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:
Assert.Fail("unknown coupon pricer request: which = "+which
+"should be 0=Black,1=DD,2=Bachelier");
break;
}
InitializedList<double> gearingVector = new InitializedList<double>(length, gearing);
InitializedList<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;
}
