18902330216

Committed 29 Oct 2025 08:56AM UTC coverage: 74.321% (+0.4%) from 73.914%

Build # 18902330216

Build Type

Pull #2344

github

Committed by

web-flow

Commit Message

Merge a8095fd90 into d823f4ecb

Pull Request Pull Request #2344: add multicurve bootstrap

Run Details

100 of 104 new or added lines in 8 files covered. (96.15%)

216 existing lines in 13 files now uncovered.

57073 of 76793 relevant lines covered (74.32%)

8779123.65 hits per line

Source File
Press 'n' to go to next uncovered line, 'b' for previous

74.07

/ql/cashflows/yoyinflationcoupon.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 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
 <https://www.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.
 */


#include <ql/cashflows/capflooredinflationcoupon.hpp>
#include <ql/cashflows/cashflowvectors.hpp>
#include <ql/cashflows/inflationcoupon.hpp>
#include <ql/cashflows/inflationcouponpricer.hpp>
#include <utility>

namespace QuantLib {

    YoYInflationCoupon::
    YoYInflationCoupon(const Date& paymentDate,
                       Real nominal,
                       const Date& startDate,
                       const Date& endDate,
                       Natural fixingDays,
                       const ext::shared_ptr<YoYInflationIndex>& yoyIndex,
                       const Period& observationLag,
                       CPI::InterpolationType interpolation,
                       const DayCounter& dayCounter,
                       Real gearing,
                       Spread spread,
                       const Date& refPeriodStart,
                       const Date& refPeriodEnd)
    : InflationCoupon(paymentDate, nominal, startDate, endDate,
                      fixingDays, yoyIndex, observationLag,
                      dayCounter, refPeriodStart, refPeriodEnd),
      yoyIndex_(yoyIndex), interpolation_(interpolation), gearing_(gearing), spread_(spread) {}

    void YoYInflationCoupon::accept(AcyclicVisitor& v) {
        auto* v1 = dynamic_cast<Visitor<YoYInflationCoupon>*>(&v);
        if (v1 != nullptr)
            v1->visit(*this);
        else
            InflationCoupon::accept(v);
    }

    bool YoYInflationCoupon::checkPricerImpl(
            const ext::shared_ptr<InflationCouponPricer>&pricer) const {
        return static_cast<bool>(
               ext::dynamic_pointer_cast<YoYInflationCouponPricer>(pricer));
    }

    Rate YoYInflationCoupon::indexFixing() const {
        return CPI::laggedYoYRate(yoyIndex(), accrualEndDate(), observationLag(), interpolation_);
    }


    yoyInflationLeg::yoyInflationLeg(Schedule schedule,
                                     Calendar paymentCalendar,
                                     ext::shared_ptr<YoYInflationIndex> index,
                                     const Period& observationLag,
                                     CPI::InterpolationType interpolation)
    : schedule_(std::move(schedule)), index_(std::move(index)), observationLag_(observationLag),
      interpolation_(interpolation), paymentCalendar_(std::move(paymentCalendar)) {}

    yoyInflationLeg& yoyInflationLeg::withNotionals(Real notional) {
        notionals_ = std::vector<Real>(1,notional);
        return *this;
    }

    yoyInflationLeg& yoyInflationLeg::withNotionals(const std::vector<Real>& notionals) {
        notionals_ = notionals;
        return *this;
    }

    yoyInflationLeg& yoyInflationLeg::withPaymentDayCounter(const DayCounter& dayCounter) {
        paymentDayCounter_ = dayCounter;
        return *this;
    }

    yoyInflationLeg& yoyInflationLeg::withPaymentAdjustment(BusinessDayConvention convention) {
        paymentAdjustment_ = convention;
        return *this;
    }

    yoyInflationLeg& yoyInflationLeg::withFixingDays(Natural fixingDays) {
        fixingDays_ = std::vector<Natural>(1,fixingDays);
        return *this;
    }

    yoyInflationLeg& yoyInflationLeg::withFixingDays(const std::vector<Natural>& fixingDays) {
        fixingDays_ = fixingDays;
        return *this;
    }

