18905857194

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

Build # 18905857194

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Pull #2344

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Merge d353587bf into d823f4ecb

Pull Request Pull Request #2344: add multicurve bootstrap

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41.82

/ql/instruments/yearonyearinflationswap.cpp

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

/*
 Copyright (C) 2007, 2009 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
 <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/cashflows/cashflowvectors.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/cashflows/yoyinflationcoupon.hpp>
#include <ql/indexes/inflationindex.hpp>
#include <ql/instruments/yearonyearinflationswap.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/time/schedule.hpp>
#include <utility>

namespace QuantLib {

    YearOnYearInflationSwap::YearOnYearInflationSwap(Type type,
                                                     Real nominal,
                                                     Schedule fixedSchedule,
                                                     Rate fixedRate,
                                                     DayCounter fixedDayCount,
                                                     Schedule yoySchedule,
                                                     ext::shared_ptr<YoYInflationIndex> yoyIndex,
                                                     const Period& observationLag,
                                                     CPI::InterpolationType interpolation,
                                                     Spread spread,
                                                     DayCounter yoyDayCount,
                                                     Calendar paymentCalendar,
                                                     BusinessDayConvention paymentConvention)
    : Swap(2), type_(type), nominal_(nominal), fixedSchedule_(std::move(fixedSchedule)),
      fixedRate_(fixedRate), fixedDayCount_(std::move(fixedDayCount)),
      yoySchedule_(std::move(yoySchedule)), yoyIndex_(std::move(yoyIndex)),
      observationLag_(observationLag), spread_(spread), yoyDayCount_(std::move(yoyDayCount)),
      paymentCalendar_(std::move(paymentCalendar)), paymentConvention_(paymentConvention) {
        // N.B. fixed leg gets its calendar from the schedule!
        Leg fixedLeg = FixedRateLeg(fixedSchedule_)
        .withNotionals(nominal_)
        .withCouponRates(fixedRate_, fixedDayCount_) // Simple compounding by default
        .withPaymentAdjustment(paymentConvention_);

        Leg yoyLeg = yoyInflationLeg(yoySchedule_, paymentCalendar_, yoyIndex_,
                                     observationLag_, interpolation)
        .withNotionals(nominal_)
        .withPaymentDayCounter(yoyDayCount_)
        .withPaymentAdjustment(paymentConvention_)
        .withSpreads(spread_);

        Leg::const_iterator i;
        for (i = yoyLeg.begin(); i < yoyLeg.end(); ++i)
            registerWith(*i);

        legs_[0] = fixedLeg;
        legs_[1] = yoyLeg;
        if (type_==Payer) {
            payer_[0] = -1.0;
            payer_[1] = +1.0;
        } else {
            payer_[0] = +1.0;
            payer_[1] = -1.0;
        }
    }

     void YearOnYearInflationSwap::setupArguments(PricingEngine::arguments* args) const {

        Swap::setupArguments(args);

        auto* arguments = dynamic_cast<YearOnYearInflationSwap::arguments*>(args);

        if (arguments == nullptr) // it's a swap engine...
            return;

        arguments->type = type_;
        arguments->nominal = nominal_;

        const Leg& fixedCoupons = fixedLeg();

        arguments->fixedResetDates = arguments->fixedPayDates =
        std::vector<Date>(fixedCoupons.size());
        arguments->fixedCoupons = std::vector<Real>(fixedCoupons.size());

        for (Size i=0; i<fixedCoupons.size(); ++i) {
            ext::shared_ptr<FixedRateCoupon> coupon =
            ext::dynamic_pointer_cast<FixedRateCoupon>(fixedCoupons[i]);

            arguments->fixedPayDates[i] = coupon->date();
            arguments->fixedResetDates[i] = coupon->accrualStartDate();
            arguments->fixedCoupons[i] = coupon->amount();
        }

        const Leg& yoyCoupons = yoyLeg();

