public override void initialize( InflationCoupon coupon)
{
coupon_ = coupon as CPICoupon;
gearing_ = coupon_.fixedRate();
spread_ = coupon_.spread();
paymentDate_ = coupon_.date();
rateCurve_ = ((ZeroInflationIndex)coupon.index())
.zeroInflationTermStructure().link
.nominalTermStructure();
// past or future fixing is managed in YoYInflationIndex::fixing()
// use yield curve from index (which sets discount)
discount_ = 1.0;
if (paymentDate_ > rateCurve_.link.referenceDate())
discount_ = rateCurve_.link.discount(paymentDate_);
spreadLegValue_ = spread_ * coupon_.accrualPeriod()* discount_;
}
public override List<CashFlow> value()
{
if (notionals_.empty())
throw new ApplicationException("no notional given");
int n = schedule_.Count - 1;
List<CashFlow> leg = new List<CashFlow>(n + 1);
if (n > 0)
{
if (fixedRates_.empty() && spreads_.empty())
throw new ApplicationException("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) == 0.0)
{
// fixed coupon
leg.Add(new FixedRateCoupon(Utils.Get(notionals_, i, 0.0),
paymentDate,
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
throw new ApplicationException("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;
}
public override List <CashFlow> value()
{
if (notionals_.empty())
{
throw new ApplicationException("no notional given");
}
int n = schedule_.Count;
Calendar calendar = schedule_.calendar();
List <CashFlow> leg = new List <CashFlow>(n + 1);
if (n > 0)
{
if (fixedRates_.empty() && spreads_.empty())
{
throw new ApplicationException("no fixedRates or spreads given");
}
Date refStart, start, refEnd, end;
Date lastPaymentDate = calendar.adjust(schedule_.date(n), paymentAdjustment_);
for (int i = 0; i < n; ++i)
{
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i + 1);
Date paymentDate = calendar.adjust(end, paymentAdjustment_);
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) == 0.0)
{
// fixed coupon
leg.Add(new FixedRateCoupon(Utils.Get(notionals_, i, 0.0),
paymentDate,
Utils.effectiveFixedRate(spreads_, caps_, floors_, i),
paymentDayCounter_, start, end, refStart, refEnd));
}
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);
// 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
throw new ApplicationException("caps/floors on CPI coupons not implemented.");
}
}
}
}
// in CPI legs you always have a notional flow of some sort
Date pDate = calendar.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);
}