    yoyInflationLeg& yoyInflationLeg::withGearings(Real gearing) {
        gearings_ = std::vector<Real>(1,gearing);
        return *this;
    }

    yoyInflationLeg& yoyInflationLeg::withGearings(const std::vector<Real>& gearings) {
        gearings_ = gearings;
        return *this;
    }

    yoyInflationLeg& yoyInflationLeg::withSpreads(Spread spread) {
        spreads_ = std::vector<Spread>(1,spread);
        return *this;
    }

    yoyInflationLeg& yoyInflationLeg::withSpreads(const std::vector<Spread>& spreads) {
        spreads_ = spreads;
        return *this;
    }

    yoyInflationLeg& yoyInflationLeg::withCaps(Rate cap) {
        caps_ = std::vector<Rate>(1,cap);
        return *this;
    }

    yoyInflationLeg& yoyInflationLeg::withCaps(const std::vector<Rate>& caps) {
        caps_ = caps;
        return *this;
    }

    yoyInflationLeg& yoyInflationLeg::withFloors(Rate floor) {
        floors_ = std::vector<Rate>(1,floor);
        return *this;
    }

    yoyInflationLeg& yoyInflationLeg::withFloors(const std::vector<Rate>& floors) {
        floors_ = floors;
        return *this;
    }


    yoyInflationLeg::operator Leg() const {

        Size n = schedule_.size()-1;
        QL_REQUIRE(!paymentDayCounter_.empty(), "no payment daycounter given");
        QL_REQUIRE(!notionals_.empty(), "no notional given");
        QL_REQUIRE(notionals_.size() <= n,
                   "too many nominals (" << notionals_.size() <<
                   "), only " << n << " required");
        QL_REQUIRE(gearings_.size()<=n,
                   "too many gearings (" << gearings_.size() <<
                   "), only " << n << " required");
        QL_REQUIRE(spreads_.size()<=n,
                   "too many spreads (" << spreads_.size() <<
                   "), only " << n << " required");
        QL_REQUIRE(caps_.size()<=n,
                   "too many caps (" << caps_.size() <<
                   "), only " << n << " required");
        QL_REQUIRE(floors_.size()<=n,
                   "too many floors (" << floors_.size() <<
                   "), only " << n << " required");

        Leg leg; leg.reserve(n);

        Calendar calendar = paymentCalendar_;

        Date refStart, start, refEnd, end;

        for (Size 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_.hasIsRegular() && !schedule_.isRegular(i+1)) {
                BusinessDayConvention bdc = schedule_.businessDayConvention();
                refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);
            }
            if (i==n-1 && schedule_.hasIsRegular() && !schedule_.isRegular(i+1)) {
                BusinessDayConvention bdc = schedule_.businessDayConvention();
                refEnd = schedule_.calendar().adjust(start + schedule_.tenor(), bdc);
            }
            if (detail::get(gearings_, i, 1.0) == 0.0) { // fixed coupon
                leg.push_back(ext::make_shared<FixedRateCoupon>(
                            paymentDate,
                            detail::get(notionals_, i, 1.0),
                            detail::effectiveFixedRate(spreads_,caps_,
                                                       floors_,i),
                            paymentDayCounter_,
                            start, end, refStart, refEnd));
            } else { // yoy inflation coupon
                if (detail::noOption(caps_, floors_, i)) { // just swaplet
                    leg.push_back(ext::make_shared<YoYInflationCoupon>(
                            paymentDate,
                            detail::get(notionals_, i, 1.0),
                            start, end,
                            detail::get(fixingDays_, i, 0),
                            index_,
                            observationLag_,
                            interpolation_,
                            paymentDayCounter_,
                            detail::get(gearings_, i, 1.0),
                            detail::get(spreads_, i, 0.0),
                            refStart, refEnd));
                } else {    // cap/floorlet
                    leg.push_back(ext::make_shared<CappedFlooredYoYInflationCoupon>(
                            paymentDate,
                            detail::get(notionals_, i, 1.0),
                            start, end,
                            detail::get(fixingDays_, i, 0),
                            index_,
                            observationLag_,
                            interpolation_,
                            paymentDayCounter_,
                            detail::get(gearings_, i, 1.0),
                            detail::get(spreads_, i, 0.0),
                            detail::get(caps_,   i, Null<Rate>()),
                            detail::get(floors_, i, Null<Rate>()),
                            refStart, refEnd));
                }
            }
        }