        arguments->yoyResetDates = arguments->yoyPayDates =
        arguments->yoyFixingDates =
        std::vector<Date>(yoyCoupons.size());
        arguments->yoyAccrualTimes =
        std::vector<Time>(yoyCoupons.size());
        arguments->yoySpreads =
        std::vector<Spread>(yoyCoupons.size());
        arguments->yoyCoupons = std::vector<Real>(yoyCoupons.size());
        for (Size i=0; i<yoyCoupons.size(); ++i) {
            ext::shared_ptr<YoYInflationCoupon> coupon =
            ext::dynamic_pointer_cast<YoYInflationCoupon>(yoyCoupons[i]);

            arguments->yoyResetDates[i] = coupon->accrualStartDate();
            arguments->yoyPayDates[i] = coupon->date();

            arguments->yoyFixingDates[i] = coupon->fixingDate();
            arguments->yoyAccrualTimes[i] = coupon->accrualPeriod();
            arguments->yoySpreads[i] = coupon->spread();
            try {
                arguments->yoyCoupons[i] = coupon->amount();
            } catch (Error&) {
                arguments->yoyCoupons[i] = Null<Real>();
            }
        }
    }


    Rate YearOnYearInflationSwap::fairRate() const {
        calculate();
        QL_REQUIRE(fairRate_ != Null<Rate>(), "result not available");
        return fairRate_;
    }

    Spread YearOnYearInflationSwap::fairSpread() const {
        calculate();
        QL_REQUIRE(fairSpread_ != Null<Spread>(), "result not available");
        return fairSpread_;
    }


    Real YearOnYearInflationSwap::fixedLegNPV() const {
        calculate();
        QL_REQUIRE(legNPV_[0] != Null<Real>(), "result not available");
        return legNPV_[0];
    }

    Real YearOnYearInflationSwap::yoyLegNPV() const {
        calculate();
        QL_REQUIRE(legNPV_[1] != Null<Real>(), "result not available");
        return legNPV_[1];
    }

    void YearOnYearInflationSwap::setupExpired() const {
        Swap::setupExpired();
        legBPS_[0] = legBPS_[1] = 0.0;
        fairRate_ = Null<Rate>();
        fairSpread_ = Null<Spread>();
    }

    void YearOnYearInflationSwap::fetchResults(const PricingEngine::results* r) const {
        static const Spread basisPoint = 1.0e-4;

        // copy from VanillaSwap
        // works because similarly simple instrument
        // that we always expect to be priced with a swap engine

        Swap::fetchResults(r);

        const auto* results = dynamic_cast<const YearOnYearInflationSwap::results*>(r);
        if (results != nullptr) { // might be a swap engine, so no error is thrown
            fairRate_ = results->fairRate;
            fairSpread_ = results->fairSpread;
        } else {
            fairRate_ = Null<Rate>();
            fairSpread_ = Null<Spread>();
        }

        if (fairRate_ == Null<Rate>()) {
            // calculate it from other results
            if (legBPS_[0] != Null<Real>())
                fairRate_ = fixedRate_ - NPV_/(legBPS_[0]/basisPoint);
        }
        if (fairSpread_ == Null<Spread>()) {
            // ditto
            if (legBPS_[1] != Null<Real>())
                fairSpread_ = spread_ - NPV_/(legBPS_[1]/basisPoint);
        }

    }

    void YearOnYearInflationSwap::arguments::validate() const {
        Swap::arguments::validate();
        QL_REQUIRE(nominal != Null<Real>(), "nominal null or not set");
        QL_REQUIRE(fixedResetDates.size() == fixedPayDates.size(),
                   "number of fixed start dates different from "
                   "number of fixed payment dates");
        QL_REQUIRE(fixedPayDates.size() == fixedCoupons.size(),
                   "number of fixed payment dates different from "
                   "number of fixed coupon amounts");
        QL_REQUIRE(yoyResetDates.size() == yoyPayDates.size(),
                   "number of yoy start dates different from "
                   "number of yoy payment dates");
        QL_REQUIRE(yoyFixingDates.size() == yoyPayDates.size(),
                   "number of yoy fixing dates different from "
                   "number of yoy payment dates");
        QL_REQUIRE(yoyAccrualTimes.size() == yoyPayDates.size(),
                   "number of yoy accrual Times different from "
                   "number of yoy payment dates");
        QL_REQUIRE(yoySpreads.size() == yoyPayDates.size(),
                   "number of yoy spreads different from "
                   "number of yoy payment dates");
        QL_REQUIRE(yoyPayDates.size() == yoyCoupons.size(),
                   "number of yoy payment dates different from "
                   "number of yoy coupon amounts");
    }

    void YearOnYearInflationSwap::results::reset() {
        Swap::results::reset();
        fairRate = Null<Rate>();
        fairSpread = Null<Spread>();
    }

