/usr/include/ql/cashflows/yoyinflationcoupon.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2009 Chris Kenyon
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 yoyinflationcoupon.hpp
\brief Coupon paying a yoy inflation index
*/
#ifndef quantlib_newyoy_coupon_hpp
#define quantlib_newyoy_coupon_hpp
#include <ql/cashflows/inflationcoupon.hpp>
#include <ql/indexes/inflationindex.hpp>
#include <ql/time/schedule.hpp>
namespace QuantLib {
class YoYInflationCouponPricer;
//! %Coupon paying a YoY-inflation type index
class YoYInflationCoupon : public InflationCoupon {
public:
YoYInflationCoupon(const Date& paymentDate,
Real nominal,
const Date& startDate,
const Date& endDate,
Natural fixingDays,
const boost::shared_ptr<YoYInflationIndex>& index,
const Period& observationLag,
const DayCounter& dayCounter,
Real gearing = 1.0,
Spread spread = 0.0,
const Date& refPeriodStart = Date(),
const Date& refPeriodEnd = Date()
);
//! \name Inspectors
//@{
//! index gearing, i.e. multiplicative coefficient for the index
Real gearing() const { return gearing_; }
//! spread paid over the fixing of the underlying index
Spread spread() const { return spread_; }
Rate adjustedFixing() const;
const boost::shared_ptr<YoYInflationIndex>& yoyIndex() const;
//@}
//! \name Visitability
//@{
virtual void accept(AcyclicVisitor&);
//@}
private:
boost::shared_ptr<YoYInflationIndex> yoyIndex_;
protected:
Real gearing_;
Spread spread_;
bool checkPricerImpl(const boost::shared_ptr<InflationCouponPricer>&) const;
};
inline const boost::shared_ptr<YoYInflationIndex>&
YoYInflationCoupon::yoyIndex() const {
return yoyIndex_;
}
inline Rate YoYInflationCoupon::adjustedFixing() const {
return (rate()-spread())/gearing();
}
//! Helper class building a sequence of capped/floored yoy inflation coupons
//! payoff is: spread + gearing x index
class yoyInflationLeg {
public:
yoyInflationLeg(const Schedule& schedule, const Calendar& cal,
const boost::shared_ptr<YoYInflationIndex>& index,
const Period& observationLag);
yoyInflationLeg& withNotionals(Real notional);
yoyInflationLeg& withNotionals(const std::vector<Real>& notionals);
yoyInflationLeg& withPaymentDayCounter(const DayCounter&);
yoyInflationLeg& withPaymentAdjustment(BusinessDayConvention);
yoyInflationLeg& withFixingDays(Natural fixingDays);
yoyInflationLeg& withFixingDays(const std::vector<Natural>& fixingDays);
yoyInflationLeg& withGearings(Real gearing);
yoyInflationLeg& withGearings(const std::vector<Real>& gearings);
yoyInflationLeg& withSpreads(Spread spread);
yoyInflationLeg& withSpreads(const std::vector<Spread>& spreads);
yoyInflationLeg& withCaps(Rate cap);
yoyInflationLeg& withCaps(const std::vector<Rate>& caps);
yoyInflationLeg& withFloors(Rate floor);
yoyInflationLeg& withFloors(const std::vector<Rate>& floors);
operator Leg() const;
private:
Schedule schedule_;
boost::shared_ptr<YoYInflationIndex> index_;
Period observationLag_;
std::vector<Real> notionals_;
DayCounter paymentDayCounter_;
BusinessDayConvention paymentAdjustment_;
Calendar paymentCalendar_;
std::vector<Natural> fixingDays_;
std::vector<Real> gearings_;
std::vector<Spread> spreads_;
std::vector<Rate> caps_, floors_;
};
}
#endif
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