ZeroCouponInflationSwap Class Reference

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

#include <ql/instruments/zerocouponinflationswap.hpp>

Inheritance diagram for ZeroCouponInflationSwap:

Public Member Functions
	ZeroCouponInflationSwap (Type type, Real nominal, const Date &startDate, const Date &maturity, Calendar fixCalendar, BusinessDayConvention fixConvention, DayCounter dayCounter, Rate fixedRate, const ext::shared_ptr< ZeroInflationIndex > &infIndex, const Period &observationLag, CPI::InterpolationType observationInterpolation, bool adjustInfObsDates=false, Calendar infCalendar=Calendar(), BusinessDayConvention infConvention=BusinessDayConvention())
Inspectors
Type	type () const
	"Payer" or "Receiver" refers to the inflation leg
Real	nominal () const
Date	startDate () const override
Date	maturityDate () const override
Calendar	fixedCalendar () const
BusinessDayConvention	fixedConvention () const
DayCounter	dayCounter () const
Rate	fixedRate () const
	\( K \) in the above formula.
ext::shared_ptr< ZeroInflationIndex >	inflationIndex () const
Period	observationLag () const
CPI::InterpolationType	observationInterpolation () 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
Public Member Functions inherited from Swap
void	deepUpdate () override
Size	numberOfLegs () const
const std::vector< Leg > &	legs () 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 ()

Results
Type	type_
Real	nominal_
Date	startDate_
Date	maturityDate_
Calendar	fixCalendar_
BusinessDayConvention	fixConvention_
Rate	fixedRate_
ext::shared_ptr< ZeroInflationIndex >	infIndex_
Period	observationLag_
CPI::InterpolationType	observationInterpolation_
bool	adjustInfObsDates_
Calendar	infCalendar_
BusinessDayConvention	infConvention_
DayCounter	dayCounter_
Date	baseDate_
Date	obsDate_
Real	fixedLegNPV () const
Real	inflationLegNPV () const
Real	fairRate () const

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-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).

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

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

startDate()

Date startDate ( ) const

overridevirtual

Reimplemented from Swap.

maturityDate()

Date maturityDate ( ) const

overridevirtual

Reimplemented from Swap.