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Allow passing interpokation parameter to YoY inflation coupons (#676)
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@lballabio
lballabio authored Oct 3, 2024
2 parents b351410 + 8c5d935 commit a2bcd40
Showing 1 changed file with 142 additions and 14 deletions.
156 changes: 142 additions & 14 deletions SWIG/inflation.i
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Original file line number Diff line number Diff line change
Expand Up @@ -278,6 +278,11 @@ struct CPI {
const Date& date,
const Period& observationLag,
InterpolationType interpolationType);

static Real laggedYoYRate(const ext::shared_ptr<YoYInflationIndex>& index,
const Date& date,
const Period& observationLag,
InterpolationType interpolationType);
};

// cashflows
Expand Down Expand Up @@ -542,6 +547,15 @@ class ZeroCouponInflationSwapHelper : public BootstrapHelper<ZeroInflationTermSt
%shared_ptr(YearOnYearInflationSwapHelper)
class YearOnYearInflationSwapHelper : public BootstrapHelper<YoYInflationTermStructure> {
public:
YearOnYearInflationSwapHelper(const Handle<Quote>& quote,
const Period& lag,
const Date& maturity,
const Calendar& calendar,
BusinessDayConvention bdc,
const DayCounter& dayCounter,
const ext::shared_ptr<YoYInflationIndex>& index,
CPI::InterpolationType interpolation,
const Handle<YieldTermStructure>& nominalTS);
YearOnYearInflationSwapHelper(const Handle<Quote>& quote,
const Period& lag,
const Date& maturity,
Expand Down Expand Up @@ -694,6 +708,19 @@ void setCouponPricer(const Leg&, const ext::shared_ptr<YoYInflationCouponPricer>
%shared_ptr(YoYInflationCoupon)
class YoYInflationCoupon : public InflationCoupon {
public:
YoYInflationCoupon(const Date& paymentDate,
Real nominal,
const Date& startDate,
const Date& endDate,
Natural fixingDays,
const ext::shared_ptr<YoYInflationIndex>& index,
const Period& observationLag,
CPI::InterpolationType interpolation,
const DayCounter& dayCounter,
Real gearing = 1.0,
Spread spread = 0.0,
const Date& refPeriodStart = Date(),
const Date& refPeriodEnd = Date());
YoYInflationCoupon(const Date& paymentDate,
Real nominal,
const Date& startDate,
Expand All @@ -710,6 +737,7 @@ class YoYInflationCoupon : public InflationCoupon {
Spread spread() const;
Rate adjustedFixing() const;
ext::shared_ptr<YoYInflationIndex> yoyIndex() const;
CPI::InterpolationType interpolation() const;
};

%inline %{
Expand All @@ -722,6 +750,21 @@ class YoYInflationCoupon : public InflationCoupon {
%shared_ptr(CappedFlooredYoYInflationCoupon)
class CappedFlooredYoYInflationCoupon : public YoYInflationCoupon {
public:
CappedFlooredYoYInflationCoupon(const Date& paymentDate,
Real nominal,
const Date& startDate,
const Date& endDate,
Natural fixingDays,
const ext::shared_ptr<YoYInflationIndex>& index,
const Period& observationLag,
CPI::InterpolationType interpolation,
const DayCounter& dayCounter,
Real gearing = 1.0,
Spread spread = 0.0,
const Rate cap = Null<Rate>(),
const Rate floor = Null<Rate>(),
const Date& refPeriodStart = Date(),
const Date& refPeriodEnd = Date());
CappedFlooredYoYInflationCoupon(const Date& paymentDate,
Real nominal,
const Date& startDate,
Expand Down Expand Up @@ -754,6 +797,29 @@ class CappedFlooredYoYInflationCoupon : public YoYInflationCoupon {
%}

