QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | Protected Attributes | List of all members
CPICapFloor Class Reference

CPI cap or floor. More...

#include <ql/instruments/cpicapfloor.hpp>

+ Inheritance diagram for CPICapFloor:

Public Member Functions

 CPICapFloor (Option::Type type, Real nominal, const Date &startDate, Real baseCPI, const Date &maturity, const Calendar &fixCalendar, BusinessDayConvention fixConvention, const Calendar &payCalendar, BusinessDayConvention payConvention, Rate strike, const Handle< ZeroInflationIndex > &infIndex, const Period &observationLag, CPI::InterpolationType observationInterpolation=CPI::AsIndex)
 
Inspectors
Option::Type type () const
 
Real nominal () const
 
Rate strike () const
 \( K \) in the above formula.
 
Date fixingDate () const
 
Date payDate () const
 
Handle< ZeroInflationIndexinflationIndex () const
 
Period observationLag () const
 
Instrument interface
bool isExpired () const
 returns whether the instrument might have value greater than zero.
 
void setupArguments (PricingEngine::arguments *) const
 
void fetchResults (const PricingEngine::results *r) const
 
- 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. More...
 
- 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

Option::Type type_
 
Real nominal_
 
Date startDate_
 
Date fixDate_
 
Date payDate_
 
Real baseCPI_
 
Date maturity_
 
Calendar fixCalendar_
 
BusinessDayConvention fixConvention_
 
Calendar payCalendar_
 
BusinessDayConvention payConvention_
 
Rate strike_
 
Handle< ZeroInflationIndexinfIndex_
 
Period observationLag_
 
CPI::InterpolationType observationInterpolation_
 
- 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 Instrument
void calculate () const
 
virtual void setupExpired () const
 
virtual void performCalculations () const
 
- Protected Member Functions inherited from LazyObject

Detailed Description

CPI cap or floor.

Quoted as a fixed strike rate \( K \). Payoff:

\[ P_n(0,T) \max(y (N [(1+K)^{T}-1] - N \left[ \frac{I(T)}{I(0)} -1 \right]), 0) \]

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 \( t \).

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.

N.B. a cpi cap or floor is an option, not a cap or floor on a coupon. Thus this is very similar to a ZCIIS and has a single flow, this is as usual for cpi because it is cumulative up to option maturity from base date.

We do not inherit from Option, although this would be reasonable, because we do not have that degree of generality.

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 Instrument.

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 Instrument.