18902330216

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

Build # 18902330216

Build Type

Pull #2344

github

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web-flow

Commit Message

Merge a8095fd90 into d823f4ecb

Pull Request Pull Request #2344: add multicurve bootstrap

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75.0

/ql/cashflows/yoyinflationcoupon.hpp

/* -*- 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.
 */

/*! \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 ext::shared_ptr<YoYInflationIndex>& index,
                           const Period& observationLag,
                           CPI::InterpolationType interpolation,
                           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 indexFixing() const override;

        Rate adjustedFixing() const;

        const ext::shared_ptr<YoYInflationIndex>& yoyIndex() const;
        CPI::InterpolationType interpolation() const;
        //@}

        //! \name Visitability
        //@{
        void accept(AcyclicVisitor&) override;
        //@}

      private:
        ext::shared_ptr<YoYInflationIndex> yoyIndex_;
        CPI::InterpolationType interpolation_;
      protected:
        Real gearing_;
        Spread spread_;
        bool checkPricerImpl(const ext::shared_ptr<InflationCouponPricer>&) const override;
    };

    inline const ext::shared_ptr<YoYInflationIndex>&
    YoYInflationCoupon::yoyIndex() const {
        return yoyIndex_;
    }

    inline CPI::InterpolationType YoYInflationCoupon::interpolation() const {
        return interpolation_;
    }

    inline Rate YoYInflationCoupon::adjustedFixing() const {
        return (rate()-spread())/gearing();
    }




    //! Helper class building a sequence of capped/floored yoy inflation coupons
    class yoyInflationLeg {
    public:
      yoyInflationLeg(Schedule schedule,
                      Calendar cal,
                      ext::shared_ptr<YoYInflationIndex> index,
                      const Period& observationLag,
                      CPI::InterpolationType interpolation);
      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_;
        ext::shared_ptr<YoYInflationIndex> index_;
        Period observationLag_;
        CPI::InterpolationType interpolation_;
        std::vector<Real> notionals_;
        DayCounter paymentDayCounter_;
        BusinessDayConvention paymentAdjustment_ = ModifiedFollowing;
        Calendar paymentCalendar_;
        std::vector<Natural> fixingDays_;
        std::vector<Real> gearings_;
        std::vector<Spread> spreads_;
        std::vector<Rate> caps_, floors_;
    };



}

#endif


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	/*! \file yoyinflationcoupon.hpp
21	\brief Coupon paying a yoy inflation index
22	*/
23
24	#ifndef quantlib_newyoy_coupon_hpp
25	#define quantlib_newyoy_coupon_hpp
26
27	#include <ql/cashflows/inflationcoupon.hpp>
28	#include <ql/indexes/inflationindex.hpp>
29	#include <ql/time/schedule.hpp>
30
31	namespace QuantLib {
32	class YoYInflationCouponPricer;
33
34	//! %Coupon paying a YoY-inflation type index
35	class YoYInflationCoupon : public InflationCoupon {
36	public:
37	YoYInflationCoupon(const Date& paymentDate,
38	Real nominal,
39	const Date& startDate,
40	const Date& endDate,
41	Natural fixingDays,
42	const ext::shared_ptr<YoYInflationIndex>& index,
43	const Period& observationLag,
44	CPI::InterpolationType interpolation,
45	const DayCounter& dayCounter,
46	Real gearing = 1.0,
47	Spread spread = 0.0,
48	const Date& refPeriodStart = Date(),
49	const Date& refPeriodEnd = Date());
50
51	//! \name Inspectors
52	//@{
53	//! index gearing, i.e. multiplicative coefficient for the index
54	Real gearing() const { return gearing_; }	216,029✔
55	//! spread paid over the fixing of the underlying index
56	Spread spread() const { return spread_; }	216,029✔
57
58	Rate indexFixing() const override;
59
60	Rate adjustedFixing() const;
61
62	const ext::shared_ptr<YoYInflationIndex>& yoyIndex() const;
63	CPI::InterpolationType interpolation() const;
64	//@}
65
66	//! \name Visitability
67	//@{
68	void accept(AcyclicVisitor&) override;
69	//@}
70
71	private:
72	ext::shared_ptr<YoYInflationIndex> yoyIndex_;
73	CPI::InterpolationType interpolation_;
74	protected:
75	Real gearing_;
76	Spread spread_;
77	bool checkPricerImpl(const ext::shared_ptr<InflationCouponPricer>&) const override;
78	};
79
80	inline const ext::shared_ptr<YoYInflationIndex>&
81	YoYInflationCoupon::yoyIndex() const {
82	return yoyIndex_;	52,236✔
83	}
84
85	inline CPI::InterpolationType YoYInflationCoupon::interpolation() const {
UNCOV 86	return interpolation_;	×
87	}
88
89	inline Rate YoYInflationCoupon::adjustedFixing() const {
90	return (rate()-spread())/gearing();
91	}
92
93
94
95
96	//! Helper class building a sequence of capped/floored yoy inflation coupons
97	class yoyInflationLeg {
98	public:
99	yoyInflationLeg(Schedule schedule,
100	Calendar cal,
101	ext::shared_ptr<YoYInflationIndex> index,
102	const Period& observationLag,
103	CPI::InterpolationType interpolation);
104	yoyInflationLeg& withNotionals(Real notional);
105	yoyInflationLeg& withNotionals(const std::vector<Real>& notionals);
106	yoyInflationLeg& withPaymentDayCounter(const DayCounter&);
107	yoyInflationLeg& withPaymentAdjustment(BusinessDayConvention);
108	yoyInflationLeg& withFixingDays(Natural fixingDays);
109	yoyInflationLeg& withFixingDays(const std::vector<Natural>& fixingDays);
110	yoyInflationLeg& withGearings(Real gearing);
111	yoyInflationLeg& withGearings(const std::vector<Real>& gearings);
112	yoyInflationLeg& withSpreads(Spread spread);
113	yoyInflationLeg& withSpreads(const std::vector<Spread>& spreads);
114	yoyInflationLeg& withCaps(Rate cap);
115	yoyInflationLeg& withCaps(const std::vector<Rate>& caps);
116	yoyInflationLeg& withFloors(Rate floor);
117	yoyInflationLeg& withFloors(const std::vector<Rate>& floors);
118	operator Leg() const;
119	private:
120	Schedule schedule_;
121	ext::shared_ptr<YoYInflationIndex> index_;
122	Period observationLag_;
123	CPI::InterpolationType interpolation_;
124	std::vector<Real> notionals_;
125	DayCounter paymentDayCounter_;
126	BusinessDayConvention paymentAdjustment_ = ModifiedFollowing;
127	Calendar paymentCalendar_;
128	std::vector<Natural> fixingDays_;
129	std::vector<Real> gearings_;
130	std::vector<Spread> spreads_;
131	std::vector<Rate> caps_, floors_;
132	};
133
134
135
136	}
137
138	#endif
139

lballabio / QuantLib / 18902330216

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