Always means that NPV is zero for _this_ instrument
// if it was created with _this_ rate
// _knowing_ the time from base to obs (etc).
IndexedCashFlow icf = legs_[1][0] as IndexedCashFlow;
Utils.QL_REQUIRE(icf != null, () => "failed to downcast to IndexedCashFlow in ::fairRate()");
// +1 because the IndexedCashFlow has growthOnly=true
double growth = icf.amount() / icf.notional() + 1.0;
double T = Utils.inflationYearFraction(infIndex_.frequency(),
infIndex_.interpolated(),
dayCounter_, baseDate_, obsDate_);
return(Math.Pow(growth, 1.0 / T) - 1.0);
}
public ZeroCouponInflationSwap(Type type,
double nominal,
Date startDate, // start date of contract (only)
Date maturity, // this is pre-adjustment!
Calendar fixCalendar,
BusinessDayConvention fixConvention,
DayCounter dayCounter,
double fixedRate,
ZeroInflationIndex infIndex,
Period observationLag,
bool adjustInfObsDates,
Calendar infCalendar,
BusinessDayConvention infConvention)
: base(2)
{
type_ = type;
nominal_ = nominal;
fixedRate_ = fixedRate;
infIndex_ = infIndex;
observationLag_ = observationLag;
dayCounter_ = dayCounter;
// first check compatibility of index and swap definitions
if (infIndex_.interpolated())
{
Period pShift = new Period(infIndex_.frequency());
if ((observationLag_ - pShift) <= infIndex_.availabilityLag())
{
throw new ApplicationException(
"inconsistency between swap observation of index " + observationLag_ +
" index availability " + infIndex_.availabilityLag() +
" interpolated index period " + pShift +
" and index availability " + infIndex_.availabilityLag() +
" need (obsLag-index period) > availLag");
}
}
else
{
if (infIndex_.availabilityLag() >= observationLag_)
{
throw new ApplicationException(
"index tries to observe inflation fixings that do not yet exist: "
+ " availability lag " + infIndex_.availabilityLag()
+ " versus obs lag = " + observationLag_);
}
}
if (infCalendar == null)
{
infCalendar = fixCalendar;
}
if (infConvention == new BusinessDayConvention())
{
infConvention = fixConvention;
}
if (adjustInfObsDates)
{
baseDate_ = infCalendar.adjust(startDate - observationLag_, infConvention);
obsDate_ = infCalendar.adjust(maturity - observationLag_, infConvention);
}
else
{
baseDate_ = startDate - observationLag_;
obsDate_ = maturity - observationLag_;
}
Date infPayDate = infCalendar.adjust(maturity, infConvention);
Date fixedPayDate = fixCalendar.adjust(maturity, fixConvention);
// At this point the index may not be able to forecast
// i.e. do not want to force the existence of an inflation
// term structure before allowing users to create instruments.
double T = Utils.inflationYearFraction(infIndex_.frequency(), infIndex_.interpolated(),
dayCounter_, baseDate_, obsDate_);
// N.B. the -1.0 is because swaps only exchange growth, not notionals as well
double fixedAmount = nominal * (Math.Pow(1.0 + fixedRate, T) - 1.0);
legs_[0].Add(new SimpleCashFlow(fixedAmount, fixedPayDate));
bool growthOnly = true;
legs_[1].Add(new IndexedCashFlow(nominal, infIndex, baseDate_, obsDate_, infPayDate, growthOnly));
for (int j = 0; j < 2; ++j)
{
for (int i = 0; i < legs_[j].Count; i++)
{
legs_[j][i].registerWith(update);
}
}
switch (type_)
{
case Type.Payer:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
case Type.Receiver:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
default:
throw new ApplicationException("Unknown zero-inflation-swap type");
}
}
