18905857194

Committed 29 Oct 2025 11:09AM UTC coverage: 74.32% (+0.4%) from 73.914%

Build # 18905857194

Build Type

Pull #2344

github

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web-flow

Commit Message

Merge d353587bf into d823f4ecb

Pull Request Pull Request #2344: add multicurve bootstrap

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63.08

/ql/instruments/makeyoyinflationcapfloor.cpp

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

/*
 Copyright (C) 2006, 2007 Ferdinando Ametrano
 Copyright (C) 2007 StatPro Italia srl
 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/cashflows.hpp>
#include <ql/instruments/makeyoyinflationcapfloor.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <utility>

namespace QuantLib {

    MakeYoYInflationCapFloor::MakeYoYInflationCapFloor(YoYInflationCapFloor::Type capFloorType,
                                                       ext::shared_ptr<YoYInflationIndex> index,
                                                       const Size& length,
                                                       Calendar cal,
                                                       const Period& observationLag,
                                                       CPI::InterpolationType interpolation)
    : capFloorType_(capFloorType), length_(length), calendar_(std::move(cal)),
      index_(std::move(index)), observationLag_(observationLag),
      interpolation_(interpolation), strike_(Null<Rate>()),

      dayCounter_(Thirty360(Thirty360::BondBasis)) {}

    MakeYoYInflationCapFloor::operator YoYInflationCapFloor() const {
        ext::shared_ptr<YoYInflationCapFloor> capfloor = *this;
        return *capfloor;
    }

    MakeYoYInflationCapFloor::operator ext::shared_ptr<YoYInflationCapFloor>() const {

        Date startDate;
        if (effectiveDate_ != Date()) {
            startDate = effectiveDate_;
        } else {
            Date referenceDate = Settings::instance().evaluationDate();
            Date spotDate = calendar_.advance(referenceDate,
                                              fixingDays_*Days);
            startDate = spotDate+forwardStart_;
        }

        Date endDate = calendar_.advance(startDate,length_*Years,Unadjusted);
        Schedule schedule(startDate, endDate, Period(Annual), calendar_,
                          Unadjusted, Unadjusted, // ref periods & acc periods
                          DateGeneration::Forward, false);
        Leg leg = yoyInflationLeg(schedule, calendar_, index_,
                                  observationLag_, interpolation_)
        .withPaymentAdjustment(roll_)
        .withPaymentDayCounter(dayCounter_)
        .withNotionals(nominal_)
        ;

        if (firstCapletExcluded_)
            leg.erase(leg.begin());

        // only leaves the last coupon
        if (asOptionlet_ && leg.size() > 1) {
            auto end = leg.end(); // Sun Studio needs an lvalue
            leg.erase(leg.begin(), --end);
        }

        std::vector<Rate> strikeVector(1, strike_);
        if (strike_ == Null<Rate>()) {
            // ATM on the forecasting curve
            strikeVector[0] = CashFlows::atmRate(leg, **nominalTermStructure_,
                                                 false, nominalTermStructure_->referenceDate());
        }

        ext::shared_ptr<YoYInflationCapFloor> capFloor(new
                    YoYInflationCapFloor(capFloorType_, leg, strikeVector));
        capFloor->setPricingEngine(engine_);
        return capFloor;
    }

    MakeYoYInflationCapFloor& MakeYoYInflationCapFloor::withNominal(Real n) {
        nominal_ = n;
        return *this;
    }

    MakeYoYInflationCapFloor& MakeYoYInflationCapFloor::withEffectiveDate(
                                            const Date& effectiveDate) {
        effectiveDate_ = effectiveDate;
        return *this;
    }

    MakeYoYInflationCapFloor&
    MakeYoYInflationCapFloor::withPaymentAdjustment(BusinessDayConvention bdc) {
        roll_ = bdc;
        return *this;
    }

    MakeYoYInflationCapFloor&
    MakeYoYInflationCapFloor::withPaymentDayCounter(const DayCounter& dc) {
        dayCounter_ = dc;
        return *this;
    }

