18905857194

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

Build # 18905857194

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Merge d353587bf into d823f4ecb

Pull Request Pull Request #2344: add multicurve bootstrap

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14.81

/ql/instruments/yearonyearinflationswap.hpp

/* -*- 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.
 */

/*! \file yearonyearinflationswap.hpp
 \brief Year-on-year inflation-indexed swap
 */

#ifndef quantlib_yyiis_hpp
#define quantlib_yyiis_hpp

#include <ql/instruments/swap.hpp>
#include <ql/indexes/inflationindex.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/schedule.hpp>

namespace QuantLib {

    //! Year-on-year inflation-indexed swap
    /*! Quoted as a fixed rate \f$ K \f$.  At start:
        \f[
        \sum_{i=1}^{M} P_n(0,t_i) N K =
        \sum_{i=1}^{M} P_n(0,t_i) N \left[ \frac{I(t_i)}{I(t_i-1)} - 1 \right]
        \f]
        where \f$ t_M \f$ is the maturity time, \f$ P_n(0,t) \f$ is the
        nominal discount factor at time \f$ t \f$, \f$ N \f$ is the
        notional, and \f$ I(t) \f$ is the inflation index value at
        time \f$ t \f$.
    */
    class YearOnYearInflationSwap : public Swap {
    public:
        class arguments;
        class results;
        class engine;
        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, // inflation index does not have a calendar
            BusinessDayConvention paymentConvention = ModifiedFollowing);

        // results
        virtual Real fixedLegNPV() const;
        virtual Rate fairRate() const;

        virtual Real yoyLegNPV() const;
        virtual Spread fairSpread() const;
        // inspectors
        virtual Type type() const;
        virtual Real nominal() const;

        virtual const Schedule& fixedSchedule() const;
        virtual Rate fixedRate() const;
        virtual const DayCounter& fixedDayCount() const;

        virtual const Schedule& yoySchedule() const;
        virtual const ext::shared_ptr<YoYInflationIndex>& yoyInflationIndex() const;
        virtual Period observationLag() const { return observationLag_; }
        virtual Spread spread() const;
        virtual const DayCounter& yoyDayCount() const;

        virtual Calendar paymentCalendar() const { return paymentCalendar_; }
        virtual BusinessDayConvention paymentConvention() const;

        virtual const Leg& fixedLeg() const;
        virtual const Leg& yoyLeg() const;

        // other
        void setupArguments(PricingEngine::arguments* args) const override;
        void fetchResults(const PricingEngine::results*) const override;
        ~YearOnYearInflationSwap() override = default;

      private:
        void setupExpired() const override;
        Type type_;
        Real nominal_;
        Schedule fixedSchedule_;
        Rate fixedRate_;
        DayCounter fixedDayCount_;
        Schedule yoySchedule_;
        ext::shared_ptr<YoYInflationIndex> yoyIndex_;
        Period observationLag_;
        Spread spread_;
        DayCounter yoyDayCount_;
        Calendar paymentCalendar_;
        BusinessDayConvention paymentConvention_;
        // results
        mutable Rate fairRate_;
        mutable Spread fairSpread_;
    };


    //! %Arguments for YoY swap calculation
    class YearOnYearInflationSwap::arguments : public Swap::arguments {
    public:
      arguments() : nominal(Null<Real>()) {}
      Type type = Receiver;
      Real nominal;

      std::vector<Date> fixedResetDates;
      std::vector<Date> fixedPayDates;
      std::vector<Time> yoyAccrualTimes;
      std::vector<Date> yoyResetDates;
      std::vector<Date> yoyFixingDates;
      std::vector<Date> yoyPayDates;

      std::vector<Real> fixedCoupons;
      std::vector<Spread> yoySpreads;
      std::vector<Real> yoyCoupons;
      void validate() const override;
    };

    //! %Results from YoY swap calculation
    class YearOnYearInflationSwap::results : public Swap::results {
    public:
        Rate fairRate;
        Spread fairSpread;
        void reset() override;
    };

    class YearOnYearInflationSwap::engine : public GenericEngine<YearOnYearInflationSwap::arguments,
                                                                 YearOnYearInflationSwap::results> {};


