/* Generally inflation indices are available with a lag of 1month
and then observed with a lag of 2-3 months depending whether
they use an interpolated fixing or not. Here, we make the
swap use the interpolation of the index to avoid incompatibilities.
*/
ZeroCouponInflationSwap::ZeroCouponInflationSwap(
Type type,
Real nominal,
const Date& startDate, // start date of contract (only)
const Date& maturity, // this is pre-adjustment!
const Calendar& fixCalendar,
BusinessDayConvention fixConvention,
const DayCounter& dayCounter,
Rate fixedRate,
const boost::shared_ptr<ZeroInflationIndex> &infIndex,
const Period& observationLag,
bool adjustInfObsDates,
Calendar infCalendar,
BusinessDayConvention infConvention)
: Swap(2), type_(type), nominal_(nominal), fixedRate_(fixedRate),
infIndex_(infIndex), observationLag_(observationLag), dayCounter_(dayCounter) {
// first check compatibility of index and swap definitions
if (infIndex_->interpolated()) {
Period pShift(infIndex_->frequency());
QL_REQUIRE(observationLag_ - pShift > infIndex_->availabilityLag(),
"inconsistency between swap observation of index " << observationLag_ <<
" index availability " << infIndex_->availabilityLag() <<
" interpolated index period " << pShift <<
" and index availability " << infIndex_->availabilityLag() <<
" need (obsLag-index period) > availLag");
} else {
QL_REQUIRE(infIndex_->availabilityLag() < observationLag_,
"index tries to observe inflation fixings that do not yet exist: "
<< " availability lag " << infIndex_->availabilityLag()
<< " versus obs lag = " << observationLag_);
}
if (infCalendar==Calendar()) infCalendar = fixCalendar;
if (infConvention==BusinessDayConvention()) infConvention = fixConvention;
if (adjustInfObsDates) {
baseDate_ = infCalendar.adjust(startDate - observationLag_, infConvention);
obsDate_ = infCalendar.adjust(maturity - observationLag_, infConvention);
} else {
baseDate_ = startDate - observationLag_;
obsDate_ = maturity - observationLag_;
}
Date infPayDate = infCalendar.adjust(maturity, infConvention);
Date fixedPayDate = fixCalendar.adjust(maturity, fixConvention);
// At this point the index may not be able to forecast
// i.e. do not want to force the existence of an inflation
// term structure before allowing users to create instruments.
Real T = inflationYearFraction(infIndex_->frequency(), infIndex_->interpolated(),
dayCounter_, baseDate_, obsDate_);
// N.B. the -1.0 is because swaps only exchange growth, not notionals as well
Real fixedAmount = nominal * ( std::pow(1.0 + fixedRate, T) - 1.0 );
legs_[0].push_back(boost::shared_ptr<CashFlow>(
new SimpleCashFlow(fixedAmount, fixedPayDate)));
bool growthOnly = true;
legs_[1].push_back(boost::shared_ptr<CashFlow>(
new IndexedCashFlow(nominal,infIndex,baseDate_,obsDate_,infPayDate,growthOnly)));
for (Size j=0; j<2; ++j) {
for (Leg::iterator i = legs_[j].begin(); i!= legs_[j].end(); ++i)
registerWith(*i);
}
switch (type_) {
case Payer:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
case Receiver:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
default:
QL_FAIL("Unknown zero-inflation-swap type");
}
}
inline const double shiftedP (void) const {return isGhost? (*_pression)+pShift() :(*_pression) ;}