%{
Leg _yoyInflationLeg(const Schedule& schedule,
const Calendar& calendar,
const ext::shared_ptr<YoYInflationIndex>& index,
const Period& observationLag,
CPI::InterpolationType interpolation,
const std::vector<Real>& notionals,
const DayCounter& paymentDayCounter,
BusinessDayConvention paymentAdjustment = Following,
Natural fixingDays = 0,
const std::vector<Real>& gearings = std::vector<Real>(),
const std::vector<Spread>& spreads = std::vector<Spread>(),
const std::vector<Rate>& caps = std::vector<Rate>(),
const std::vector<Rate>& floors = std::vector<Rate>()) {
return QuantLib::yoyInflationLeg(schedule, calendar, index, observationLag, interpolation)
.withNotionals(notionals)
.withPaymentDayCounter(paymentDayCounter)
.withPaymentAdjustment(paymentAdjustment)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.withCaps(caps)
.withFloors(floors);
}
Leg _yoyInflationLeg(const Schedule& schedule,
const Calendar& calendar,
const ext::shared_ptr<YoYInflationIndex>& index,
Expand All @@ -779,6 +845,19 @@ Leg _yoyInflationLeg(const Schedule& schedule,
%}
%feature("kwargs") _yoyInflationLeg;
%rename(yoyInflationLeg) _yoyInflationLeg;
Leg _yoyInflationLeg(const Schedule& schedule,
const Calendar& calendar,
const ext::shared_ptr<YoYInflationIndex>& index,
const Period& observationLag,
CPI::InterpolationType interpolation,
const std::vector<Real>& notionals,
const DayCounter& paymentDayCounter,
BusinessDayConvention paymentAdjustment = Following,
Natural fixingDays = 0,
const std::vector<Real>& gearings = std::vector<Real>(),
const std::vector<Spread>& spreads = std::vector<Spread>(),
const std::vector<Rate>& caps = std::vector<Rate>(),
const std::vector<Rate>& floors = std::vector<Rate>());
Leg _yoyInflationLeg(const Schedule& schedule,
const Calendar& calendar,
const ext::shared_ptr<YoYInflationIndex>& index,
Expand Down Expand Up @@ -854,6 +933,20 @@ class ZeroCouponInflationSwap : public Swap {
%shared_ptr(YearOnYearInflationSwap)
class YearOnYearInflationSwap : public Swap {
public:
YearOnYearInflationSwap(
Type type,
Real nominal,
const Schedule& fixedSchedule,
Rate fixedRate,
const DayCounter& fixedDayCounter,
const Schedule& yoySchedule,
const ext::shared_ptr<YoYInflationIndex>& index,
const Period& lag,
CPI::InterpolationType interpolation,
Spread spread,
const DayCounter& yoyDayCounter,
const Calendar& paymentCalendar,
BusinessDayConvention paymentConvention = Following);
YearOnYearInflationSwap(
Type type,
Real nominal,
Expand Down Expand Up @@ -1091,24 +1184,43 @@ class Name : public YoYCapFloorTermPriceSurface {
public:
%extend {
Name(Natural fixingDays,
const Period &yyLag, // observation lag
const ext::shared_ptr<YoYInflationIndex>& yii,
Rate baseRate,
const Handle<YieldTermStructure> &nominal,
const DayCounter &dc,
const Calendar &cal,
const BusinessDayConvention &bdc,
const std::vector<Rate> &cStrikes,
const std::vector<Rate> &fStrikes,
const std::vector<Period> &cfMaturities,
const Matrix &cPrice,
const Matrix &fPrice,
const Interpolator2D &interpolator2d = Interpolator2D(),
const Interpolator1D &interpolator1d = Interpolator1D()) {
const Period &yyLag, // observation lag
const ext::shared_ptr<YoYInflationIndex>& yii,
Rate baseRate,
const Handle<YieldTermStructure> &nominal,
const DayCounter &dc,
const Calendar &cal,
const BusinessDayConvention &bdc,
const std::vector<Rate> &cStrikes,
const std::vector<Rate> &fStrikes,
const std::vector<Period> &cfMaturities,
const Matrix &cPrice,
const Matrix &fPrice,
const Interpolator2D &interpolator2d = Interpolator2D(),
const Interpolator1D &interpolator1d = Interpolator1D()) {
return new Name(fixingDays, yyLag, yii, baseRate, nominal,
dc, cal, bdc, cStrikes, fStrikes, cfMaturities,
cPrice, fPrice);
}
Name(Natural fixingDays,
const Period &yyLag, // observation lag
const ext::shared_ptr<YoYInflationIndex>& yii,
CPI::InterpolationType interpolation,
const Handle<YieldTermStructure> &nominal,
const DayCounter &dc,
const Calendar &cal,
const BusinessDayConvention &bdc,
const std::vector<Rate> &cStrikes,
const std::vector<Rate> &fStrikes,
const std::vector<Period> &cfMaturities,
const Matrix &cPrice,
const Matrix &fPrice,
const Interpolator2D &interpolator2d = Interpolator2D(),
const Interpolator1D &interpolator1d = Interpolator1D()) {
return new Name(fixingDays, yyLag, yii, interpolation, nominal,
dc, cal, bdc, cStrikes, fStrikes, cfMaturities,
cPrice, fPrice);
}
}
};
%enddef
Expand Down Expand Up @@ -1151,6 +1263,22 @@ class YoYInflationBachelierCapFloorEngine : public PricingEngine {
class YoYOptionletHelper : public BootstrapHelper<YoYOptionletVolatilitySurface> {
public:
%extend {
YoYOptionletHelper(
const Handle<Quote>& price,
Real notional,
YoYInflationCapFloor::Type capFloorType,
Period &lag,
const DayCounter& yoyDayCounter,
const Calendar& paymentCalendar,
Natural fixingDays,
const ext::shared_ptr<YoYInflationIndex>& index,
CPI::InterpolationType interpolation,
Rate strike, Size n,
const ext::shared_ptr<PricingEngine> &pricer) {
auto engine = ext::dynamic_pointer_cast<YoYInflationCapFloorEngine>(pricer);
return new YoYOptionletHelper(price, notional, capFloorType, lag, yoyDayCounter, paymentCalendar,
fixingDays, index, interpolation, strike, n, engine);
}
YoYOptionletHelper(
const Handle<Quote>& price,
Real notional,
Expand Down

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