/*! Forecasting index values requires an inflation term
* structure. The inflation term structure (ITS) defines the
* usual lag (not the index). I.e. an ITS is always relatve
* to a base date that is earlier than its asof date. This
* must be so because indices are available only with a lag.
* However, the index availability lag only sets a minimum
* lag for the ITS. An ITS may be relative to an earlier
* date, e.g. an index may have a 2-month delay in
* publication but the inflation swaps may take as their base
* the index 3 months before.
*/
public override double fixing(Date fixingDate, bool forecastTodaysFixing = false)
{
return(0);
}
public override bool isValidFixingDate(Date fixingDate)
{
return(true);
}
public override List <CashFlow> value()
{
Utils.QL_REQUIRE(!notionals_.empty(), () => "no notional given");
int n = schedule_.Count - 1;
List <CashFlow> leg = new List <CashFlow>(n + 1);
if (n > 0)
{
Utils.QL_REQUIRE(!fixedRates_.empty() || !spreads_.empty(), () => "no fixedRates or spreads given");
Date refStart, start, refEnd, end;
for (int i = 0; i < n; ++i)
{
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i + 1);
Date paymentDate = paymentCalendar_.adjust(end, paymentAdjustment_);
Date exCouponDate = null;
if (exCouponPeriod_ != null)
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if (i == 0 && !schedule_.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule_.businessDayConvention();
refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);
}
if (i == n - 1 && !schedule_.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule_.businessDayConvention();
refEnd = schedule_.calendar().adjust(start + schedule_.tenor(), bdc);
}
if (Utils.Get(fixedRates_, i, 1.0).IsEqual(0.0))
{
// fixed coupon
leg.Add(new FixedRateCoupon(paymentDate, Utils.Get(notionals_, i, 0.0),
Utils.effectiveFixedRate(spreads_, caps_, floors_, i),
paymentDayCounter_, start, end, refStart, refEnd, exCouponDate));
}
else
{
// zero inflation coupon
if (Utils.noOption(caps_, floors_, i))
{
// just swaplet
CPICoupon coup;
coup = new CPICoupon(baseCPI_, // all have same base for ratio
paymentDate,
Utils.Get(notionals_, i, 0.0),
start, end,
Utils.Get(fixingDays_, i, 0),
index_, observationLag_,
observationInterpolation_,
paymentDayCounter_,
Utils.Get(fixedRates_, i, 0.0),
Utils.Get(spreads_, i, 0.0),
refStart, refEnd, exCouponDate);
// in this case you can set a pricer
// straight away because it only provides computation - not data
CPICouponPricer pricer = new CPICouponPricer();
coup.setPricer(pricer);
leg.Add(coup);
}
else
{
// cap/floorlet
Utils.QL_FAIL("caps/floors on CPI coupons not implemented.");
}
}
}
}
// in CPI legs you always have a notional flow of some sort
Date pDate = paymentCalendar_.adjust(schedule_.date(n), paymentAdjustment_);
Date fixingDate = pDate - observationLag_;
CashFlow xnl = new CPICashFlow
(Utils.Get(notionals_, n, 0.0), index_,
new Date(), // is fake, i.e. you do not have one
baseCPI_, fixingDate, pDate,
subtractInflationNominal_, observationInterpolation_,
index_.frequency());
leg.Add(xnl);
return(leg);
}
// Index interface
// The forecastTodaysFixing parameter (required by the Index interface) is currently ignored.