}


1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2007, 2009 Chris Kenyon
5	Copyright (C) 2009 StatPro Italia srl
6
7	This file is part of QuantLib, a free-software/open-source library
8	for financial quantitative analysts and developers - http://quantlib.org/
9
10	QuantLib is free software: you can redistribute it and/or modify it
11	under the terms of the QuantLib license. You should have received a
12	copy of the license along with this program; if not, please email
13	<quantlib-dev@lists.sf.net>. The license is also available online at
14	<https://www.quantlib.org/license.shtml>.
15
16	This program is distributed in the hope that it will be useful, but WITHOUT
17	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18	FOR A PARTICULAR PURPOSE. See the license for more details.
19	*/
20
21	#include <ql/cashflows/cashflows.hpp>
22	#include <ql/cashflows/cashflowvectors.hpp>
23	#include <ql/cashflows/couponpricer.hpp>
24	#include <ql/cashflows/fixedratecoupon.hpp>
25	#include <ql/cashflows/yoyinflationcoupon.hpp>
26	#include <ql/indexes/inflationindex.hpp>
27	#include <ql/instruments/yearonyearinflationswap.hpp>
28	#include <ql/termstructures/yieldtermstructure.hpp>
29	#include <ql/time/schedule.hpp>
30	#include <utility>
31
32	namespace QuantLib {
33
34	YearOnYearInflationSwap::YearOnYearInflationSwap(Type type,	1,873✔
35	Real nominal,
36	Schedule fixedSchedule,
37	Rate fixedRate,
38	DayCounter fixedDayCount,
39	Schedule yoySchedule,
40	ext::shared_ptr<YoYInflationIndex> yoyIndex,
41	const Period& observationLag,
42	CPI::InterpolationType interpolation,
43	Spread spread,
44	DayCounter yoyDayCount,
45	Calendar paymentCalendar,
46	BusinessDayConvention paymentConvention)	1,873✔
47	: Swap(2), type_(type), nominal_(nominal), fixedSchedule_(std::move(fixedSchedule)),	1,873✔
48	fixedRate_(fixedRate), fixedDayCount_(std::move(fixedDayCount)),	1,873✔
49	yoySchedule_(std::move(yoySchedule)), yoyIndex_(std::move(yoyIndex)),	1,873✔
50	observationLag_(observationLag), spread_(spread), yoyDayCount_(std::move(yoyDayCount)),	1,873✔
51	paymentCalendar_(std::move(paymentCalendar)), paymentConvention_(paymentConvention) {	1,873✔
52	// N.B. fixed leg gets its calendar from the schedule!
53	Leg fixedLeg = FixedRateLeg(fixedSchedule_)	3,746✔
54	.withNotionals(nominal_)	1,873✔
55	.withCouponRates(fixedRate_, fixedDayCount_) // Simple compounding by default	1,873✔
56	.withPaymentAdjustment(paymentConvention_);	1,873✔
57
58	Leg yoyLeg = yoyInflationLeg(yoySchedule_, paymentCalendar_, yoyIndex_,	3,746✔
59	observationLag_, interpolation)	1,873✔
60	.withNotionals(nominal_)	1,873✔
61	.withPaymentDayCounter(yoyDayCount_)	1,873✔
62	.withPaymentAdjustment(paymentConvention_)	1,873✔
63	.withSpreads(spread_);	1,873✔
64
65	Leg::const_iterator i;
66	for (i = yoyLeg.begin(); i < yoyLeg.end(); ++i)	17,434✔
67	registerWith(*i);	31,122✔
68
69	legs_[0] = fixedLeg;	1,873✔
70	legs_[1] = yoyLeg;	1,873✔
71	if (type_==Payer) {	1,873✔