    MakeYoYInflationCapFloor&
    MakeYoYInflationCapFloor::withFixingDays(Natural n) {
        fixingDays_ = n;
        return *this;
    }

    MakeYoYInflationCapFloor& MakeYoYInflationCapFloor::asOptionlet(bool b) {
        asOptionlet_ = b;
        return *this;
    }

    MakeYoYInflationCapFloor& MakeYoYInflationCapFloor::withPricingEngine(
        const ext::shared_ptr<PricingEngine>& engine) {
        engine_ = engine;
        return *this;
    }

    MakeYoYInflationCapFloor&
    MakeYoYInflationCapFloor::withStrike(Rate strike) {
        QL_REQUIRE(nominalTermStructure_.empty(), "ATM strike already given");
        strike_ = strike;
        return *this;
    }

    MakeYoYInflationCapFloor&
    MakeYoYInflationCapFloor::withAtmStrike(
                      const Handle<YieldTermStructure>& nominalTermStructure) {
        QL_REQUIRE(strike_ == Null<Rate>(), "explicit strike already given");
        nominalTermStructure_ = nominalTermStructure;
        return *this;
    }

    MakeYoYInflationCapFloor&
    MakeYoYInflationCapFloor::withForwardStart(Period forwardStart) {
        forwardStart_ = forwardStart;
        return *this;
    }