    // inline definitions

    inline Swap::Type YearOnYearInflationSwap::type() const {
        return type_;
    }

    inline Real YearOnYearInflationSwap::nominal() const {
        return nominal_;
    }

    inline const Schedule& YearOnYearInflationSwap::fixedSchedule() const {
        return fixedSchedule_;
    }

    inline Rate YearOnYearInflationSwap::fixedRate() const {
        return fixedRate_;
    }

    inline const DayCounter& YearOnYearInflationSwap::fixedDayCount() const {
        return fixedDayCount_;
    }

    inline const Schedule& YearOnYearInflationSwap::yoySchedule() const {
        return yoySchedule_;
    }

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

    inline Spread YearOnYearInflationSwap::spread() const {
        return spread_;
    }

    inline const DayCounter& YearOnYearInflationSwap::yoyDayCount() const {
        return yoyDayCount_;
    }

    inline BusinessDayConvention YearOnYearInflationSwap::paymentConvention() const {
        return paymentConvention_;
    }

    inline const Leg& YearOnYearInflationSwap::fixedLeg() const {
        return legs_[0];
    }

    inline const Leg& YearOnYearInflationSwap::yoyLeg() const {
        return legs_[1];
    }

}

#endif


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	/*! \file yearonyearinflationswap.hpp
22	\brief Year-on-year inflation-indexed swap
23	*/
24
25	#ifndef quantlib_yyiis_hpp
26	#define quantlib_yyiis_hpp
27
28	#include <ql/instruments/swap.hpp>
29	#include <ql/indexes/inflationindex.hpp>
30	#include <ql/time/calendar.hpp>
31	#include <ql/time/daycounter.hpp>
32	#include <ql/time/schedule.hpp>
33
34	namespace QuantLib {
35
36	//! Year-on-year inflation-indexed swap
37	/*! Quoted as a fixed rate \f$ K \f$. At start:
38	\f[
39	\sum_{i=1}^{M} P_n(0,t_i) N K =
40	\sum_{i=1}^{M} P_n(0,t_i) N \left[ \frac{I(t_i)}{I(t_i-1)} - 1 \right]
41	\f]
42	where \f$ t_M \f$ is the maturity time, \f$ P_n(0,t) \f$ is the
43	nominal discount factor at time \f$ t \f$, \f$ N \f$ is the
44	notional, and \f$ I(t) \f$ is the inflation index value at
45	time \f$ t \f$.
46	*/
47	class YearOnYearInflationSwap : public Swap {
48	public:
49	class arguments;
50	class results;
51	class engine;
52	YearOnYearInflationSwap(
53	Type type,
54	Real nominal,
55	Schedule fixedSchedule,
56	Rate fixedRate,
57	DayCounter fixedDayCount,
58	Schedule yoySchedule,
59	ext::shared_ptr<YoYInflationIndex> yoyIndex,
60	const Period& observationLag,
61	CPI::InterpolationType interpolation,
62	Spread spread,
63	DayCounter yoyDayCount,
64	Calendar paymentCalendar, // inflation index does not have a calendar
65	BusinessDayConvention paymentConvention = ModifiedFollowing);
66
67	// results
68	virtual Real fixedLegNPV() const;
69	virtual Rate fairRate() const;
70
71	virtual Real yoyLegNPV() const;
72	virtual Spread fairSpread() const;
73	// inspectors
74	virtual Type type() const;
75	virtual Real nominal() const;
76
77	virtual const Schedule& fixedSchedule() const;
78	virtual Rate fixedRate() const;
79	virtual const DayCounter& fixedDayCount() const;
80
81	virtual const Schedule& yoySchedule() const;
82	virtual const ext::shared_ptr<YoYInflationIndex>& yoyInflationIndex() const;
UNCOV 83	virtual Period observationLag() const { return observationLag_; }	×
84	virtual Spread spread() const;
85	virtual const DayCounter& yoyDayCount() const;
86
