public YoYInflationCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, int fixingDays, YoYInflationIndex yoyIndex, Period observationLag, DayCounter dayCounter, double gearing, double spread, Date refPeriodStart, Date refPeriodEnd)
: base(paymentDate, nominal, startDate, endDate, fixingDays, yoyIndex, observationLag, dayCounter, refPeriodStart, refPeriodEnd)
{
yoyIndex_ = yoyIndex;
gearing_ = gearing;
spread_ = spread;
}
public YoYInflationCapFloorEngine( YoYInflationIndex index, Handle<YoYOptionletVolatilitySurface> vol )
{
index_ = index;
volatility_ = vol;
index_.registerWith( update );
volatility_.registerWith(update);
}
public yoyInflationLeg(Schedule schedule,Calendar cal,
YoYInflationIndex index,
Period observationLag)
{
schedule_ = schedule;
index_ = index;
observationLag_ = observationLag;
paymentAdjustment_ = BusinessDayConvention.ModifiedFollowing;
paymentCalendar_ = cal;
}
private List<BootstrapHelper<YoYInflationTermStructure>> makeHelpers( Datum[] iiData, int N,
YoYInflationIndex ii, Period observationLag,
Calendar calendar,
BusinessDayConvention bdc,
DayCounter dc )
{
List<BootstrapHelper<YoYInflationTermStructure>> instruments = new List<BootstrapHelper<YoYInflationTermStructure>>();
for ( int i = 0; i < N; i++ )
{
Date maturity = iiData[i].date;
Handle<Quote> quote = new Handle<Quote>( new SimpleQuote( iiData[i].rate / 100.0 ) );
BootstrapHelper<YoYInflationTermStructure> anInstrument = new YearOnYearInflationSwapHelper( quote, observationLag, maturity,
calendar, bdc, dc, ii );
instruments.Add( anInstrument );
}
return instruments;
}
// ... or not
public CappedFlooredYoYInflationCoupon(Date paymentDate,
double nominal,
Date startDate,
Date endDate,
int fixingDays,
YoYInflationIndex index,
Period observationLag,
DayCounter dayCounter,
double gearing = 1.0,
double spread = 0.0,
double?cap = null,
double?floor = null,
Date refPeriodStart = null,
Date refPeriodEnd = null)
: base(paymentDate, nominal, startDate, endDate,
fixingDays, index, observationLag, dayCounter,
gearing, spread, refPeriodStart, refPeriodEnd)
{
isFloored_ = false;
isCapped_ = false;
setCommon(cap, floor);
}
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);
}
// ... or not
public CappedFlooredYoYInflationCoupon(Date paymentDate,
double nominal,
Date startDate,
Date endDate,
int fixingDays,
YoYInflationIndex index,
Period observationLag,
DayCounter dayCounter,
double gearing = 1.0,
double spread = 0.0,
double? cap = null,
double? floor = null,
Date refPeriodStart = null,
Date refPeriodEnd = null)
: base(paymentDate, nominal, startDate, endDate,
fixingDays, index, observationLag, dayCounter,
gearing, spread, refPeriodStart, refPeriodEnd)
{
isFloored_ = false;
isCapped_ = false;
setCommon(cap, floor);
}
public YoYInflationBachelierCapFloorEngine(YoYInflationIndex index, Handle <YoYOptionletVolatilitySurface> vol)
: base(index, vol)
{
}
public YoYInflationUnitDisplacedBlackCapFloorEngine(YoYInflationIndex index, Handle <YoYOptionletVolatilitySurface> vol)
: base(index, vol)
{
}
public CappedFlooredYoYInflationCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, int fixingDays, YoYInflationIndex index, Period observationLag, DayCounter dayCounter)
: this(paymentDate, nominal, startDate, endDate, fixingDays, index, observationLag, dayCounter, 1.0, 0.0, null, null, null, null)
{
}
public YoYInflationCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, int fixingDays, YoYInflationIndex yoyIndex, Period observationLag, DayCounter dayCounter, double gearing, double spread, Date refPeriodStart, Date refPeriodEnd)
: base(paymentDate, nominal, startDate, endDate, fixingDays, yoyIndex, observationLag, dayCounter, refPeriodStart, refPeriodEnd)
{
yoyIndex_ = yoyIndex;
gearing_ = gearing;
spread_ = spread;
}
public CappedFlooredYoYInflationCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, int fixingDays, YoYInflationIndex index, Period observationLag, DayCounter dayCounter)
: this(paymentDate, nominal, startDate, endDate, fixingDays, index, observationLag, dayCounter, 1.0, 0.0, null, null, null, null)
{
}
public YoYInflationBachelierCapFloorEngine(YoYInflationIndex index,Handle<YoYOptionletVolatilitySurface> vol)
: base( index, vol )
{ }
public YoYInflationUnitDisplacedBlackCapFloorEngine(YoYInflationIndex index,Handle<YoYOptionletVolatilitySurface> vol)
: base( index, vol )
{ }