}


1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2006, 2007 Ferdinando Ametrano
5	Copyright (C) 2007 StatPro Italia srl
6	Copyright (C) 2009 Chris Kenyon
7
8	This file is part of QuantLib, a free-software/open-source library
9	for financial quantitative analysts and developers - http://quantlib.org/
10
11	QuantLib is free software: you can redistribute it and/or modify it
12	under the terms of the QuantLib license. You should have received a
13	copy of the license along with this program; if not, please email
14	<quantlib-dev@lists.sf.net>. The license is also available online at
15	<https://www.quantlib.org/license.shtml>.
16
17	This program is distributed in the hope that it will be useful, but WITHOUT
18	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19	FOR A PARTICULAR PURPOSE. See the license for more details.
20	*/
21
22	#include <ql/cashflows/cashflows.hpp>
23	#include <ql/instruments/makeyoyinflationcapfloor.hpp>
24	#include <ql/time/daycounters/thirty360.hpp>
25	#include <utility>
26
27	namespace QuantLib {
28
29	MakeYoYInflationCapFloor::MakeYoYInflationCapFloor(YoYInflationCapFloor::Type capFloorType,	88✔
30	ext::shared_ptr<YoYInflationIndex> index,
31	const Size& length,
32	Calendar cal,
33	const Period& observationLag,
34	CPI::InterpolationType interpolation)	88✔
35	: capFloorType_(capFloorType), length_(length), calendar_(std::move(cal)),	88✔
36	index_(std::move(index)), observationLag_(observationLag),	88✔
37	interpolation_(interpolation), strike_(Null<Rate>()),	88✔
38
39	dayCounter_(Thirty360(Thirty360::BondBasis)) {}	176✔
40
41	MakeYoYInflationCapFloor::operator YoYInflationCapFloor() const {	×
UNCOV 42	ext::shared_ptr<YoYInflationCapFloor> capfloor = *this;	×
UNCOV 43	return *capfloor;	×
44	}
45
46	MakeYoYInflationCapFloor::operator ext::shared_ptr<YoYInflationCapFloor>() const {	88✔
47
48	Date startDate;	88✔
49	if (effectiveDate_ != Date()) {	88✔
50	startDate = effectiveDate_;	×
51	} else {
52	Date referenceDate = Settings::instance().evaluationDate();	88✔
53	Date spotDate = calendar_.advance(referenceDate,	88✔
54	fixingDays_*Days);	88✔
55	startDate = spotDate+forwardStart_;	88✔
56	}
57
58	Date endDate = calendar_.advance(startDate,length_*Years,Unadjusted);	88✔
59	Schedule schedule(startDate, endDate, Period(Annual), calendar_,	176✔
60	Unadjusted, Unadjusted, // ref periods & acc periods
61	DateGeneration::Forward, false);	176✔
62	Leg leg = yoyInflationLeg(schedule, calendar_, index_,	176✔
63	observationLag_, interpolation_)	88✔
64	.withPaymentAdjustment(roll_)	88✔
65	.withPaymentDayCounter(dayCounter_)	88✔
66	.withNotionals(nominal_)	88✔
67	;
68
69	if (firstCapletExcluded_)	88✔
70	leg.erase(leg.begin());
71
72	// only leaves the last coupon
73	if (asOptionlet_ && leg.size() > 1) {	88✔
74	auto end = leg.end(); // Sun Studio needs an lvalue
75	leg.erase(leg.begin(), --end);
76	}
77
78	std::vector<Rate> strikeVector(1, strike_);	88✔
79	if (strike_ == Null<Rate>()) {	88✔
80	// ATM on the forecasting curve
UNCOV 81	strikeVector[0] = CashFlows::atmRate(leg, **nominalTermStructure_,	×
UNCOV 82	false, nominalTermStructure_->referenceDate());	×
83	}
84
85	ext::shared_ptr<YoYInflationCapFloor> capFloor(new
86	YoYInflationCapFloor(capFloorType_, leg, strikeVector));	88✔
87	capFloor->setPricingEngine(engine_);	88✔
88	return capFloor;	88✔
89	}	88✔
90
91	MakeYoYInflationCapFloor& MakeYoYInflationCapFloor::withNominal(Real n) {	88✔
92	nominal_ = n;	88✔
93	return *this;	88✔
94	}
95
UNCOV 96	MakeYoYInflationCapFloor& MakeYoYInflationCapFloor::withEffectiveDate(	×
97	const Date& effectiveDate) {
UNCOV 98	effectiveDate_ = effectiveDate;	×
UNCOV 99	return *this;	×
100	}
101
102	MakeYoYInflationCapFloor&
103	MakeYoYInflationCapFloor::withPaymentAdjustment(BusinessDayConvention bdc) {	×
UNCOV 104	roll_ = bdc;	×
105	return *this;	×
106	}
107
108	MakeYoYInflationCapFloor&
109	MakeYoYInflationCapFloor::withPaymentDayCounter(const DayCounter& dc) {	77✔
110	dayCounter_ = dc;
111	return *this;	77✔
112	}
113
114	MakeYoYInflationCapFloor&
115	MakeYoYInflationCapFloor::withFixingDays(Natural n) {	77✔
116	fixingDays_ = n;	77✔
117	return *this;	77✔
118	}
119
UNCOV 120	MakeYoYInflationCapFloor& MakeYoYInflationCapFloor::asOptionlet(bool b) {	×
UNCOV 121	asOptionlet_ = b;	×
UNCOV 122	return *this;	×
123	}
124
UNCOV 125	MakeYoYInflationCapFloor& MakeYoYInflationCapFloor::withPricingEngine(	×
126	const ext::shared_ptr<PricingEngine>& engine) {
127	engine_ = engine;	×
128	return *this;	×
129	}
130
131	MakeYoYInflationCapFloor&
132	MakeYoYInflationCapFloor::withStrike(Rate strike) {	88✔
133	QL_REQUIRE(nominalTermStructure_.empty(), "ATM strike already given");	88✔
134	strike_ = strike;	88✔
135	return *this;	88✔
136	}
137
138	MakeYoYInflationCapFloor&
UNCOV 139	MakeYoYInflationCapFloor::withAtmStrike(	×
140	const Handle<YieldTermStructure>& nominalTermStructure) {
UNCOV 141	QL_REQUIRE(strike_ == Null<Rate>(), "explicit strike already given");	×
142	nominalTermStructure_ = nominalTermStructure;
UNCOV 143	return *this;	×
144	}
145
146	MakeYoYInflationCapFloor&
UNCOV 147	MakeYoYInflationCapFloor::withForwardStart(Period forwardStart) {	×
148	forwardStart_ = forwardStart;	×
UNCOV 149	return *this;	×
150	}
151
152	}
153

lballabio / QuantLib / 18905857194

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