Zero-coupon inflation-indexed swap. More...
#include <ql/instruments/zerocouponinflationswap.hpp>
Inheritance diagram for ZeroCouponInflationSwap:Public Types | |
| enum | Type { Receiver = -1, Payer = 1 } |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Public Member Functions | |
| ZeroCouponInflationSwap (Type type, Real nominal, const Date &startDate, const Date &maturity, const Calendar &fixCalendar, BusinessDayConvention fixConvention, const DayCounter &dayCounter, Rate fixedRate, const boost::shared_ptr< ZeroInflationIndex > &infIndex, const Period &observationLag, bool adjustInfObsDates=false, Calendar infCalendar=Calendar(), BusinessDayConvention infConvention=BusinessDayConvention()) | |
Inspectors | |
| Type | type () const |
| "payer" or "receiver" refer to the inflation-indexed leg | |
| Real | nominal () const |
| Date | startDate () const |
| Date | maturityDate () const |
| Calendar | fixedCalendar () const |
| BusinessDayConvention | fixedConvention () const |
| DayCounter | dayCounter () const |
| Rate | fixedRate () const |
| \( K \) in the above formula. | |
| boost::shared_ptr< ZeroInflationIndex > | inflationIndex () const |
| Period | observationLag () const |
| bool | adjustObservationDates () const |
| Calendar | inflationCalendar () const |
| BusinessDayConvention | inflationConvention () const |
| const Leg & | fixedLeg () const |
| just one cashflow (that is not a coupon) in each leg | |
| const Leg & | inflationLeg () const |
| just one cashflow (that is not a coupon) in each leg | |
Instrument interface | |
| void | setupArguments (PricingEngine::arguments *) const |
| void | fetchResults (const PricingEngine::results *r) const |
Results | |
| Real | fixedLegNPV () const |
| Real | inflationLegNPV () const |
| Real | fairRate () const |
Public Member Functions inherited from Swap | |
| Date | startDate () const |
| Date | maturityDate () const |
| Real | legBPS (Size j) const |
| Real | legNPV (Size j) const |
| DiscountFactor | startDiscounts (Size j) const |
| DiscountFactor | endDiscounts (Size j) const |
| DiscountFactor | npvDateDiscount () const |
| const Leg & | leg (Size j) const |
| Swap (const Leg &firstLeg, const Leg &secondLeg) | |
| Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) | |
| bool | isExpired () const |
| returns whether the instrument might have value greater than zero. | |
Public Member Functions inherited from Instrument | |
| Real | NPV () const |
| returns the net present value of the instrument. | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. | |
| const Date & | valuationDate () const |
| returns the date the net present value refers to. | |
| template<typename T > | |
| T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. | |
| const std::map< std::string, boost::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. | |
| void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
Public Member Functions inherited from LazyObject | |
| void | update () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| void | alwaysForwardNotifications () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Protected Attributes | |
| Type | type_ |
| Real | nominal_ |
| Date | startDate_ |
| Date | maturityDate_ |
| Calendar | fixCalendar_ |
| BusinessDayConvention | fixConvention_ |
| Rate | fixedRate_ |
| boost::shared_ptr< ZeroInflationIndex > | infIndex_ |
| Period | observationLag_ |
| bool | adjustInfObsDates_ |
| Calendar | infCalendar_ |
| BusinessDayConvention | infConvention_ |
| DayCounter | dayCounter_ |
| Date | baseDate_ |
| Date | obsDate_ |
Protected Attributes inherited from Swap | |
| std::vector< Leg > | legs_ |
| std::vector< Real > | payer_ |
| std::vector< Real > | legNPV_ |
| std::vector< Real > | legBPS_ |
| std::vector< DiscountFactor > | startDiscounts_ |
| std::vector< DiscountFactor > | endDiscounts_ |
| DiscountFactor | npvDateDiscount_ |
Protected Attributes inherited from Instrument | |
| boost::shared_ptr< PricingEngine > | engine_ |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, boost::any > | additionalResults_ |
Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
| bool | alwaysForward_ |
Additional Inherited Members | |
Protected Member Functions inherited from Swap | |
| Swap (Size legs) | |
| void | setupExpired () const |
Protected Member Functions inherited from Instrument | |
| void | calculate () const |
| virtual void | performCalculations () const |
Protected Member Functions inherited from LazyObject | |
Zero-coupon inflation-indexed swap.
Quoted as a fixed rate \( K \). At start:
\[ P_n(0,T) N [(1+K)^{T}-1] = P_n(0,T) N \left[ \frac{I(T)}{I(0)} -1 \right] \]
where \( T \) is the maturity time, \( P_n(0,t) \) is the nominal discount factor at time \( t \), \( N \) is the notional, and \( I(t) \) is the inflation index value at time \( t \).
This inherits from swap and has two very simple legs: a fixed leg, from the quote (K); and an indexed leg. At maturity the two single cashflows are swapped. These are the notional versus the inflation-indexed notional Because the coupons are zero there are no accruals (and no coupons).
Inflation is generally available on every day, including holidays and weekends. Hence there is a variable to state whether the observe/fix dates for inflation are adjusted or not. The default is not to adjust.
A zero inflation swap is a simple enough instrument that the standard discounting pricing engine that works for a vanilla swap also works.
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virtual |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Swap.
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virtual |
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from Swap.