public override double fixing(Date fixingDate, bool forecastTodaysFixing = false)
{
Date today = Settings.Instance.evaluationDate();
Date todayMinusLag = today - availabilityLag_;
KeyValuePair <Date, Date> limm = Utils.inflationPeriod(todayMinusLag, frequency_);
Date lastFix = limm.Key - 1;
Date flatMustForecastOn = lastFix + 1;
Date interpMustForecastOn = lastFix + 1 - new Period(frequency_);
if (interpolated() && fixingDate >= interpMustForecastOn)
{
return(forecastFixing(fixingDate));
}
if (!interpolated() && fixingDate >= flatMustForecastOn)
{
return(forecastFixing(fixingDate));
}
// four cases with ratio() and interpolated()
if (ratio())
{
if (interpolated())
{
// IS ratio, IS interpolated
KeyValuePair <Date, Date> lim = Utils.inflationPeriod(fixingDate, frequency_);
Date fixMinus1Y = new NullCalendar().advance(fixingDate, new Period(-1, TimeUnit.Years), BusinessDayConvention.ModifiedFollowing);
KeyValuePair <Date, Date> limBef = Utils.inflationPeriod(fixMinus1Y, frequency_);
double dp = lim.Value + 1 - lim.Key;
double dpBef = limBef.Value + 1 - limBef.Key;
double dl = fixingDate - lim.Key;
// potentially does not work on 29th Feb
double dlBef = fixMinus1Y - limBef.Key;
// get the four relevant fixings
// recall that they are stored flat for every day
double?limFirstFix =
IndexManager.Instance.getHistory(name())[lim.Key];
Utils.QL_REQUIRE(limFirstFix != null, () => "Missing " + name() + " fixing for " + lim.Key);
double?limSecondFix =
IndexManager.Instance.getHistory(name())[lim.Value + 1];
Utils.QL_REQUIRE(limSecondFix != null, () => "Missing " + name() + " fixing for " + lim.Value + 1);
double?limBefFirstFix =
IndexManager.Instance.getHistory(name())[limBef.Key];
Utils.QL_REQUIRE(limBefFirstFix != null, () => "Missing " + name() + " fixing for " + limBef.Key);
double?limBefSecondFix =
IndexManager.Instance.getHistory(name())[limBef.Value + 1];
Utils.QL_REQUIRE(limBefSecondFix != null, () => "Missing " + name() + " fixing for " + limBef.Value + 1);
double linearNow = limFirstFix.Value + (limSecondFix.Value - limFirstFix.Value) * dl / dp;
double linearBef = limBefFirstFix.Value + (limBefSecondFix.Value - limBefFirstFix.Value) * dlBef / dpBef;
double wasYES = linearNow / linearBef - 1.0;
return(wasYES);
}
else
{
// IS ratio, NOT interpolated
double?pastFixing = IndexManager.Instance.getHistory(name())[fixingDate];
Utils.QL_REQUIRE(pastFixing != null, () => "Missing " + name() + " fixing for " + fixingDate);
Date previousDate = fixingDate - new Period(1, TimeUnit.Years);
double?previousFixing = IndexManager.Instance.getHistory(name())[previousDate];
Utils.QL_REQUIRE(previousFixing != null, () => "Missing " + name() + " fixing for " + previousDate);
return(pastFixing.Value / previousFixing.Value - 1.0);
}
}
else
{
// NOT ratio
if (interpolated())
{
// NOT ratio, IS interpolated
KeyValuePair <Date, Date> lim = Utils.inflationPeriod(fixingDate, frequency_);
double dp = lim.Value + 1 - lim.Key;
double dl = fixingDate - lim.Key;
double?limFirstFix = IndexManager.Instance.getHistory(name())[lim.Key];
Utils.QL_REQUIRE(limFirstFix != null, () => "Missing " + name() + " fixing for " + lim.Key);
double?limSecondFix = IndexManager.Instance.getHistory(name())[lim.Value + 1];
Utils.QL_REQUIRE(limSecondFix != null, () => "Missing " + name() + " fixing for " + lim.Value + 1);
double linearNow = limFirstFix.Value + (limSecondFix.Value - limFirstFix.Value) * dl / dp;
return(linearNow);
}
else
{
// NOT ratio, NOT interpolated
// so just flat
double?pastFixing = IndexManager.Instance.getHistory(name())[fixingDate];
Utils.QL_REQUIRE(pastFixing != null, () => "Missing " + name() + " fixing for " + fixingDate);
return(pastFixing.Value);
}
}
}
//! utility method, calls indexFixing
public double indexObservation(Date onDate)
{
return(indexFixing(onDate));
}