Re: [QuantLib-svn] SF.net SVN: quantlib: [13271]trunk/QuantLib/ql/instruments

[Bianchetti Marco-2]

Why not under a dedicated folder /instruments/inflation/ ?
M.

> -----Original Message-----
> From: [hidden email]
> [mailto:[hidden email]] On Behalf
> Of [hidden email]
> Sent: 31 October 2007 17:09
> To: [hidden email]
> Subject: [QuantLib-svn] SF.net SVN: quantlib:
> [13271]trunk/QuantLib/ql/instruments
>
>
> Revision: 13271
>          
> http://quantlib.svn.sourceforge.net/quantlib/?rev=13271&view=rev
> Author:   lballabio
> Date:     2007-10-31 09:09:04 -0700 (Wed, 31 Oct 2007)
>
> Log Message:
> -----------
> Added inflation swaps (thanks to Chris Kenyon)
>
> Modified Paths:
> --------------
>     trunk/QuantLib/ql/instruments/Makefile.am
>     trunk/QuantLib/ql/instruments/all.hpp
>
> Added Paths:
> -----------
>     trunk/QuantLib/ql/instruments/inflationswap.cpp
>     trunk/QuantLib/ql/instruments/inflationswap.hpp
>     trunk/QuantLib/ql/instruments/yyiis.cpp
>     trunk/QuantLib/ql/instruments/yyiis.hpp
>     trunk/QuantLib/ql/instruments/zciis.cpp
>     trunk/QuantLib/ql/instruments/zciis.hpp
>
> Modified: trunk/QuantLib/ql/instruments/Makefile.am
> ===================================================================
> --- trunk/QuantLib/ql/instruments/Makefile.am 2007-10-31
> 15:09:00 UTC (rev 13270)
> +++ trunk/QuantLib/ql/instruments/Makefile.am 2007-10-31
> 16:09:04 UTC (rev 13271)
> @@ -23,6 +23,7 @@
>      forward.hpp \
>      forwardrateagreement.hpp \
>      forwardvanillaoption.hpp \
> +    inflationswap.hpp \
>      lookbackoption.hpp \
>      makecapfloor.hpp \
>      makecms.hpp \
> @@ -40,7 +41,9 @@
>      swaption.hpp \
>      vanillaoption.hpp \
>      vanillaswap.hpp \
> -    varianceswap.hpp
> +    varianceswap.hpp \
> +    yyiis.hpp \
> +    zciis.hpp
>  
>  libInstruments_la_SOURCES = \
>      asianoption.cpp \
> @@ -57,6 +60,7 @@
>      forward.cpp \
>      forwardrateagreement.cpp \
>      forwardvanillaoption.cpp \
> +    inflationswap.cpp \
>      lookbackoption.cpp \
>      makecapfloor.cpp \
>      makecms.cpp \
> @@ -74,7 +78,9 @@
>      swaption.cpp \
>      vanillaoption.cpp \
>      vanillaswap.cpp \
> -    varianceswap.cpp
> +    varianceswap.cpp \
> +    yyiis.cpp \
> +    zciis.cpp
>  
>  libInstruments_la_LIBADD = \
>      bonds/libBonds.la
>
> Modified: trunk/QuantLib/ql/instruments/all.hpp
> ===================================================================
> --- trunk/QuantLib/ql/instruments/all.hpp 2007-10-31
> 15:09:00 UTC (rev 13270)
> +++ trunk/QuantLib/ql/instruments/all.hpp 2007-10-31
> 16:09:04 UTC (rev 13271)
> @@ -18,6 +18,7 @@
>  #include <ql/instruments/forward.hpp>
>  #include <ql/instruments/forwardrateagreement.hpp>
>  #include <ql/instruments/forwardvanillaoption.hpp>
> +#include <ql/instruments/inflationswap.hpp>
>  #include <ql/instruments/lookbackoption.hpp>
>  #include <ql/instruments/makecapfloor.hpp>
>  #include <ql/instruments/makecms.hpp>
> @@ -36,5 +37,7 @@
>  #include <ql/instruments/vanillaoption.hpp>
>  #include <ql/instruments/vanillaswap.hpp>
>  #include <ql/instruments/varianceswap.hpp>
> +#include <ql/instruments/yyiis.hpp>
> +#include <ql/instruments/zciis.hpp>
>  
>  #include <ql/instruments/bonds/all.hpp>
>
> Added: trunk/QuantLib/ql/instruments/inflationswap.cpp
> ===================================================================
> --- trunk/QuantLib/ql/instruments/inflationswap.cpp        
>                 (rev 0)
> +++ trunk/QuantLib/ql/instruments/inflationswap.cpp
> 2007-10-31 16:09:04 UTC (rev 13271)
> @@ -0,0 +1,67 @@
> +/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil;
> c-basic-offset: 4 -*- */
> +
> +/*
> + Copyright (C) 2007 Chris Kenyon
> +
> + This file is part of QuantLib, a free-software/open-source library
> + for financial quantitative analysts and developers -
> http://quantlib.org/
> +
> + QuantLib is free software: you can redistribute it and/or modify it
> + under the terms of the QuantLib license.  You should have received a
> + copy of the license along with this program; if not, please email
> + <[hidden email]>. The license is also available online at
> + <http://quantlib.org/license.shtml>.
> +
> + This program is distributed in the hope that it will be
> useful, but WITHOUT
> + ANY WARRANTY; without even the implied warranty of
> MERCHANTABILITY or FITNESS
> + FOR A PARTICULAR PURPOSE.  See the license for more details.
> +*/
> +
> +#include <ql/instruments/inflationswap.hpp>
> +
> +namespace QuantLib {
> +
> +    InflationSwap::InflationSwap(const Date& start, const
> Date& maturity,
> +                                 const Period& lag, const
> Calendar& calendar,
> +                                 BusinessDayConvention convention,
> +                                 const DayCounter& dayCounter,
> +                                 const
> Handle<YieldTermStructure>& yieldTS)
> +    : start_(start), maturity_(maturity), lag_(lag),