72	payer_[0] = -1.0;	1,873✔
73	payer_[1] = +1.0;	1,873✔
74	} else {
75	payer_[0] = +1.0;	×
76	payer_[1] = -1.0;	×
77	}
78	}	1,873✔
79
80	void YearOnYearInflationSwap::setupArguments(PricingEngine::arguments* args) const {	2,678✔
81
82	Swap::setupArguments(args);	2,678✔
83
84	auto* arguments = dynamic_cast<YearOnYearInflationSwap::arguments*>(args);	2,678✔
85
86	if (arguments == nullptr) // it's a swap engine...	2,678✔
87	return;
88
UNCOV 89	arguments->type = type_;	×
UNCOV 90	arguments->nominal = nominal_;	×
91
UNCOV 92	const Leg& fixedCoupons = fixedLeg();	×
93
94	arguments->fixedResetDates = arguments->fixedPayDates =
UNCOV 95	std::vector<Date>(fixedCoupons.size());	×
UNCOV 96	arguments->fixedCoupons = std::vector<Real>(fixedCoupons.size());	×
97
UNCOV 98	for (Size i=0; i<fixedCoupons.size(); ++i) {	×
99	ext::shared_ptr<FixedRateCoupon> coupon =
UNCOV 100	ext::dynamic_pointer_cast<FixedRateCoupon>(fixedCoupons[i]);	×
101
UNCOV 102	arguments->fixedPayDates[i] = coupon->date();	×
UNCOV 103	arguments->fixedResetDates[i] = coupon->accrualStartDate();	×
UNCOV 104	arguments->fixedCoupons[i] = coupon->amount();	×
105	}
106
UNCOV 107	const Leg& yoyCoupons = yoyLeg();	×
108
109	arguments->yoyResetDates = arguments->yoyPayDates =
110	arguments->yoyFixingDates =
111	std::vector<Date>(yoyCoupons.size());	×
112	arguments->yoyAccrualTimes =
UNCOV 113	std::vector<Time>(yoyCoupons.size());	×
114	arguments->yoySpreads =
UNCOV 115	std::vector<Spread>(yoyCoupons.size());	×
116	arguments->yoyCoupons = std::vector<Real>(yoyCoupons.size());	×
UNCOV 117	for (Size i=0; i<yoyCoupons.size(); ++i) {	×
118	ext::shared_ptr<YoYInflationCoupon> coupon =
119	ext::dynamic_pointer_cast<YoYInflationCoupon>(yoyCoupons[i]);	×
120
UNCOV 121	arguments->yoyResetDates[i] = coupon->accrualStartDate();	×
UNCOV 122	arguments->yoyPayDates[i] = coupon->date();	×
123
UNCOV 124	arguments->yoyFixingDates[i] = coupon->fixingDate();	×
UNCOV 125	arguments->yoyAccrualTimes[i] = coupon->accrualPeriod();	×
UNCOV 126	arguments->yoySpreads[i] = coupon->spread();	×
127	try {
UNCOV 128	arguments->yoyCoupons[i] = coupon->amount();	×
129	} catch (Error&) {	×
UNCOV 130	arguments->yoyCoupons[i] = Null<Real>();	×
131	}	×
132	}
133	}
134
135
136	Rate YearOnYearInflationSwap::fairRate() const {	984✔
137	calculate();	984✔
138	QL_REQUIRE(fairRate_ != Null<Rate>(), "result not available");	984✔
139	return fairRate_;	984✔
140	}
141
142	Spread YearOnYearInflationSwap::fairSpread() const {	×
UNCOV 143	calculate();	×
144	QL_REQUIRE(fairSpread_ != Null<Spread>(), "result not available");	×
145	return fairSpread_;	×
146	}
147
148
UNCOV 149	Real YearOnYearInflationSwap::fixedLegNPV() const {	×
UNCOV 150	calculate();	×
UNCOV 151	QL_REQUIRE(legNPV_[0] != Null<Real>(), "result not available");	×
UNCOV 152	return legNPV_[0];	×
153	}
154
UNCOV 155	Real YearOnYearInflationSwap::yoyLegNPV() const {	×
UNCOV 156	calculate();	×