        // Without caps or floors, this is enough; otherwise, a more
        // specific pricer will need to be set in client code.
        if (caps_.empty() && floors_.empty())
            setCouponPricer(leg, ext::make_shared<YoYInflationCouponPricer>());

        return leg;
    }

}


1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2009 Chris Kenyon
5
6	This file is part of QuantLib, a free-software/open-source library
7	for financial quantitative analysts and developers - http://quantlib.org/
8
9	QuantLib is free software: you can redistribute it and/or modify it
10	under the terms of the QuantLib license. You should have received a
11	copy of the license along with this program; if not, please email
12	<quantlib-dev@lists.sf.net>. The license is also available online at
13	<https://www.quantlib.org/license.shtml>.
14
15	This program is distributed in the hope that it will be useful, but WITHOUT
16	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17	FOR A PARTICULAR PURPOSE. See the license for more details.
18	*/
19
20
21	#include <ql/cashflows/capflooredinflationcoupon.hpp>
22	#include <ql/cashflows/cashflowvectors.hpp>
23	#include <ql/cashflows/inflationcoupon.hpp>
24	#include <ql/cashflows/inflationcouponpricer.hpp>
25	#include <utility>
26
27	namespace QuantLib {
28
29	YoYInflationCoupon::	89,435✔
30	YoYInflationCoupon(const Date& paymentDate,
31	Real nominal,
32	const Date& startDate,
33	const Date& endDate,
34	Natural fixingDays,
35	const ext::shared_ptr<YoYInflationIndex>& yoyIndex,
36	const Period& observationLag,
37	CPI::InterpolationType interpolation,
38	const DayCounter& dayCounter,
39	Real gearing,
40	Spread spread,
41	const Date& refPeriodStart,
42	const Date& refPeriodEnd)	76,142✔
43	: InflationCoupon(paymentDate, nominal, startDate, endDate,
44	fixingDays, yoyIndex, observationLag,
45	dayCounter, refPeriodStart, refPeriodEnd),
46	yoyIndex_(yoyIndex), interpolation_(interpolation), gearing_(gearing), spread_(spread) {}	268,305✔
47
48	void YoYInflationCoupon::accept(AcyclicVisitor& v) {	×
UNCOV 49	auto* v1 = dynamic_cast<Visitor<YoYInflationCoupon>*>(&v);	×
UNCOV 50	if (v1 != nullptr)	×
UNCOV 51	v1->visit(*this);	×
52	else
UNCOV 53	InflationCoupon::accept(v);	×
UNCOV 54	}	×
55
56	bool YoYInflationCoupon::checkPricerImpl(	89,435✔
57	const ext::shared_ptr<InflationCouponPricer>&pricer) const {
58	return static_cast<bool>(
59	ext::dynamic_pointer_cast<YoYInflationCouponPricer>(pricer));	89,435✔
60	}
61
62	Rate YoYInflationCoupon::indexFixing() const {	52,236✔
63	return CPI::laggedYoYRate(yoyIndex(), accrualEndDate(), observationLag(), interpolation_);	52,236✔
64	}
65
66
67	yoyInflationLeg::yoyInflationLeg(Schedule schedule,	11,214✔
68	Calendar paymentCalendar,
69	ext::shared_ptr<YoYInflationIndex> index,
70	const Period& observationLag,
71	CPI::InterpolationType interpolation)	11,214✔
72	: schedule_(std::move(schedule)), index_(std::move(index)), observationLag_(observationLag),	11,214✔
