/src/quantlib/ql/instruments/yearonyearinflationswap.cpp

Source
/* -*- 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>();
    }

}


Coverage Report

Created: 2026-06-23 06:40

Line	Count	Source
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,
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)
47	0	: Swap(2), type_(type), nominal_(nominal), fixedSchedule_(std::move(fixedSchedule)),
48	0	fixedRate_(fixedRate), fixedDayCount_(std::move(fixedDayCount)),
49	0	yoySchedule_(std::move(yoySchedule)), yoyIndex_(std::move(yoyIndex)),
50	0	observationLag_(observationLag), spread_(spread), yoyDayCount_(std::move(yoyDayCount)),
51	0	paymentCalendar_(std::move(paymentCalendar)), paymentConvention_(paymentConvention) {
52		// N.B. fixed leg gets its calendar from the schedule!
53	0	Leg fixedLeg = FixedRateLeg(fixedSchedule_)
54	0	.withNotionals(nominal_)
55	0	.withCouponRates(fixedRate_, fixedDayCount_) // Simple compounding by default
56	0	.withPaymentAdjustment(paymentConvention_);
57
58	0	Leg yoyLeg = yoyInflationLeg(yoySchedule_, paymentCalendar_, yoyIndex_,
59	0	observationLag_, interpolation)
60	0	.withNotionals(nominal_)
61	0	.withPaymentDayCounter(yoyDayCount_)
62	0	.withPaymentAdjustment(paymentConvention_)
63	0	.withSpreads(spread_);
64
65	0	Leg::const_iterator i;
66	0	for (i = yoyLeg.begin(); i < yoyLeg.end(); ++i)
67	0	registerWith(*i);
68
69	0	legs_[0] = fixedLeg;
70	0	legs_[1] = yoyLeg;
71	0	if (type_==Payer) {
72	0	payer_[0] = -1.0;
73	0	payer_[1] = +1.0;
74	0	} else {
75	0	payer_[0] = +1.0;
76	0	payer_[1] = -1.0;
77	0	}
78	0	} Unexecuted instantiation: QuantLib::YearOnYearInflationSwap::YearOnYearInflationSwap(QuantLib::Swap::Type, double, QuantLib::Schedule, double, QuantLib::DayCounter, QuantLib::Schedule, boost::shared_ptr<QuantLib::YoYInflationIndex>, QuantLib::Period const&, QuantLib::CPI::InterpolationType, double, QuantLib::DayCounter, QuantLib::Calendar, QuantLib::BusinessDayConvention) Unexecuted instantiation: QuantLib::YearOnYearInflationSwap::YearOnYearInflationSwap(QuantLib::Swap::Type, double, QuantLib::Schedule, double, QuantLib::DayCounter, QuantLib::Schedule, boost::shared_ptr<QuantLib::YoYInflationIndex>, QuantLib::Period const&, QuantLib::CPI::InterpolationType, double, QuantLib::DayCounter, QuantLib::Calendar, QuantLib::BusinessDayConvention)
79
80	0	void YearOnYearInflationSwap::setupArguments(PricingEngine::arguments* args) const {
81
82	0	Swap::setupArguments(args);
83
84	0	auto* arguments = dynamic_cast<YearOnYearInflationSwap::arguments*>(args);
85
86	0	if (arguments == nullptr) // it's a swap engine...
87	0	return;
88
89	0	arguments->type = type_;
90	0	arguments->nominal = nominal_;
91
92	0	const Leg& fixedCoupons = fixedLeg();
93
94	0	arguments->fixedResetDates = arguments->fixedPayDates =
95	0	std::vector<Date>(fixedCoupons.size());
96	0	arguments->fixedCoupons = std::vector<Real>(fixedCoupons.size());
97
98	0	for (Size i=0; i<fixedCoupons.size(); ++i) {
99	0	ext::shared_ptr<FixedRateCoupon> coupon =
100	0	ext::dynamic_pointer_cast<FixedRateCoupon>(fixedCoupons[i]);
101
102	0	arguments->fixedPayDates[i] = coupon->date();
103	0	arguments->fixedResetDates[i] = coupon->accrualStartDate();
104	0	arguments->fixedCoupons[i] = coupon->amount();
105	0	}
106
107	0	const Leg& yoyCoupons = yoyLeg();
108
109	0	arguments->yoyResetDates = arguments->yoyPayDates =
110	0	arguments->yoyFixingDates =
111	0	std::vector<Date>(yoyCoupons.size());
112	0	arguments->yoyAccrualTimes =
113	0	std::vector<Time>(yoyCoupons.size());
114	0	arguments->yoySpreads =
115	0	std::vector<Spread>(yoyCoupons.size());
116	0	arguments->yoyCoupons = std::vector<Real>(yoyCoupons.size());
117	0	for (Size i=0; i<yoyCoupons.size(); ++i) {
118	0	ext::shared_ptr<YoYInflationCoupon> coupon =
