public ZeroCouponInflationSwap(ZeroCouponInflationSwap.Type type, double nominal, Date start, Date maturity, Calendar calendar, BusinessDayConvention convention, DayCounter dayCounter, double fixedRate, ZeroInflationIndex index, Period lag) : this(NQuantLibcPINVOKE.new_ZeroCouponInflationSwap__SWIG_3((int)type, nominal, Date.getCPtr(start), Date.getCPtr(maturity), Calendar.getCPtr(calendar), (int)convention, DayCounter.getCPtr(dayCounter), fixedRate, ZeroInflationIndex.getCPtr(index), Period.getCPtr(lag)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public ZeroCouponInflationSwap.Type type()
{
ZeroCouponInflationSwap.Type ret = (ZeroCouponInflationSwap.Type)NQuantLibcPINVOKE.ZeroCouponInflationSwap_type(swigCPtr);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public void zciisconsistency()
{
CommonVars common = new CommonVars();
ZeroCouponInflationSwap.Type ztype = ZeroCouponInflationSwap.Type.Payer;
double nominal = 1000000.0;
Date startDate = new Date(common.evaluationDate);
Date endDate = new Date(25, Month.November, 2059);
Calendar cal = new UnitedKingdom();
BusinessDayConvention paymentConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter dummyDC = null, dc = new ActualActual();
Period observationLag = new Period(2, TimeUnit.Months);
double quote = 0.03714;
ZeroCouponInflationSwap zciis = new ZeroCouponInflationSwap(ztype, nominal, startDate, endDate, cal,
paymentConvention, dc, quote, common.ii, observationLag);
// simple structure so simple pricing engine - most work done by index
DiscountingSwapEngine dse = new DiscountingSwapEngine(common.nominalUK);
zciis.setPricingEngine(dse);
QAssert.IsTrue(Math.Abs(zciis.NPV()) < 1e-3, "zciis does not reprice to zero");
List <Date> oneDate = new List <Date>();
oneDate.Add(endDate);
Schedule schOneDate = new Schedule(oneDate, cal, paymentConvention);
CPISwap.Type stype = CPISwap.Type.Payer;
double inflationNominal = nominal;
double floatNominal = inflationNominal * Math.Pow(1.0 + quote, 50);
bool subtractInflationNominal = true;
double dummySpread = 0.0, dummyFixedRate = 0.0;
int fixingDays = 0;
Date baseDate = startDate - observationLag;
double baseCPI = common.ii.fixing(baseDate);
IborIndex dummyFloatIndex = new IborIndex();
CPISwap cS = new CPISwap(stype, floatNominal, subtractInflationNominal, dummySpread, dummyDC, schOneDate,
paymentConvention, fixingDays, dummyFloatIndex,
dummyFixedRate, baseCPI, dummyDC, schOneDate, paymentConvention, observationLag,
common.ii, InterpolationType.AsIndex, inflationNominal);
cS.setPricingEngine(dse);
QAssert.IsTrue(Math.Abs(cS.NPV()) < 1e-3, "CPISwap as ZCIIS does not reprice to zero");
for (int i = 0; i < 2; i++)
{
double cs = cS.legNPV(i).GetValueOrDefault();
double z = zciis.legNPV(i).GetValueOrDefault();
QAssert.IsTrue(Math.Abs(cs - z) < 1e-3, "zciis leg does not equal CPISwap leg");
}
// remove circular refernce
common.hcpi.linkTo(null);
}
