public CappedFlooredYoYInflationCoupon(YoYInflationCoupon underlying, double?cap, double?floor)
: this(underlying.Date, underlying.nominal(), underlying.accrualStartDate(), underlying.accrualEndDate(), underlying.fixingDays(), underlying.yoyIndex(), underlying.observationLag(), underlying.dayCounter(), underlying.gearing(), underlying.spread(), null, null, underlying.refPeriodStart, underlying.refPeriodEnd)
{
underlying_ = underlying;
setCommon(cap, floor);
underlying.registerWith(update);
}
public override void setupArguments(IPricingEngineArguments args)
{
YoYInflationCapFloor.Arguments arguments = args as YoYInflationCapFloor.Arguments;
Utils.QL_REQUIRE(arguments != null, () => "wrong argument type");
int n = yoyLeg_.Count;
arguments.startDates = new List <Date>(n);
arguments.fixingDates = new List <Date>(n);
arguments.payDates = new List <Date>(n);
arguments.accrualTimes = new List <double>(n);
arguments.nominals = new List <double>(n);
arguments.gearings = new List <double>(n);
arguments.capRates = new List <double?>(n);
arguments.floorRates = new List <double?>(n);
arguments.spreads = new List <double>(n);
arguments.type = type_;
for (int i = 0; i < n; ++i)
{
YoYInflationCoupon coupon = yoyLeg_[i] as YoYInflationCoupon;
Utils.QL_REQUIRE(coupon != null, () => "non-YoYInflationCoupon given");
arguments.startDates.Add(coupon.accrualStartDate());
arguments.fixingDates.Add(coupon.fixingDate());
arguments.payDates.Add(coupon.date());
// this is passed explicitly for precision
arguments.accrualTimes.Add(coupon.accrualPeriod());
arguments.nominals.Add(coupon.nominal());
double spread = coupon.spread();
double gearing = coupon.gearing();
arguments.gearings.Add(gearing);
arguments.spreads.Add(spread);
if (type_ == CapFloorType.Cap || type_ == CapFloorType.Collar)
{
arguments.capRates.Add((capRates_[i] - spread) / gearing);
}
else
{
arguments.capRates.Add(null);
}
if (type_ == CapFloorType.Floor || type_ == CapFloorType.Collar)
{
arguments.floorRates.Add((floorRates_[i] - spread) / gearing);
}
else
{
arguments.floorRates.Add(null);
}
}
}
// other
public override void setupArguments(IPricingEngineArguments args)
{
base.setupArguments(args);
YearOnYearInflationSwap.Arguments arguments = args as YearOnYearInflationSwap.Arguments;
if (arguments == null) // it's a swap engine...
{
return;
}
arguments.type = type_;
arguments.nominal = nominal_;
List <CashFlow> fixedCoupons = fixedLeg();
arguments.fixedResetDates = arguments.fixedPayDates = new List <Date>(fixedCoupons.Count);
arguments.fixedCoupons = new List <double>(fixedCoupons.Count);
for (int i = 0; i < fixedCoupons.Count; ++i)
{
FixedRateCoupon coupon = fixedCoupons[i] as FixedRateCoupon;
arguments.fixedPayDates.Add(coupon.date());
arguments.fixedResetDates.Add(coupon.accrualStartDate());
arguments.fixedCoupons.Add(coupon.amount());
}
List <CashFlow> yoyCoupons = yoyLeg();
arguments.yoyResetDates = arguments.yoyPayDates = arguments.yoyFixingDates = new List <Date>(yoyCoupons.Count);
arguments.yoyAccrualTimes = new List <double>(yoyCoupons.Count);
arguments.yoySpreads = new List <double>(yoyCoupons.Count);
arguments.yoyCoupons = new List <double?>(yoyCoupons.Count);
for (int i = 0; i < yoyCoupons.Count; ++i)
{
YoYInflationCoupon coupon = yoyCoupons[i] as YoYInflationCoupon;
arguments.yoyResetDates.Add(coupon.accrualStartDate());
arguments.yoyPayDates.Add(coupon.date());
arguments.yoyFixingDates.Add(coupon.fixingDate());
arguments.yoyAccrualTimes.Add(coupon.accrualPeriod());
arguments.yoySpreads.Add(coupon.spread());
try
{
arguments.yoyCoupons.Add(coupon.amount());
}
catch (Exception)
{
arguments.yoyCoupons.Add(null);
}
}
}
public override void initialize(InflationCoupon coupon)
{
coupon_ = coupon as YoYInflationCoupon;
gearing_ = coupon_.gearing();
spread_ = coupon_.spread();
PaymentDate = coupon_.Date;
YoYInflationIndex y = (YoYInflationIndex)(coupon.index());
RateCurve = y.yoyInflationTermStructure().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_;
}
// we may watch an underlying coupon ...
