CPILeg::operator Leg() const {
QL_REQUIRE(!notionals_.empty(), "no notional given");
Size n = schedule_.size()-1;
Calendar calendar = schedule_.calendar();
Leg leg;
leg.reserve(n+1); // +1 for notional, we always have some sort ...
if (n>0) {
QL_REQUIRE(!fixedRates_.empty() || !spreads_.empty(),
"no fixedRates or spreads given");
Date refStart, start, refEnd, end;
for (Size i=0; i<n; ++i) {
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i+1);
Date paymentDate = calendar.adjust(end, paymentAdjustment_);
if (i==0 && !schedule_.isRegular(i+1)) {
BusinessDayConvention bdc = schedule_.businessDayConvention();
refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);
}
if (i==n-1 && !schedule_.isRegular(i+1)) {
BusinessDayConvention bdc = schedule_.businessDayConvention();
refEnd = schedule_.calendar().adjust(start + schedule_.tenor(), bdc);
}
if (detail::get(fixedRates_, i, 1.0) == 0.0) { // fixed coupon
leg.push_back(boost::shared_ptr<CashFlow>
(new FixedRateCoupon
(paymentDate, detail::get(notionals_, i, 0.0),
detail::effectiveFixedRate(spreads_,caps_,floors_,i),
paymentDayCounter_, start, end, refStart, refEnd)));
} else { // zero inflation coupon
if (detail::noOption(caps_, floors_, i)) { // just swaplet
boost::shared_ptr<CPICoupon> coup;
coup = boost::shared_ptr<CPICoupon>
(new CPICoupon(baseCPI_, // all have same base for ratio
paymentDate,
detail::get(notionals_, i, 0.0),
start, end,
detail::get(fixingDays_, i, 0.0),
index_, observationLag_,
observationInterpolation_,
paymentDayCounter_,
detail::get(fixedRates_, i, 0.0),
detail::get(spreads_, i, 0.0),
refStart, refEnd));
// in this case you can set a pricer
// straight away because it only provides computation - not data
boost::shared_ptr<CPICouponPricer> pricer
(new CPICouponPricer);
coup->setPricer(pricer);
leg.push_back(boost::dynamic_pointer_cast<CashFlow>(coup));
} else { // cap/floorlet
QL_FAIL("caps/floors on CPI coupons not implemented.");
}
}
}
}
// in CPI legs you always have a notional flow of some sort
Date paymentDate = calendar.adjust(schedule_.date(n), paymentAdjustment_);
Date fixingDate = paymentDate - observationLag_;
boost::shared_ptr<CashFlow> xnl(new CPICashFlow
(detail::get(notionals_, n, 0.0), index_,
Date(), // is fake, i.e. you do not have one
baseCPI_, fixingDate, paymentDate,
subtractInflationNominal_, observationInterpolation_,
index_->frequency())
);
leg.push_back(xnl);
return leg;
}
FixedRateLeg::operator Leg() const {
QL_REQUIRE(!couponRates_.empty(), "no coupon rates given");
QL_REQUIRE(!notionals_.empty(), "no notional given");
Leg leg;
leg.reserve(schedule_.size()-1);
// first period might be short or long
Date start = schedule_.date(0), end = schedule_.date(1);
Date paymentDate = paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_);
Date exCouponDate;
InterestRate rate = couponRates_[0];
Real nominal = notionals_[0];
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
Date ref = schedule_.hasTenor() &&
schedule_.hasIsRegular() && !schedule_.isRegular(1) ?
schedule_.calendar().advance(end,
-schedule_.tenor(),
schedule_.businessDayConvention(),
schedule_.endOfMonth())
: start;
InterestRate r(rate.rate(),
firstPeriodDC_.empty() ? rate.dayCounter()
: firstPeriodDC_,
rate.compounding(), rate.frequency());
leg.push_back(ext::shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, r,
start, end, ref, end, exCouponDate)));
// regular periods
for (Size i=2; i<schedule_.size()-1; ++i) {
start = end; end = schedule_.date(i);
Date paymentDate = paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_);
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if ((i-1) < couponRates_.size())
rate = couponRates_[i-1];
else
rate = couponRates_.back();
if ((i-1) < notionals_.size())
nominal = notionals_[i-1];
else
nominal = notionals_.back();
leg.push_back(ext::shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, rate,
start, end, start, end, exCouponDate)));
}
if (schedule_.size() > 2) {
// last period might be short or long
Size N = schedule_.size();
start = end; end = schedule_.date(N-1);
Date paymentDate = paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_);
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if ((N-2) < couponRates_.size())
rate = couponRates_[N-2];
else
rate = couponRates_.back();
if ((N-2) < notionals_.size())
nominal = notionals_[N-2];
else
nominal = notionals_.back();
InterestRate r( rate.rate(), lastPeriodDC_.empty() ?
