MakeCapFloor::operator shared_ptr<CapFloor>() const {
VanillaSwap swap = makeVanillaSwap_;
Leg leg = swap.floatingLeg();
if (firstCapletExcluded_)
leg.erase(leg.begin());
// only leaves the last coupon
if (asOptionlet_ && leg.size() > 1) {
Leg::iterator end = leg.end(); // Sun Studio needs an lvalue
leg.erase(leg.begin(), --end);
}
std::vector<Rate> strikeVector(1, strike_);
if (strike_ == Null<Rate>()) {
// temporary patch...
// should be fixed for every CapFloor::Engine
shared_ptr<BlackCapFloorEngine> temp =
dynamic_pointer_cast<BlackCapFloorEngine>(engine_);
QL_REQUIRE(temp,
"cannot calculate ATM without a BlackCapFloorEngine");
Handle<YieldTermStructure> discountCurve = temp->termStructure();
strikeVector[0] = CashFlows::atmRate(leg,
**discountCurve,
false,
discountCurve->referenceDate());
}
shared_ptr<CapFloor> capFloor(new
CapFloor(capFloorType_, leg, strikeVector));
capFloor->setPricingEngine(engine_);
return capFloor;
}
MakeYoYInflationCapFloor::operator ext::shared_ptr<YoYInflationCapFloor>() const {
Date startDate;
if (effectiveDate_ != Date()) {
startDate = effectiveDate_;
} else {
Date referenceDate = Settings::instance().evaluationDate();
Date spotDate = calendar_.advance(referenceDate,
fixingDays_*Days);
startDate = spotDate+forwardStart_;
}
Date endDate = calendar_.advance(startDate,length_*Years,Unadjusted);
Schedule schedule(startDate, endDate, Period(Annual), calendar_,
Unadjusted, Unadjusted, // ref periods & acc periods
DateGeneration::Forward, false);
Leg leg = yoyInflationLeg(schedule, calendar_, index_,
observationLag_)
.withPaymentAdjustment(roll_)
.withPaymentDayCounter(dayCounter_)
.withNotionals(nominal_)
;
if (firstCapletExcluded_)
leg.erase(leg.begin());
// only leaves the last coupon
if (asOptionlet_ && leg.size() > 1) {
Leg::iterator end = leg.end(); // Sun Studio needs an lvalue
leg.erase(leg.begin(), --end);
}
std::vector<Rate> strikeVector(1, strike_);
if (strike_ == Null<Rate>()) {
// ATM on the forecasting curve
Handle<YieldTermStructure> fc;
if (!nominalTermStructure_.empty()) {
fc = nominalTermStructure_;
} else {
QL_REQUIRE(!index_->yoyInflationTermStructure().empty(),
"no forecasting yoy term structure set for " <<
index_->name());
fc = index_->yoyInflationTermStructure()->nominalTermStructure();
}
strikeVector[0] = CashFlows::atmRate(leg,**fc,
false, fc->referenceDate());
}
ext::shared_ptr<YoYInflationCapFloor> capFloor(new
YoYInflationCapFloor(capFloorType_, leg, strikeVector));
capFloor->setPricingEngine(engine_);
return capFloor;
}
