/usr/include/ql/instruments/cpiswap.hpp is in libquantlib0-dev 1.4-2+b1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2007, 2009, 2011 Chris Kenyon
Copyright (C) 2009 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file cpiswap.hpp
\brief zero-inflation-indexed-ratio-with-base swap
*/
#ifndef quantlib_zeroinflationswap_hpp
#define quantlib_zeroinflationswap_hpp
#include <ql/instruments/swap.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/schedule.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/cashflows/cpicoupon.hpp>
namespace QuantLib {
class ZeroInflationIndex;
//! zero-inflation-indexed swap,
/*! fixed x zero-inflation, i.e. fixed x CPI(i'th fixing)/CPI(base)
versus floating + spread
Note that this does ony the inflation-vs-floating-leg.
Extension to inflation-vs-fixed-leg. is simple - just replace
the floating leg with a fixed leg.
Typically there are notional exchanges at the end: either
inflated-notional vs notional; or just (inflated-notional -
notional) vs zero. The latter is perhaphs more typical.
\warning Setting subtractInflationNominal to true means that
the original inflation nominal is subtracted from both
nominals before they are exchanged, even if they are
different.
This swap can mimic a ZCIIS where [(1+q)^n - 1] is exchanged
against (cpi ratio - 1), by using differnt nominals on each
leg and setting subtractInflationNominal to true. ALSO -
there must be just one date in each schedule.
The two legs can have different schedules, fixing (days vs
lag), settlement, and roll conventions. N.B. accrual
adjustment periods are already in the schedules. Trade date
and swap settlement date are outside the scope of the
instrument.
*/
class CPISwap : public Swap {
public:
enum Type { Receiver = -1, Payer = 1 };
class arguments;
class results;
class engine;
CPISwap(Type type,
Real nominal,
bool subtractInflationNominal,
// float+spread leg
Spread spread,
const DayCounter& floatDayCount,
const Schedule& floatSchedule,
const BusinessDayConvention& floatRoll,
Natural fixingDays,
const boost::shared_ptr<IborIndex>& floatIndex,
// fixed x inflation leg
Rate fixedRate,
Real baseCPI,
const DayCounter& fixedDayCount,
const Schedule& fixedSchedule,
const BusinessDayConvention& fixedRoll,
const Period& observationLag,
const boost::shared_ptr<ZeroInflationIndex>& fixedIndex,
CPI::InterpolationType observationInterpolation = CPI::AsIndex,
Real inflationNominal = Null<Real>()
);
// results
// float+spread
virtual Real floatLegNPV() const;
virtual Spread fairSpread() const;
// fixed rate x inflation
virtual Real fixedLegNPV() const;
virtual Rate fairRate() const;
// inspectors
virtual Type type() const;
virtual Real nominal() const;
virtual bool subtractInflationNominal() const;
// float+spread
virtual Spread spread() const;
virtual const DayCounter& floatDayCount() const;
virtual const Schedule& floatSchedule() const;
virtual const BusinessDayConvention& floatPaymentRoll() const;
virtual Natural fixingDays() const;
virtual const boost::shared_ptr<IborIndex>& floatIndex() const;
// fixed rate x inflation
virtual Rate fixedRate() const;
virtual Real baseCPI() const;
virtual const DayCounter& fixedDayCount() const;
virtual const Schedule& fixedSchedule() const;
virtual const BusinessDayConvention& fixedPaymentRoll() const;
virtual Period observationLag() const;
virtual const boost::shared_ptr<ZeroInflationIndex>& fixedIndex() const;
virtual CPI::InterpolationType observationInterpolation() const;
virtual Real inflationNominal() const;
// legs
virtual const Leg& cpiLeg() const;
virtual const Leg& floatLeg() const;
// other
void setupArguments(PricingEngine::arguments* args) const;
void fetchResults(const PricingEngine::results*) const;
private:
void setupExpired() const;
Type type_;
Real nominal_;
bool subtractInflationNominal_;
// float+spread leg
Spread spread_;
DayCounter floatDayCount_;
Schedule floatSchedule_;
BusinessDayConvention floatPaymentRoll_;
Natural fixingDays_;
boost::shared_ptr<IborIndex> floatIndex_;
// fixed x inflation leg
Rate fixedRate_;
Real baseCPI_;
DayCounter fixedDayCount_;
Schedule fixedSchedule_;
BusinessDayConvention fixedPaymentRoll_;
boost::shared_ptr<ZeroInflationIndex> fixedIndex_;
Period observationLag_;
CPI::InterpolationType observationInterpolation_;
Real inflationNominal_;
// results
mutable Spread fairSpread_;
mutable Rate fairRate_;
};
//! %Arguments for swap calculation
class CPISwap::arguments : public Swap::arguments {
public:
arguments() : type(Receiver),
nominal(Null<Real>()) {}
Type type;
Real nominal;
void validate() const;
};
//! %Results from swap calculation
class CPISwap::results : public Swap::results {
public:
Rate fairRate;
Spread fairSpread;
void reset();
};
class CPISwap::engine : public GenericEngine<CPISwap::arguments,
CPISwap::results> {};
// inline definitions
// inspectors
inline CPISwap::Type CPISwap::type() const { return type_; }
inline Real CPISwap::nominal() const { return nominal_; }
inline bool CPISwap::subtractInflationNominal() const { return subtractInflationNominal_; }
// float+spread
inline Spread CPISwap::spread() const { return spread_; }
inline const DayCounter& CPISwap::floatDayCount() const { return floatDayCount_; }
inline const Schedule& CPISwap::floatSchedule() const { return floatSchedule_; }
inline const BusinessDayConvention& CPISwap::floatPaymentRoll() const { return floatPaymentRoll_; }
inline Natural CPISwap::fixingDays() const { return fixingDays_; }
inline const boost::shared_ptr<IborIndex>& CPISwap::floatIndex() const { return floatIndex_; }
// fixed rate x inflation
inline Rate CPISwap::fixedRate() const { return fixedRate_; }
inline Real CPISwap::baseCPI() const { return baseCPI_; }
inline const DayCounter& CPISwap::fixedDayCount() const { return fixedDayCount_; }
inline const Schedule& CPISwap::fixedSchedule() const { return fixedSchedule_; }
inline const BusinessDayConvention& CPISwap::fixedPaymentRoll() const { return fixedPaymentRoll_; }
inline Period CPISwap::observationLag() const { return observationLag_; }
inline const boost::shared_ptr<ZeroInflationIndex>& CPISwap::fixedIndex() const { return fixedIndex_; }
inline CPI::InterpolationType CPISwap::observationInterpolation() const { return observationInterpolation_; }
inline Real CPISwap::inflationNominal() const { return inflationNominal_; }
inline const Leg& CPISwap::cpiLeg() const {//inflation indexed
return legs_[0];
}
inline const Leg& CPISwap::floatLeg() const {
return legs_[1];
}
std::ostream& operator<<(std::ostream& out, CPISwap::Type t);
}
#endif
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