| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2010, 2011 Chris Kenyon |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | #include <ql/cashflows/cashflows.hpp> |
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| 21 | #include <ql/cashflows/cashflowvectors.hpp> |
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| 22 | #include <ql/cashflows/couponpricer.hpp> |
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| 23 | #include <ql/cashflows/cpicoupon.hpp> |
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| 24 | #include <ql/cashflows/fixedratecoupon.hpp> |
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| 25 | #include <ql/cashflows/iborcoupon.hpp> |
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| 26 | #include <ql/cashflows/simplecashflow.hpp> |
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| 27 | #include <ql/indexes/inflationindex.hpp> |
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| 28 | #include <ql/instruments/bonds/cpibond.hpp> |
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| 29 | #include <ql/termstructures/yieldtermstructure.hpp> |
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| 30 | #include <ql/time/schedule.hpp> |
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| 31 | #include <utility> |
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| 32 | |
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| 33 | |
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| 34 | namespace QuantLib { |
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| 35 | |
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| 36 | CPIBond::CPIBond(Natural settlementDays, |
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| 37 | Real faceAmount, |
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| 38 | bool growthOnly, |
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| 39 | Real baseCPI, |
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| 40 | const Period& observationLag, |
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| 41 | ext::shared_ptr<ZeroInflationIndex> cpiIndex, |
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| 42 | CPI::InterpolationType observationInterpolation, |
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| 43 | const Schedule& schedule, |
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| 44 | const std::vector<Rate>& fixedRate, |
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| 45 | const DayCounter& accrualDayCounter, |
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| 46 | BusinessDayConvention paymentConvention, |
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| 47 | const Date& issueDate, |
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| 48 | const Calendar& paymentCalendar, |
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| 49 | const Period& exCouponPeriod, |
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| 50 | const Calendar& exCouponCalendar, |
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| 51 | const BusinessDayConvention exCouponConvention, |
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| 52 | bool exCouponEndOfMonth) |
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| 53 | : Bond(settlementDays, |
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| 54 | paymentCalendar == Calendar() ? schedule.calendar() : paymentCalendar, |
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| 55 | issueDate), |
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| 56 | frequency_(schedule.tenor().frequency()), dayCounter_(accrualDayCounter), |
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| 57 | growthOnly_(growthOnly), baseCPI_(baseCPI), observationLag_(observationLag), |
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| 58 | cpiIndex_(std::move(cpiIndex)), observationInterpolation_(observationInterpolation) { |
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| 59 | |
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| 60 | maturityDate_ = schedule.endDate(); |
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| 61 | |
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| 62 | // a CPIleg know about zero legs and inclusion of base inflation notional |
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| 63 | cashflows_ = CPILeg(schedule, cpiIndex_, |
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| 64 | baseCPI_, observationLag_) |
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| 65 | .withNotionals(notional: faceAmount) |
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| 66 | .withFixedRates(fixedRates: fixedRate) |
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| 67 | .withPaymentDayCounter(accrualDayCounter) |
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| 68 | .withPaymentAdjustment(paymentConvention) |
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| 69 | .withPaymentCalendar(calendar_) |
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| 70 | .withObservationInterpolation(observationInterpolation_) |
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| 71 | .withSubtractInflationNominal(growthOnly_) |
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| 72 | .withExCouponPeriod(exCouponPeriod, |
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| 73 | exCouponCalendar, |
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| 74 | exCouponConvention, |
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| 75 | endOfMonth: exCouponEndOfMonth); |
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| 76 | |
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| 77 | |
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| 78 | calculateNotionalsFromCashflows(); |
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| 79 | |
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| 80 | redemptions_.push_back(x: cashflows_.back()); |
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| 81 | |
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| 82 | registerWith(h: cpiIndex_); |
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| 83 | Leg::const_iterator i; |
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| 84 | for (i = cashflows_.begin(); i < cashflows_.end(); ++i) { |
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| 85 | registerWith(h: *i); |
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| 86 | } |
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| 87 | } |
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| 88 | } |
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| 89 | |
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| 90 | |
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