1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2007, 2009 Chris Kenyon
5  Copyright (C) 2009 StatPro Italia srl
6 
7  This file is part of QuantLib, a free-software/open-source library
8  for financial quantitative analysts and developers - http://quantlib.org/
9 
10  QuantLib is free software: you can redistribute it and/or modify it
11  under the terms of the QuantLib license.  You should have received a
12  copy of the license along with this program; if not, please email
13  <quantlib-dev@lists.sf.net>. The license is also available online at
14  <http://quantlib.org/license.shtml>.
15 
16  This program is distributed in the hope that it will be useful, but WITHOUT
17  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18  FOR A PARTICULAR PURPOSE.  See the license for more details.
19  */
20 
21 /*! \file zerocouponinflationswap.hpp
22  \brief Zero-coupon inflation-indexed swap
23  */
24 
25 #ifndef quantlib_xxxzciis_hpp
26 #define quantlib_xxxzciis_hpp
27 
28 #include <ql/instruments/swap.hpp>
29 #include <ql/time/calendar.hpp>
30 #include <ql/time/daycounter.hpp>
31 
32 
33 
34 namespace QuantLib {
35     class ZeroInflationIndex;
36 
37     //! Zero-coupon inflation-indexed swap
38     /*! Quoted as a fixed rate \f$ K \f$.  At start:
39         \f[
40         P_n(0,T) N [(1+K)^{T}-1] =
41         P_n(0,T) N \left[ \frac{I(T)}{I(0)} -1 \right]
42         \f]
43         where \f$ T \f$ is the maturity time, \f$ P_n(0,t) \f$ is the
44         nominal discount factor at time \f$ t \f$, \f$ N \f$ is the
45         notional, and \f$ I(t) \f$ is the inflation index value at
46         time \f$ t \f$.
47 
48         This inherits from swap and has two very simple legs: a fixed
49         leg, from the quote (K); and an indexed leg.  At maturity the
50         two single cashflows are swapped.  These are the notional
51         versus the inflation-indexed notional Because the coupons are
52         zero there are no accruals (and no coupons).
53 
54         Inflation is generally available on every day, including
55         holidays and weekends.  Hence there is a variable to state
56         whether the observe/fix dates for inflation are adjusted or
57         not.  The default is not to adjust.
58 
59         A zero inflation swap is a simple enough instrument that the
60         standard discounting pricing engine that works for a vanilla
61         swap also works.
62 
63         \note we do not need Schedules on the legs because they use
64               one or two dates only per leg.
65     */
66     class ZeroCouponInflationSwap : public Swap {
67       public:
68         enum Type { Receiver = -1, Payer = 1 };
69         class arguments;
70         class engine;
71         ZeroCouponInflationSwap(Type type,
72                                 Real nominal,
73                                 const Date& startDate,   // start date of contract (only)
74                                 const Date& maturity,    // this is pre-adjustment!
75                                 const Calendar& fixCalendar,
76                                 BusinessDayConvention fixConvention,
77                                 const DayCounter& dayCounter,
78                                 Rate fixedRate,
79                                 const ext::shared_ptr<ZeroInflationIndex> &infIndex,
80                                 const Period& observationLag,
81                                 bool adjustInfObsDates = false,
82                                 const Calendar& infCalendar = Calendar(),
83                                 BusinessDayConvention infConvention = BusinessDayConvention());
84 
85         //! \name Inspectors
86         //@{
87         //! "payer" or "receiver" refer to the inflation-indexed leg
type() const88         Type type() const { return type_; }
nominal() const89         Real nominal() const { return nominal_; }
startDate() const90         Date startDate() const { return startDate_; }
maturityDate() const91         Date maturityDate() const { return maturityDate_; }
fixedCalendar() const92         Calendar fixedCalendar() const { return fixCalendar_; }
fixedConvention() const93         BusinessDayConvention fixedConvention() const {
94             return fixConvention_;
95         }
dayCounter() const96         DayCounter dayCounter() const { return dayCounter_; }
97         //! \f$ K \f$ in the above formula.
fixedRate() const98         Rate fixedRate() const { return fixedRate_; }
inflationIndex() const99         ext::shared_ptr<ZeroInflationIndex> inflationIndex() const {
100             return infIndex_;
101         }
observationLag() const102         Period observationLag() const { return observationLag_; }
adjustObservationDates() const103         bool adjustObservationDates() const { return adjustInfObsDates_; }
inflationCalendar() const104         Calendar inflationCalendar() const { return infCalendar_; }
inflationConvention() const105         BusinessDayConvention inflationConvention() const {
106             return infConvention_;
107         }
108         //! just one cashflow (that is not a coupon) in each leg
109         const Leg& fixedLeg() const;
110         //! just one cashflow (that is not a coupon) in each leg
111         const Leg& inflationLeg() const;
112         //@}
113 
114         //! \name Instrument interface
115         //@{
116         void setupArguments(PricingEngine::arguments*) const;
117         void fetchResults(const PricingEngine::results* r) const;
118         //@}
119 
120         //! \name Results
121         //@{
122         Real fixedLegNPV() const;
123         Real inflationLegNPV() const;
124         Real fairRate() const;
125         //@}
126 
127       protected:
128         Type type_;
129         Real nominal_;
130         Date startDate_, maturityDate_;
131         Calendar fixCalendar_;
132         BusinessDayConvention fixConvention_;
133         Rate fixedRate_;
134         ext::shared_ptr<ZeroInflationIndex> infIndex_;
135         Period observationLag_;
136         bool adjustInfObsDates_;
137         Calendar infCalendar_;
138         BusinessDayConvention infConvention_;
139         DayCounter dayCounter_;
140         Date baseDate_, obsDate_;
141     };
142 
143 
144     class ZeroCouponInflationSwap::arguments : public Swap::arguments {
145       public:
146         Rate fixedRate;
147         void validate() const;
148     };
149 
150 
151     class ZeroCouponInflationSwap::engine
152     : public GenericEngine<ZeroCouponInflationSwap::arguments,
153     ZeroCouponInflationSwap::results> {};
154 
155 }
156 
157 
158 #endif
159