CPICoupon Class Reference

Coupon paying the performance of a CPI (zero inflation) index More...

#include <ql/cashflows/cpicoupon.hpp>

Inheritance diagram for CPICoupon:

Public Member Functions
Constructors
	CPICoupon (Real baseCPI, const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::shared_ptr< ZeroInflationIndex > &index, const Period &observationLag, CPI::InterpolationType observationInterpolation, const DayCounter &dayCounter, Real fixedRate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
	CPICoupon (const Date &baseDate, const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::shared_ptr< ZeroInflationIndex > &index, const Period &observationLag, CPI::InterpolationType observationInterpolation, const DayCounter &dayCounter, Real fixedRate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
	CPICoupon (Real baseCPI, const Date &baseDate, const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::shared_ptr< ZeroInflationIndex > &index, const Period &observationLag, CPI::InterpolationType observationInterpolation, const DayCounter &dayCounter, Real fixedRate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
Inspectors
Real	fixedRate () const
	fixed rate that will be inflated by the index ratio
Rate	baseCPI () const
	base value for the CPI index
Date	baseDate () const
	base date for the base fixing of the CPI index
CPI::InterpolationType	observationInterpolation () const
	how do you observe the index? as-is, flat, linear?
ext::shared_ptr< ZeroInflationIndex >	cpiIndex () const
	index used
Calculations
Real	accruedAmount (const Date &) const override
	accrued amount at the given date
Rate	indexFixing () const override
	the index value observed (with a lag) at the end date
Rate	indexRatio (Date d) const
	the ratio between the index fixing at the passed date and the base CPI
Rate	adjustedIndexGrowth () const
	the ratio between the end index fixing and the base CPI
Public Member Functions inherited from InflationCoupon
	InflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, ext::shared_ptr< InflationIndex > index, const Period &observationLag, DayCounter dayCounter, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
Real	amount () const override
	returns the amount of the cash flow
Real	price (const Handle< YieldTermStructure > &discountingCurve) const
DayCounter	dayCounter () const override
	day counter for accrual calculation
Real	accruedAmount (const Date &) const override
	accrued amount at the given date
Rate	rate () const override
	accrued rate
const ext::shared_ptr< InflationIndex > &	index () const
	yoy inflation index
Period	observationLag () const
	how the coupon observes the index
Natural	fixingDays () const
	fixing days
virtual Date	fixingDate () const
	fixing date
void	performCalculations () const override
void	accept (AcyclicVisitor &) override
void	setPricer (const ext::shared_ptr< InflationCouponPricer > &)
ext::shared_ptr< InflationCouponPricer >	pricer () const
Public Member Functions inherited from Coupon
	Coupon (const Date &paymentDate, Real nominal, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
Date	date () const override
Date	exCouponDate () const override
	returns the date that the cash flow trades exCoupon
virtual Real	nominal () const
const Date &	accrualStartDate () const
	start of the accrual period
const Date &	accrualEndDate () const
	end of the accrual period
const Date &	referencePeriodStart () const
	start date of the reference period
const Date &	referencePeriodEnd () const
	end date of the reference period
Time	accrualPeriod () const
	accrual period as fraction of year
Date::serial_type	accrualDays () const
	accrual period in days
Time	accruedPeriod (const Date &) const
	accrued period as fraction of year at the given date
Date::serial_type	accruedDays (const Date &) const
	accrued days at the given date
Public Member Functions inherited from CashFlow
bool	hasOccurred (const Date &refDate=Date(), ext::optional< bool > includeRefDate=ext::nullopt) const override
	returns true if an event has already occurred before a date
bool	tradingExCoupon (const Date &refDate=Date()) const
	returns true if the cashflow is trading ex-coupon on the refDate
Public Member Functions inherited from Event
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Visitability
Real	baseCPI_
Real	fixedRate_
CPI::InterpolationType	observationInterpolation_
Date	baseDate_
void	accept (AcyclicVisitor &) override
bool	checkPricerImpl (const ext::shared_ptr< InflationCouponPricer > &) const override
	makes sure you were given the correct type of pricer

