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);
}
}
}
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.referencePeriodStart,
underlying.referencePeriodEnd)
{
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.refPeriodStart,
underlying.refPeriodEnd)
{
underlying_ = underlying;
isFloored_ = false;
isCapped_ = false;
setCommon(cap, floor);
underlying.registerWith(update);
}
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);
}