ZeroCouponInflationSwap Class Reference

Zero-coupon inflation-indexed swap. More...

#include <ql/instruments/zerocouponinflationswap.hpp>

Inheritance diagram for ZeroCouponInflationSwap:

Public Types

enum  Type { Receiver = -1, Payer = 1 }
 

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 LegfixedLeg () const
 just one cashflow (that is not a coupon) in each leg
 
const LeginflationLeg () 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 Legleg (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 DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename 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.
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

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< Leglegs_
 
std::vector< Realpayer_
 
std::vector< ReallegNPV_
 
std::vector< ReallegBPS_
 
std::vector< DiscountFactorstartDiscounts_
 
std::vector< DiscountFactorendDiscounts_
 
DiscountFactor npvDateDiscount_
 
- Protected Attributes inherited from Instrument
boost::shared_ptr< PricingEngineengine_
 
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 

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
 

Detailed Description

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.

Note
we do not need Schedules on the legs because they use one or two dates only per leg.

Member Function Documentation

void setupArguments ( PricingEngine::arguments *  ) const
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.

void fetchResults ( const PricingEngine::results *  r) const
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.