CPISwap Class Reference

zero-inflation-indexed swap, More...

#include <ql/instruments/cpiswap.hpp>

Inheritance diagram for CPISwap:

Classes
class	arguments
	Arguments for swap calculation More...
class	results
	Results from swap calculation More...

Public Member Functions
	CPISwap (Type type, Real nominal, bool subtractInflationNominal, Spread spread, DayCounter floatDayCount, Schedule floatSchedule, const BusinessDayConvention &floatRoll, Natural fixingDays, ext::shared_ptr< IborIndex > floatIndex, Rate fixedRate, Real baseCPI, DayCounter fixedDayCount, Schedule fixedSchedule, const BusinessDayConvention &fixedRoll, const Period &observationLag, ext::shared_ptr< ZeroInflationIndex > fixedIndex, CPI::InterpolationType observationInterpolation=CPI::AsIndex, Real inflationNominal=Null< Real >())
virtual Real	floatLegNPV () const
virtual Spread	fairSpread () const
virtual Real	fixedLegNPV () const
virtual Rate	fairRate () const
virtual Type	type () const
virtual Real	nominal () const
virtual bool	subtractInflationNominal () const
virtual Spread	spread () const
virtual const DayCounter &	floatDayCount () const
virtual const Schedule &	floatSchedule () const
virtual const BusinessDayConvention &	floatPaymentRoll () const
virtual Natural	fixingDays () const
virtual const ext::shared_ptr< IborIndex > &	floatIndex () const
virtual Rate	fixedRate () const
virtual Real	baseCPI () const
virtual const DayCounter &	fixedDayCount () const
virtual const Schedule &	fixedSchedule () const
virtual const BusinessDayConvention &	fixedPaymentRoll () const
virtual Period	observationLag () const
virtual const ext::shared_ptr< ZeroInflationIndex > &	fixedIndex () const
virtual CPI::InterpolationType	observationInterpolation () const
virtual Real	inflationNominal () const
virtual const Leg &	cpiLeg () const
virtual const Leg &	floatLeg () const
void	setupArguments (PricingEngine::arguments *args) const override
void	fetchResults (const PricingEngine::results *) const override
Public Member Functions inherited from Swap
void	deepUpdate () override
Size	numberOfLegs () const
const std::vector< Leg > &	legs () const
virtual Date	startDate () const
virtual 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
bool	payer (Size j) const
bool	isExpired () const override
	returns whether the instrument might have value greater than zero.
void	setupArguments (PricingEngine::arguments *) const override
void	fetchResults (const PricingEngine::results *) const override
	Swap (const Leg &firstLeg, const Leg &secondLeg)
	Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer)
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 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, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine.
void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used.
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 Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
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 ()

Additional Inherited Members
Public Types inherited from Swap
enum	Type { Receiver = -1 , Payer = 1 }
Public Types inherited from Observer
typedef set_type::iterator	iterator
void	setupExpired () const override
	Swap (Size legs)
Protected Member Functions inherited from Instrument
void	calculate () const override
void	performCalculations () const override
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_
Protected Attributes inherited from Instrument
Real	NPV_
Real	errorEstimate_
Date	valuationDate_
std::map< std::string, ext::any >	additionalResults_
ext::shared_ptr< PricingEngine >	engine_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

zero-inflation-indexed swap,

fixed x zero-inflation, i.e. fixed x CPI(i'th fixing)/CPI(base) versus floating + spread

Note that this does ony the inflation-vs-floating-leg. Extension to inflation-vs-fixed-leg. is simple - just replace the floating leg with a fixed leg.

Typically there are notional exchanges at the end: either inflated-notional vs notional; or just (inflated-notional - notional) vs zero. The latter is perhaphs more typical.

Warning

Setting subtractInflationNominal to true means that the original inflation nominal is subtracted from both nominals before they are exchanged, even if they are different.

This swap can mimic a ZCIIS where [(1+q)^n - 1] is exchanged against (cpi ratio - 1), by using differnt nominals on each leg and setting subtractInflationNominal to true. ALSO - there must be just one date in each schedule.

The two legs can have different schedules, fixing (days vs lag), settlement, and roll conventions. N.B. accrual adjustment periods are already in the schedules. Trade date and swap settlement date are outside the scope of the instrument.

Constructor & Destructor Documentation

CPISwap()

CPISwap	(	Type	type,
		Real	nominal,
		bool	subtractInflationNominal,
		Spread	spread,
		DayCounter	floatDayCount,
		Schedule	floatSchedule,
		const BusinessDayConvention &	floatRoll,
		Natural	fixingDays,
		ext::shared_ptr< IborIndex >	floatIndex,
		Rate	fixedRate,
		Real	baseCPI,
		DayCounter	fixedDayCount,
		Schedule	fixedSchedule,
		const BusinessDayConvention &	fixedRoll,
		const Period &	observationLag,
		ext::shared_ptr< ZeroInflationIndex >	fixedIndex,
		CPI::InterpolationType	observationInterpolation = CPI::AsIndex,
		Real	inflationNominal = Null< Real >() )

In this swap, the type (Payer or Receiver) refers to the floating leg.

Member Function Documentation

setupArguments()

void setupArguments ( PricingEngine::arguments * ) const

overridevirtual

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.

fetchResults()

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

overridevirtual

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.