public CPIBond(int settlementDays,
double faceAmount,
bool growthOnly,
double baseCPI,
Period observationLag,
ZeroInflationIndex cpiIndex,
InterpolationType observationInterpolation,
Schedule schedule,
List <double> fixedRate,
DayCounter accrualDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.ModifiedFollowing,
Date issueDate = null,
Calendar paymentCalendar = null,
Period exCouponPeriod = null,
Calendar exCouponCalendar = null,
BusinessDayConvention exCouponConvention = BusinessDayConvention.Unadjusted,
bool exCouponEndOfMonth = false)
: base(settlementDays, paymentCalendar ?? schedule.calendar(), issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
growthOnly_ = growthOnly;
baseCPI_ = baseCPI;
observationLag_ = observationLag;
cpiIndex_ = cpiIndex;
observationInterpolation_ = observationInterpolation;
maturityDate_ = schedule.endDate();
// a CPIleg know about zero legs and inclusion of base inflation notional
cashflows_ = new CPILeg(schedule, cpiIndex_,
baseCPI_, observationLag_)
.withSubtractInflationNominal(growthOnly_)
.withObservationInterpolation(observationInterpolation_)
.withPaymentDayCounter(accrualDayCounter)
.withFixedRates(fixedRate)
.withPaymentCalendar(calendar_)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
calculateNotionalsFromCashflows();
cpiIndex_.registerWith(update);
foreach (CashFlow i in cashflows_)
{
i.registerWith(update);
}
}
public CPIBond(int settlementDays,
double faceAmount,
bool growthOnly,
double baseCPI,
Period observationLag,
ZeroInflationIndex cpiIndex,
InterpolationType observationInterpolation,
Schedule schedule,
List<double> fixedRate,
DayCounter accrualDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.ModifiedFollowing,
Date issueDate = null,
Calendar paymentCalendar = null,
Period exCouponPeriod = null,
Calendar exCouponCalendar = null,
BusinessDayConvention exCouponConvention = BusinessDayConvention.Unadjusted,
bool exCouponEndOfMonth = false)
:base(settlementDays, paymentCalendar == null ? schedule.calendar() : paymentCalendar, issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
growthOnly_ = growthOnly;
baseCPI_=baseCPI;
observationLag_ = observationLag;
cpiIndex_= cpiIndex;
observationInterpolation_ = observationInterpolation;
maturityDate_ = schedule.endDate();
// a CPIleg know about zero legs and inclusion of base inflation notional
cashflows_ = new CPILeg(schedule, cpiIndex_,
baseCPI_, observationLag_)
.withSubtractInflationNominal(growthOnly_)
.withObservationInterpolation(observationInterpolation_)
.withPaymentDayCounter(accrualDayCounter)
.withFixedRates(fixedRate)
.withPaymentCalendar(calendar_)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
calculateNotionalsFromCashflows();
cpiIndex_.registerWith(update);
foreach ( CashFlow i in cashflows_)
i.registerWith(update);
}
public CPISwap(Type type,
double nominal,
bool subtractInflationNominal,
// float+spread leg
double spread,
DayCounter floatDayCount,
Schedule floatSchedule,
BusinessDayConvention floatPaymentRoll,
int fixingDays,
IborIndex floatIndex,
// fixed x inflation leg
double fixedRate,
double baseCPI,
DayCounter fixedDayCount,
Schedule fixedSchedule,
BusinessDayConvention fixedPaymentRoll,
Period observationLag,
ZeroInflationIndex fixedIndex,
InterpolationType observationInterpolation = InterpolationType.AsIndex,
double?inflationNominal = null)
: base(2)
{
type_ = type;
nominal_ = nominal;
subtractInflationNominal_ = subtractInflationNominal;
spread_ = spread;
floatDayCount_ = floatDayCount;
floatSchedule_ = floatSchedule;
floatPaymentRoll_ = floatPaymentRoll;
fixingDays_ = fixingDays;
floatIndex_ = floatIndex;
fixedRate_ = fixedRate;
baseCPI_ = baseCPI;
fixedDayCount_ = fixedDayCount;
fixedSchedule_ = fixedSchedule;
fixedPaymentRoll_ = fixedPaymentRoll;
fixedIndex_ = fixedIndex;
observationLag_ = observationLag;
observationInterpolation_ = observationInterpolation;
Utils.QL_REQUIRE(floatSchedule_.Count > 0, () => "empty float schedule");
Utils.QL_REQUIRE(fixedSchedule_.Count > 0, () => "empty fixed schedule");
// todo if roll!=unadjusted then need calendars ...
inflationNominal_ = inflationNominal ?? nominal_;
List <CashFlow> floatingLeg;
if (floatSchedule_.Count > 1)
{
floatingLeg = new IborLeg(floatSchedule_, floatIndex_)
.withFixingDays(fixingDays_)
.withPaymentDayCounter(floatDayCount_)
.withSpreads(spread_)
.withNotionals(nominal_)
.withPaymentAdjustment(floatPaymentRoll_);
}
else
{
floatingLeg = new List <CashFlow>();
}
if (floatSchedule_.Count == 1 ||
!subtractInflationNominal_ ||
(subtractInflationNominal && Math.Abs(nominal_ - inflationNominal_) > 0.00001)
)
{
Date payNotional;
if (floatSchedule_.Count == 1)
{
// no coupons
payNotional = floatSchedule_[0];
payNotional = floatSchedule_.calendar().adjust(payNotional, floatPaymentRoll_);
}
else
{
// use the pay date of the last coupon
payNotional = floatingLeg.Last().date();
}
double floatAmount = subtractInflationNominal_ ? nominal_ - inflationNominal_ : nominal_;
CashFlow nf = new SimpleCashFlow(floatAmount, payNotional);
floatingLeg.Add(nf);
}
// a CPIleg know about zero legs and inclusion of base inflation notional
List <CashFlow> cpiLeg = new CPILeg(fixedSchedule_, fixedIndex_, baseCPI_, observationLag_)
.withFixedRates(fixedRate_)
.withPaymentDayCounter(fixedDayCount_)
.withObservationInterpolation(observationInterpolation_)
.withSubtractInflationNominal(subtractInflationNominal_)
.withNotionals(inflationNominal_)
.withPaymentAdjustment(fixedPaymentRoll_);
foreach (CashFlow cashFlow in cpiLeg)
{
cashFlow.registerWith(update);
}
if (floatingLeg.Count > 0)
{
foreach (CashFlow cashFlow in floatingLeg)
{
cashFlow.registerWith(update);
}
}
legs_[0] = cpiLeg;
legs_[1] = floatingLeg;
if (type_ == Type.Payer)
{
payer_[0] = 1.0;
payer_[1] = -1.0;
}
else
{
payer_[0] = -1.0;
payer_[1] = 1.0;
}
}