119	0	ext::dynamic_pointer_cast<YoYInflationCoupon>(yoyCoupons[i]);
120
121	0	arguments->yoyResetDates[i] = coupon->accrualStartDate();
122	0	arguments->yoyPayDates[i] = coupon->date();
123
124	0	arguments->yoyFixingDates[i] = coupon->fixingDate();
125	0	arguments->yoyAccrualTimes[i] = coupon->accrualPeriod();
126	0	arguments->yoySpreads[i] = coupon->spread();
127	0	try {
128	0	arguments->yoyCoupons[i] = coupon->amount();
129	0	} catch (Error&) {
130	0	arguments->yoyCoupons[i] = Null<Real>();
131	0	}
132	0	}
133	0	}
134
135
136	0	Rate YearOnYearInflationSwap::fairRate() const {
137	0	calculate();
138	0	QL_REQUIRE(fairRate_ != Null<Rate>(), "result not available");
139	0	return fairRate_;
140	0	}
141
142	0	Spread YearOnYearInflationSwap::fairSpread() const {
143	0	calculate();
144	0	QL_REQUIRE(fairSpread_ != Null<Spread>(), "result not available");
145	0	return fairSpread_;
146	0	}
147
148
149	0	Real YearOnYearInflationSwap::fixedLegNPV() const {
150	0	calculate();
151	0	QL_REQUIRE(legNPV_[0] != Null<Real>(), "result not available");
152	0	return legNPV_[0];
153	0	}
154
155	0	Real YearOnYearInflationSwap::yoyLegNPV() const {
156	0	calculate();
157	0	QL_REQUIRE(legNPV_[1] != Null<Real>(), "result not available");
158	0	return legNPV_[1];
159	0	}
160
161	0	void YearOnYearInflationSwap::setupExpired() const {
162	0	Swap::setupExpired();
163	0	legBPS_[0] = legBPS_[1] = 0.0;
164	0	fairRate_ = Null<Rate>();
165	0	fairSpread_ = Null<Spread>();
166	0	}
167
168	0	void YearOnYearInflationSwap::fetchResults(const PricingEngine::results* r) const {
169	0	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	0	Swap::fetchResults(r);
176
177	0	const auto* results = dynamic_cast<const YearOnYearInflationSwap::results*>(r);
178	0	if (results != nullptr) { // might be a swap engine, so no error is thrown
179	0	fairRate_ = results->fairRate;
180	0	fairSpread_ = results->fairSpread;
181	0	} else {
182	0	fairRate_ = Null<Rate>();
183	0	fairSpread_ = Null<Spread>();
184	0	}
185
186	0	if (fairRate_ == Null<Rate>()) {
187		// calculate it from other results
188	0	if (legBPS_[0] != Null<Real>())
189	0	fairRate_ = fixedRate_ - NPV_/(legBPS_[0]/basisPoint);
190	0	}
191	0	if (fairSpread_ == Null<Spread>()) {
192		// ditto
193	0	if (legBPS_[1] != Null<Real>())
194	0	fairSpread_ = spread_ - NPV_/(legBPS_[1]/basisPoint);
195	0	}
196
197	0	}
198
199	0	void YearOnYearInflationSwap::arguments::validate() const {
200	0	Swap::arguments::validate();
201	0	QL_REQUIRE(nominal != Null<Real>(), "nominal null or not set");
202	0	QL_REQUIRE(fixedResetDates.size() == fixedPayDates.size(),
203	0	"number of fixed start dates different from "
204	0	"number of fixed payment dates");
205	0	QL_REQUIRE(fixedPayDates.size() == fixedCoupons.size(),
206	0	"number of fixed payment dates different from "
207	0	"number of fixed coupon amounts");
208	0	QL_REQUIRE(yoyResetDates.size() == yoyPayDates.size(),
209	0	"number of yoy start dates different from "
210	0	"number of yoy payment dates");
211	0	QL_REQUIRE(yoyFixingDates.size() == yoyPayDates.size(),
212	0	"number of yoy fixing dates different from "
213	0	"number of yoy payment dates");
214	0	QL_REQUIRE(yoyAccrualTimes.size() == yoyPayDates.size(),
215	0	"number of yoy accrual Times different from "
216	0	"number of yoy payment dates");
217	0	QL_REQUIRE(yoySpreads.size() == yoyPayDates.size(),
218	0	"number of yoy spreads different from "
219	0	"number of yoy payment dates");
220	0	QL_REQUIRE(yoyPayDates.size() == yoyCoupons.size(),
221	0	"number of yoy payment dates different from "
222	0	"number of yoy coupon amounts");
223	0	}
224
225	0	void YearOnYearInflationSwap::results::reset() {
226	0	Swap::results::reset();
227	0	fairRate = Null<Rate>();
228	0	fairSpread = Null<Spread>();
229	0	}
230
231		}
232