73	interpolation_(interpolation), paymentCalendar_(std::move(paymentCalendar)) {}	11,214✔
74
75	yoyInflationLeg& yoyInflationLeg::withNotionals(Real notional) {	1,961✔
76	notionals_ = std::vector<Real>(1,notional);	1,961✔
77	return *this;	1,961✔
78	}
79
80	yoyInflationLeg& yoyInflationLeg::withNotionals(const std::vector<Real>& notionals) {	9,253✔
81	notionals_ = notionals;	9,253✔
82	return *this;	9,253✔
83	}
84
85	yoyInflationLeg& yoyInflationLeg::withPaymentDayCounter(const DayCounter& dayCounter) {	11,214✔
86	paymentDayCounter_ = dayCounter;
87	return *this;	11,214✔
88	}
89
90	yoyInflationLeg& yoyInflationLeg::withPaymentAdjustment(BusinessDayConvention convention) {	11,214✔
91	paymentAdjustment_ = convention;	11,214✔
92	return *this;	11,214✔
93	}
94
UNCOV 95	yoyInflationLeg& yoyInflationLeg::withFixingDays(Natural fixingDays) {	×
96	fixingDays_ = std::vector<Natural>(1,fixingDays);	×
97	return *this;	×
98	}
99
UNCOV 100	yoyInflationLeg& yoyInflationLeg::withFixingDays(const std::vector<Natural>& fixingDays) {	×
UNCOV 101	fixingDays_ = fixingDays;	×
UNCOV 102	return *this;	×
103	}
104
UNCOV 105	yoyInflationLeg& yoyInflationLeg::withGearings(Real gearing) {	×
UNCOV 106	gearings_ = std::vector<Real>(1,gearing);	×
UNCOV 107	return *this;	×
108	}
109
110	yoyInflationLeg& yoyInflationLeg::withGearings(const std::vector<Real>& gearings) {	2,532✔
111	gearings_ = gearings;	2,532✔
112	return *this;	2,532✔
113	}
114
115	yoyInflationLeg& yoyInflationLeg::withSpreads(Spread spread) {	1,873✔
116	spreads_ = std::vector<Spread>(1,spread);	1,873✔
117	return *this;	1,873✔
118	}
119
120	yoyInflationLeg& yoyInflationLeg::withSpreads(const std::vector<Spread>& spreads) {	2,532✔
121	spreads_ = spreads;	2,532✔
122	return *this;	2,532✔
123	}
124
125	yoyInflationLeg& yoyInflationLeg::withCaps(Rate cap) {	×
126	caps_ = std::vector<Rate>(1,cap);	×
127	return *this;	×
128	}
129
130	yoyInflationLeg& yoyInflationLeg::withCaps(const std::vector<Rate>& caps) {	1,689✔
131	caps_ = caps;	1,689✔
132	return *this;	1,689✔
133	}
134
UNCOV 135	yoyInflationLeg& yoyInflationLeg::withFloors(Rate floor) {	×
UNCOV 136	floors_ = std::vector<Rate>(1,floor);	×
UNCOV 137	return *this;	×
138	}
139
140	yoyInflationLeg& yoyInflationLeg::withFloors(const std::vector<Rate>& floors) {	1,689✔
141	floors_ = floors;	1,689✔
142	return *this;	1,689✔
143	}
144
145
146	yoyInflationLeg::operator Leg() const {	11,214✔
147
148	Size n = schedule_.size()-1;	11,214✔
149	QL_REQUIRE(!paymentDayCounter_.empty(), "no payment daycounter given");	11,214✔
150	QL_REQUIRE(!notionals_.empty(), "no notional given");	11,214✔
151	QL_REQUIRE(notionals_.size() <= n,	11,214✔
152	"too many nominals (" << notionals_.size() <<
153	"), only " << n << " required");
154	QL_REQUIRE(gearings_.size()<=n,	11,214✔
155	"too many gearings (" << gearings_.size() <<
156	"), only " << n << " required");
157	QL_REQUIRE(spreads_.size()<=n,	11,214✔
158	"too many spreads (" << spreads_.size() <<
159	"), only " << n << " required");