UNCOV 157	QL_REQUIRE(legNPV_[1] != Null<Real>(), "result not available");	×
158	return legNPV_[1];	×
159	}
160
161	void YearOnYearInflationSwap::setupExpired() const {	×
UNCOV 162	Swap::setupExpired();	×
UNCOV 163	legBPS_[0] = legBPS_[1] = 0.0;	×
UNCOV 164	fairRate_ = Null<Rate>();	×
165	fairSpread_ = Null<Spread>();	×
166	}	×
167
168	void YearOnYearInflationSwap::fetchResults(const PricingEngine::results* r) const {	2,678✔
169	static const Spread basisPoint = 1.0e-4;
170
171	// copy from VanillaSwap
172	// works because similarly simple instrument
173	// that we always expect to be priced with a swap engine
174
175	Swap::fetchResults(r);	2,678✔
176
177	const auto* results = dynamic_cast<const YearOnYearInflationSwap::results*>(r);	2,678✔
178	if (results != nullptr) { // might be a swap engine, so no error is thrown	2,678✔
179	fairRate_ = results->fairRate;	×
180	fairSpread_ = results->fairSpread;	×
181	} else {
182	fairRate_ = Null<Rate>();	2,678✔
183	fairSpread_ = Null<Spread>();	2,678✔
184	}
185
186	if (fairRate_ == Null<Rate>()) {	2,678✔
187	// calculate it from other results
188	if (legBPS_[0] != Null<Real>())	2,678✔
189	fairRate_ = fixedRate_ - NPV_/(legBPS_[0]/basisPoint);	2,678✔
190	}
191	if (fairSpread_ == Null<Spread>()) {	2,678✔
192	// ditto
193	if (legBPS_[1] != Null<Real>())	2,678✔
194	fairSpread_ = spread_ - NPV_/(legBPS_[1]/basisPoint);	2,678✔
195	}
196
197	}	2,678✔
198
UNCOV 199	void YearOnYearInflationSwap::arguments::validate() const {	×
UNCOV 200	Swap::arguments::validate();	×
UNCOV 201	QL_REQUIRE(nominal != Null<Real>(), "nominal null or not set");	×
UNCOV 202	QL_REQUIRE(fixedResetDates.size() == fixedPayDates.size(),	×
203	"number of fixed start dates different from "
204	"number of fixed payment dates");
UNCOV 205	QL_REQUIRE(fixedPayDates.size() == fixedCoupons.size(),	×
206	"number of fixed payment dates different from "
207	"number of fixed coupon amounts");
UNCOV 208	QL_REQUIRE(yoyResetDates.size() == yoyPayDates.size(),	×
209	"number of yoy start dates different from "
210	"number of yoy payment dates");
UNCOV 211	QL_REQUIRE(yoyFixingDates.size() == yoyPayDates.size(),	×
212	"number of yoy fixing dates different from "
213	"number of yoy payment dates");
UNCOV 214	QL_REQUIRE(yoyAccrualTimes.size() == yoyPayDates.size(),	×
215	"number of yoy accrual Times different from "
216	"number of yoy payment dates");
217	QL_REQUIRE(yoySpreads.size() == yoyPayDates.size(),	×
218	"number of yoy spreads different from "
219	"number of yoy payment dates");
UNCOV 220	QL_REQUIRE(yoyPayDates.size() == yoyCoupons.size(),	×
221	"number of yoy payment dates different from "
222	"number of yoy coupon amounts");
UNCOV 223	}	×
224
UNCOV 225	void YearOnYearInflationSwap::results::reset() {	×
UNCOV 226	Swap::results::reset();	×
227	fairRate = Null<Rate>();	×
UNCOV 228	fairSpread = Null<Spread>();	×
UNCOV 229	}	×
230
231	}
232

lballabio / QuantLib / 18905857194

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