public CappedFlooredYoYInflationCoupon(YoYInflationCoupon underlying,
double? cap = null,
double? floor = null)
: base(underlying.date(),
underlying.nominal(),
underlying.accrualStartDate(),
underlying.accrualEndDate(),
underlying.fixingDays(),
underlying.yoyIndex(),
underlying.observationLag(),
underlying.dayCounter(),
underlying.gearing(),
underlying.spread(),
underlying.refPeriodStart,
underlying.refPeriodEnd)
{
underlying_ = underlying;
isFloored_ = false;
isCapped_ = false;
setCommon(cap, floor);
underlying.registerWith(update);
}
// we may watch an underlying coupon ...
public CappedFlooredYoYInflationCoupon(YoYInflationCoupon underlying,
double?cap = null,
double?floor = null)
: base(underlying.date(),
underlying.nominal(),
underlying.accrualStartDate(),
underlying.accrualEndDate(),
underlying.fixingDays(),
underlying.yoyIndex(),
underlying.observationLag(),
underlying.dayCounter(),
underlying.gearing(),
underlying.spread(),
underlying.referencePeriodStart,
underlying.referencePeriodEnd)
{
underlying_ = underlying;
isFloored_ = false;
isCapped_ = false;
setCommon(cap, floor);
underlying.registerWith(update);
}
public static List <CashFlow> yoyInflationLeg(List <double> notionals_,
Schedule schedule_,
BusinessDayConvention paymentAdjustment_,
YoYInflationIndex index_,
List <double> gearings_,
List <double> spreads_,
DayCounter paymentDayCounter_,
List <double> caps_,
List <double> floors_,
Calendar paymentCalendar_,
List <int> fixingDays_,
Period observationLag_)
{
int n = schedule_.Count - 1;
Utils.QL_REQUIRE(!notionals_.empty(), () => "no notional given");
Utils.QL_REQUIRE(notionals_.Count <= n, () => "too many nominals (" + notionals_.Count + "), only " + n + " required");
if (gearings_ != null)
{
Utils.QL_REQUIRE(gearings_.Count <= n, () => "too many gearings (" + gearings_.Count + "), only " + n + " required");
}
if (spreads_ != null)
{
Utils.QL_REQUIRE(spreads_.Count <= n, () => "too many spreads (" + spreads_.Count + "), only " + n + " required");
}
if (caps_ != null)
{
Utils.QL_REQUIRE(caps_.Count <= n, () => "too many caps (" + caps_.Count + "), only " + n + " required");
}
if (floors_ != null)
{
Utils.QL_REQUIRE(floors_.Count <= n, () => "too many floors (" + floors_.Count + "), only " + n + " required");
}
List <CashFlow> leg = new List <CashFlow>(n);
Calendar calendar = paymentCalendar_;
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 = 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(gearings_, i, 1.0).IsEqual(0.0))
{
// fixed coupon
leg.Add(new FixedRateCoupon(paymentDate, Utils.Get(notionals_, i, 1.0),
Utils.effectiveFixedRate(spreads_, caps_, floors_, i),
paymentDayCounter_,
start, end, refStart, refEnd));
}
else
{
// yoy inflation coupon
if (Utils.noOption(caps_, floors_, i))
{
// just swaplet
YoYInflationCoupon coup = new YoYInflationCoupon(paymentDate,
Utils.Get(notionals_, i, 1.0),
start, end,
Utils.Get(fixingDays_, i, 0),
index_,
observationLag_,
paymentDayCounter_,
Utils.Get(gearings_, i, 1.0),
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
YoYInflationCouponPricer pricer = new YoYInflationCouponPricer();
coup.setPricer(pricer);
leg.Add(coup);
}
else
{
// cap/floorlet
leg.Add(new CappedFlooredYoYInflationCoupon(
paymentDate,
Utils.Get(notionals_, i, 1.0),
start, end,
Utils.Get(fixingDays_, i, 0),
index_,
observationLag_,
paymentDayCounter_,
Utils.Get(gearings_, i, 1.0),
Utils.Get(spreads_, i, 0.0),
Utils.toNullable(Utils.Get(caps_, i, Double.MinValue)),
Utils.toNullable(Utils.Get(floors_, i, Double.MinValue)),
refStart, refEnd));
}
}
}
return(leg);
}
public YoYInflationCoupon lastYoYInflationCoupon()
{
YoYInflationCoupon lastYoYInflationCoupon = yoyLeg_.Last() as YoYInflationCoupon;
return(lastYoYInflationCoupon);
}
public CappedFlooredYoYInflationCoupon(YoYInflationCoupon underlying)
: this(underlying, null, null)
{
}
public CappedFlooredYoYInflationCoupon(YoYInflationCoupon underlying)
: this(underlying, null, null)
{
}