160	QL_REQUIRE(caps_.size()<=n,	11,214✔
161	"too many caps (" << caps_.size() <<
162	"), only " << n << " required");
163	QL_REQUIRE(floors_.size()<=n,	11,214✔
164	"too many floors (" << floors_.size() <<
165	"), only " << n << " required");
166
167	Leg leg; leg.reserve(n);	11,214✔
168
169	Calendar calendar = paymentCalendar_;
170
171	Date refStart, start, refEnd, end;	11,214✔
172
173	for (Size i=0; i<n; ++i) {	100,649✔
174	refStart = start = schedule_.date(i);	89,435✔
175	refEnd = end = schedule_.date(i+1);	89,435✔
176	Date paymentDate = calendar.adjust(end, paymentAdjustment_);	89,435✔
177	if (i==0 && schedule_.hasIsRegular() && !schedule_.isRegular(i+1)) {	89,435✔
178	BusinessDayConvention bdc = schedule_.businessDayConvention();
179	refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);	180✔
180	}
181	if (i==n-1 && schedule_.hasIsRegular() && !schedule_.isRegular(i+1)) {	89,435✔
182	BusinessDayConvention bdc = schedule_.businessDayConvention();
UNCOV 183	refEnd = schedule_.calendar().adjust(start + schedule_.tenor(), bdc);	×
184	}
185	if (detail::get(gearings_, i, 1.0) == 0.0) { // fixed coupon	89,435✔
UNCOV 186	leg.push_back(ext::make_shared<FixedRateCoupon>(	×
187	paymentDate,
UNCOV 188	detail::get(notionals_, i, 1.0),	×
UNCOV 189	detail::effectiveFixedRate(spreads_,caps_,	×
UNCOV 190	floors_,i),	×
UNCOV 191	paymentDayCounter_,	×
192	start, end, refStart, refEnd));
193	} else { // yoy inflation coupon
194	if (detail::noOption(caps_, floors_, i)) { // just swaplet	89,435✔
195	leg.push_back(ext::make_shared<YoYInflationCoupon>(	76,142✔
196	paymentDate,
197	detail::get(notionals_, i, 1.0),	152,284✔
198	start, end,
199	detail::get(fixingDays_, i, 0),	152,284✔
200	index_,	76,142✔
201	observationLag_,	76,142✔
202	interpolation_,	76,142✔
203	paymentDayCounter_,	76,142✔
204	detail::get(gearings_, i, 1.0),	152,284✔
205	detail::get(spreads_, i, 0.0),	152,284✔
206	refStart, refEnd));
207	} else { // cap/floorlet
208	leg.push_back(ext::make_shared<CappedFlooredYoYInflationCoupon>(	13,293✔
209	paymentDate,
210	detail::get(notionals_, i, 1.0),	26,586✔
211	start, end,
212	detail::get(fixingDays_, i, 0),	26,586✔
213	index_,	13,293✔
214	observationLag_,	13,293✔
215	interpolation_,	13,293✔
216	paymentDayCounter_,	13,293✔
217	detail::get(gearings_, i, 1.0),	26,586✔
218	detail::get(spreads_, i, 0.0),	26,586✔
219	detail::get(caps_, i, Null<Rate>()),	26,586✔
220	detail::get(floors_, i, Null<Rate>()),	26,586✔
221	refStart, refEnd));
222	}
223	}
224	}
225
226	// Without caps or floors, this is enough; otherwise, a more
227	// specific pricer will need to be set in client code.
228	if (caps_.empty() && floors_.empty())	11,214✔
229	setCouponPricer(leg, ext::make_shared<YoYInflationCouponPricer>());	19,050✔
230
231	return leg;	11,214✔
UNCOV 232	}	×
233
234	}
235

lballabio / QuantLib / 18902330216

Source File Press 'n' to go to next uncovered line, 'b' for previous

Source File
Press 'n' to go to next uncovered line, 'b' for previous