rate.dayCounter() :
lastPeriodDC_ , rate.compounding(), rate.frequency() );
if ((schedule_.hasIsRegular() && schedule_.isRegular(N - 1)) ||
!schedule_.hasTenor()) {
leg.push_back(ext::shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, r,
start, end, start, end, exCouponDate)));
} else {
Date ref = schedule_.calendar().advance(
start,
schedule_.tenor(),
schedule_.businessDayConvention(),
schedule_.endOfMonth());
leg.push_back(ext::shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, r,
start, end, start, ref, exCouponDate)));
}
}
return leg;
}
yoyInflationLeg::operator Leg() const {
Size n = schedule_.size()-1;
QL_REQUIRE(!notionals_.empty(), "no notional given");
QL_REQUIRE(notionals_.size() <= n,
"too many nominals (" << notionals_.size() <<
"), only " << n << " required");
QL_REQUIRE(gearings_.size()<=n,
"too many gearings (" << gearings_.size() <<
"), only " << n << " required");
QL_REQUIRE(spreads_.size()<=n,
"too many spreads (" << spreads_.size() <<
"), only " << n << " required");
QL_REQUIRE(caps_.size()<=n,
"too many caps (" << caps_.size() <<
"), only " << n << " required");
QL_REQUIRE(floors_.size()<=n,
"too many floors (" << floors_.size() <<
"), only " << n << " required");
Leg leg; leg.reserve(n);
Calendar calendar = paymentCalendar_;
Date refStart, start, refEnd, end;
for (Size i=0; i<n; ++i) {
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i+1);
Date paymentDate = calendar.adjust(end, paymentAdjustment_);
if (i==0 && schedule_.hasIsRegular() && !schedule_.isRegular(i+1)) {
BusinessDayConvention bdc = schedule_.businessDayConvention();
refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);
}
if (i==n-1 && schedule_.hasIsRegular() && !schedule_.isRegular(i+1)) {
BusinessDayConvention bdc = schedule_.businessDayConvention();
refEnd = schedule_.calendar().adjust(start + schedule_.tenor(), bdc);
}
if (detail::get(gearings_, i, 1.0) == 0.0) { // fixed coupon
leg.push_back(ext::shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate,
detail::get(notionals_, i, 1.0),
detail::effectiveFixedRate(spreads_,caps_,
floors_,i),
paymentDayCounter_,
start, end, refStart, refEnd)));
} else { // yoy inflation coupon
if (detail::noOption(caps_, floors_, i)) { // just swaplet
ext::shared_ptr<YoYInflationCoupon> coup(new
YoYInflationCoupon(
paymentDate,
detail::get(notionals_, i, 1.0),
start, end,
detail::get(fixingDays_, i, 0),
index_,
observationLag_,
paymentDayCounter_,
detail::get(gearings_, i, 1.0),
detail::get(spreads_, i, 0.0),
refStart, refEnd));
// in this case you can set a pricer
// straight away because it only provides computation - not data
ext::shared_ptr<YoYInflationCouponPricer> pricer(
new YoYInflationCouponPricer);
coup->setPricer(pricer);
leg.push_back(ext::dynamic_pointer_cast<CashFlow>(coup));
} else { // cap/floorlet
leg.push_back(ext::shared_ptr<CashFlow>(new
CappedFlooredYoYInflationCoupon(
paymentDate,
detail::get(notionals_, i, 1.0),
start, end,
detail::get(fixingDays_, i, 0),
index_,
observationLag_,
paymentDayCounter_,
detail::get(gearings_, i, 1.0),
detail::get(spreads_, i, 0.0),
detail::get(caps_, i, Null<Rate>()),
detail::get(floors_, i, Null<Rate>()),
refStart, refEnd)));
}
}
}
return leg;
}
FixedRateLeg::operator Leg() const {
QL_REQUIRE(!couponRates_.empty(), "no coupon rates given");
QL_REQUIRE(!notionals_.empty(), "no notional given");
Leg leg;
leg.reserve(schedule_.size()-1);
Calendar schCalendar = schedule_.calendar();
// first period might be short or long
Date start = schedule_.date(0), end = schedule_.date(1);
Date paymentDate = calendar_.adjust(end, paymentAdjustment_);
Date exCouponDate;
InterestRate rate = couponRates_[0];
Real nominal = notionals_[0];
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if (schedule_.isRegular(1)) {
QL_REQUIRE(firstPeriodDC_.empty() ||
firstPeriodDC_ == rate.dayCounter(),
"regular first coupon "
"does not allow a first-period day count");
shared_ptr<CashFlow> temp(new
FixedRateCoupon(paymentDate, nominal, rate,
start, end, start, end, exCouponDate));
leg.push_back(temp);
} else {
Date ref = end - schedule_.tenor();
ref = schCalendar.adjust(ref, schedule_.businessDayConvention());
InterestRate r(rate.rate(),
firstPeriodDC_.empty() ? rate.dayCounter()
: firstPeriodDC_,
rate.compounding(), rate.frequency());
leg.push_back(shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, r,
start, end, ref, end, exCouponDate)));
}
// regular periods
for (Size i=2; i<schedule_.size()-1; ++i) {
start = end; end = schedule_.date(i);
paymentDate = calendar_.adjust(end, paymentAdjustment_);
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if ((i-1) < couponRates_.size())
rate = couponRates_[i-1];
else
rate = couponRates_.back();
if ((i-1) < notionals_.size())
nominal = notionals_[i-1];
else
nominal = notionals_.back();
leg.push_back(shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, rate,
start, end, start, end, exCouponDate)));
}
if (schedule_.size() > 2) {
// last period might be short or long
Size N = schedule_.size();
start = end; end = schedule_.date(N-1);
paymentDate = calendar_.adjust(end, paymentAdjustment_);
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if ((N-2) < couponRates_.size())
rate = couponRates_[N-2];
else
rate = couponRates_.back();
if ((N-2) < notionals_.size())
nominal = notionals_[N-2];
else
nominal = notionals_.back();
if (schedule_.isRegular(N-1)) {
leg.push_back(shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, rate,
start, end, start, end, exCouponDate)));
} else {
Date ref = start + schedule_.tenor();
ref = schCalendar.adjust(ref, schedule_.businessDayConvention());
leg.push_back(shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, rate,
start, end, start, ref, exCouponDate)));
}
}
return leg;
}