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
virtual void	calculate () const
ext::shared_ptr< InflationCouponPricer >	pricer_
ext::shared_ptr< InflationIndex >	index_
Period	observationLag_
DayCounter	dayCounter_
Natural	fixingDays_
Real	rate_
Date	paymentDate_
Real	nominal_
Date	accrualStartDate_
Date	accrualEndDate_
Date	refPeriodStart_
Date	refPeriodEnd_
Date	exCouponDate_
Real	accrualPeriod_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Coupon paying the performance of a CPI (zero inflation) index

The performance is relative to the index value on the base date.

The other inflation value is taken from the refPeriodEnd date with observation lag, so any roll/calendar etc. will be built in by the caller. By default this is done in the InflationCoupon which uses ModifiedPreceding with fixing days assumed positive meaning earlier, i.e. always stay in same month (relative to referencePeriodEnd).

This is more sophisticated than an IndexedCashFlow because it does date calculations itself.

Constructor & Destructor Documentation

CPICoupon() [1/3]

CPICoupon	(	Real	baseCPI,
		const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		const ext::shared_ptr< ZeroInflationIndex > &	index,
		const Period &	observationLag,
		CPI::InterpolationType	observationInterpolation,
		const DayCounter &	dayCounter,
		Real	fixedRate,
		const Date &	refPeriodStart = Date(),
		const Date &	refPeriodEnd = Date(),
		const Date &	exCouponDate = Date() )

This constructor takes the base CPI to be used in the calculations.

CPICoupon() [2/3]

CPICoupon	(	const Date &	baseDate,
		const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		const ext::shared_ptr< ZeroInflationIndex > &	index,
		const Period &	observationLag,
		CPI::InterpolationType	observationInterpolation,
		const DayCounter &	dayCounter,
		Real	fixedRate,
		const Date &	refPeriodStart = Date(),
		const Date &	refPeriodEnd = Date(),
		const Date &	exCouponDate = Date() )

This constructor takes a base date; the coupon will use it to retrieve the base CPI to be used in the calculations.

CPICoupon() [3/3]

CPICoupon	(	Real	baseCPI,
		const Date &	baseDate,
		const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		const ext::shared_ptr< ZeroInflationIndex > &	index,
		const Period &	observationLag,
		CPI::InterpolationType	observationInterpolation,
		const DayCounter &	dayCounter,
		Real	fixedRate,
		const Date &	refPeriodStart = Date(),
		const Date &	refPeriodEnd = Date(),
		const Date &	exCouponDate = Date() )

This constructor takes both a base CPI and a base date. If both are passed, the base CPI is used in the calculations.

Member Function Documentation

baseCPI()

Rate baseCPI

(

)

const

base value for the CPI index

Warning

make sure that the interpolation used to create this is what you are using for the fixing, i.e. the observationInterpolation.

accruedAmount()

Real accruedAmount ( const Date & ) const

overridevirtual

accrued amount at the given date

Implements Coupon.

indexFixing()

Rate indexFixing ( ) const

overridevirtual

the index value observed (with a lag) at the end date

Reimplemented from InflationCoupon.

indexRatio()

Rate indexRatio

(

Date

d

)

const

the ratio between the index fixing at the passed date and the base CPI

No adjustments are applied

adjustedIndexGrowth()

Rate adjustedIndexGrowth

(

)

const

the ratio between the end index fixing and the base CPI

This might include adjustments calculated by the pricer

accept()

void accept ( AcyclicVisitor & )

overridevirtual

Reimplemented from Coupon.

checkPricerImpl()

bool checkPricerImpl ( const ext::shared_ptr< InflationCouponPricer > & ) const

overrideprotectedvirtual

makes sure you were given the correct type of pricer

Implements InflationCoupon.