Zero-coupon inflation-indexed swap. More...
#include <ql/instruments/zerocouponinflationswap.hpp>
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 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 |
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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. | |
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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... | |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (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_ |
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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_ |
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boost::shared_ptr< PricingEngine > | engine_ |
Real | NPV_ |
Real | errorEstimate_ |
Date | valuationDate_ |
std::map< std::string, boost::any > | additionalResults_ |
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bool | calculated_ |
bool | frozen_ |
Additional Inherited Members | |
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Swap (Size legs) | |
void | setupExpired () const |
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void | calculate () const |
virtual void | performCalculations () const |
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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.