UNCOV 87	virtual Calendar paymentCalendar() const { return paymentCalendar_; }	×
88	virtual BusinessDayConvention paymentConvention() const;
89
90	virtual const Leg& fixedLeg() const;
91	virtual const Leg& yoyLeg() const;
92
93	// other
94	void setupArguments(PricingEngine::arguments* args) const override;
95	void fetchResults(const PricingEngine::results*) const override;
96	~YearOnYearInflationSwap() override = default;	5,619✔
97
98	private:
99	void setupExpired() const override;
100	Type type_;
101	Real nominal_;
102	Schedule fixedSchedule_;
103	Rate fixedRate_;
104	DayCounter fixedDayCount_;
105	Schedule yoySchedule_;
106	ext::shared_ptr<YoYInflationIndex> yoyIndex_;
107	Period observationLag_;
108	Spread spread_;
109	DayCounter yoyDayCount_;
110	Calendar paymentCalendar_;
111	BusinessDayConvention paymentConvention_;
112	// results
113	mutable Rate fairRate_;
114	mutable Spread fairSpread_;
115	};
116
117
118	//! %Arguments for YoY swap calculation
119	class YearOnYearInflationSwap::arguments : public Swap::arguments {
120	public:
121	arguments() : nominal(Null<Real>()) {}
122	Type type = Receiver;
123	Real nominal;
124
125	std::vector<Date> fixedResetDates;
126	std::vector<Date> fixedPayDates;
127	std::vector<Time> yoyAccrualTimes;
128	std::vector<Date> yoyResetDates;
129	std::vector<Date> yoyFixingDates;
130	std::vector<Date> yoyPayDates;
131
132	std::vector<Real> fixedCoupons;
133	std::vector<Spread> yoySpreads;
134	std::vector<Real> yoyCoupons;
135	void validate() const override;
136	};
137
138	//! %Results from YoY swap calculation
139	class YearOnYearInflationSwap::results : public Swap::results {
140	public:
141	Rate fairRate;
142	Spread fairSpread;
143	void reset() override;
144	};
145
146	class YearOnYearInflationSwap::engine : public GenericEngine<YearOnYearInflationSwap::arguments,
147	YearOnYearInflationSwap::results> {};
148
149
150	// inline definitions
151
UNCOV 152	inline Swap::Type YearOnYearInflationSwap::type() const {	×
UNCOV 153	return type_;	×
154	}
155
UNCOV 156	inline Real YearOnYearInflationSwap::nominal() const {	×
UNCOV 157	return nominal_;	×
158	}
159
UNCOV 160	inline const Schedule& YearOnYearInflationSwap::fixedSchedule() const {	×
UNCOV 161	return fixedSchedule_;	×
162	}
163
UNCOV 164	inline Rate YearOnYearInflationSwap::fixedRate() const {	×
UNCOV 165	return fixedRate_;	×
166	}
167
168	inline const DayCounter& YearOnYearInflationSwap::fixedDayCount() const {	×
169	return fixedDayCount_;	×
170	}
171
172	inline const Schedule& YearOnYearInflationSwap::yoySchedule() const {	×
173	return yoySchedule_;	×
174	}
175
176	inline const ext::shared_ptr<YoYInflationIndex>& YearOnYearInflationSwap::yoyInflationIndex() const {	×
177	return yoyIndex_;	×
178	}
179
180	inline Spread YearOnYearInflationSwap::spread() const {	×
181	return spread_;	×
182	}
183
184	inline const DayCounter& YearOnYearInflationSwap::yoyDayCount() const {	×
185	return yoyDayCount_;	×
186	}
187
188	inline BusinessDayConvention YearOnYearInflationSwap::paymentConvention() const {	×
189	return paymentConvention_;	14✔
190	}
191
192	inline const Leg& YearOnYearInflationSwap::fixedLeg() const {	×
193	return legs_[0];	×
194	}
195
196	inline const Leg& YearOnYearInflationSwap::yoyLeg() const {	1✔
197	return legs_[1];	1✔
198	}
199
200	}
201
202	#endif
203

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