> calendar_(calendar),
> +      bdc_(convention), dayCounter_(dayCounter), yieldTS_(yieldTS) {
> +
> +        baseDate_ = calendar_.adjust(start_ - lag_, bdc_);
> +        maturity_ = calendar_.adjust(maturity_, bdc_);
> +
> +        registerWith(yieldTS_);
> +    }
> +
> +    Date InflationSwap::baseDate() const {
> +        return baseDate_;
> +    }
> +
> +    Period InflationSwap::lag() const {
> +        return lag_;
> +    }
> +
> +    Date InflationSwap::startDate() const {
> +        return start_;
> +    }
> +
> +    Date InflationSwap::maturityDate() const {
> +        return maturity_;
> +    }
> +
> +    Calendar InflationSwap::calendar() const {
> +        return calendar_;
> +    }
> +
> +    BusinessDayConvention
> InflationSwap::businessDayConvention() const {
> +        return bdc_;
> +    }
> +
> +    DayCounter InflationSwap::dayCounter() const {
> +        return dayCounter_;
> +    }
> +
> +}
> +
>
>
> Property changes on: trunk/QuantLib/ql/instruments/inflationswap.cpp
> ___________________________________________________________________
> Name: svn:eol-style
>    + native
>
> Added: trunk/QuantLib/ql/instruments/inflationswap.hpp
> ===================================================================
> --- trunk/QuantLib/ql/instruments/inflationswap.hpp        
>                 (rev 0)
> +++ trunk/QuantLib/ql/instruments/inflationswap.hpp
> 2007-10-31 16:09:04 UTC (rev 13271)
> @@ -0,0 +1,75 @@
> +/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil;
> c-basic-offset: 4 -*- */
> +
> +/*
> + Copyright (C) 2007 Chris Kenyon
> +
> + This file is part of QuantLib, a free-software/open-source library
> + for financial quantitative analysts and developers -
> http://quantlib.org/
> +
> + QuantLib is free software: you can redistribute it and/or modify it
> + under the terms of the QuantLib license.  You should have received a
> + copy of the license along with this program; if not, please email
> + <[hidden email]>. The license is also available online at
> + <http://quantlib.org/license.shtml>.
> +
> + This program is distributed in the hope that it will be
> useful, but WITHOUT
> + ANY WARRANTY; without even the implied warranty of
> MERCHANTABILITY or FITNESS
> + FOR A PARTICULAR PURPOSE.  See the license for more details.
> +*/
> +
> +/*! \file inflationswap.hpp
> +    \brief Abstract base class for inflation swaps
> +*/
> +
> +#ifndef quantlib_inflation_swap_hpp
> +#define quantlib_inflation_swap_hpp
> +
> +#include <ql/instrument.hpp>
> +#include <ql/termstructures/inflationtermstructure.hpp>
> +
> +namespace QuantLib {
> +
> +    //! Abstract base class for inflation swaps.
> +    /*! Inflation swaps need two term structures:
> +        - nominal
> +        - inflation (either zero-coupon or year-on-year)
> +
> +        \ingroup instruments
> +    */
> +    class InflationSwap : public Instrument {
> +      public:
> +        //! the constructor sets common data members
> +        InflationSwap(const Date& start, const Date& maturity,
> +                      const Period& lag, const Calendar& calendar,
> +                      BusinessDayConvention convention,
> +                      const DayCounter& dayCounter,
> +                      const Handle<YieldTermStructure>& yieldTS);
> +        //! \name Inspectors
> +        /*! The inflation rate is taken relative to the base date,
> +            which is a lag period before the start date of the swap.
> +        */
> +        //@{
> +        Date baseDate() const;
> +        Period lag() const;
> +        Date startDate() const;
> +        Date maturityDate() const;
> +        Calendar calendar() const;
> +        BusinessDayConvention businessDayConvention() const;
> +        DayCounter dayCounter() const;
> +        //@}
> +        virtual Rate fairRate() const = 0;
> +      protected:
> +        Date start_;
> +        Date maturity_;
> +        Period lag_;
> +        Calendar calendar_;
> +        BusinessDayConvention bdc_;
> +        DayCounter dayCounter_;
> +        Handle<YieldTermStructure> yieldTS_;
> +        Date baseDate_;
> +    };
> +
> +}
> +
> +
> +#endif
>
>
> Property changes on: trunk/QuantLib/ql/instruments/inflationswap.hpp
> ___________________________________________________________________
> Name: svn:eol-style
>    + native
>
> Added: trunk/QuantLib/ql/instruments/yyiis.cpp
> ===================================================================
> --- trunk/QuantLib/ql/instruments/yyiis.cpp                
>         (rev 0)
> +++ trunk/QuantLib/ql/instruments/yyiis.cpp 2007-10-31
> 16:09:04 UTC (rev 13271)
> @@ -0,0 +1,133 @@
> +/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil;
> c-basic-offset: 4 -*- */
> +
> +/*
> + Copyright (C) 2007 Chris Kenyon
> +
> + This file is part of QuantLib, a free-software/open-source library
> + for financial quantitative analysts and developers -
> http://quantlib.org/
> +
> + QuantLib is free software: you can redistribute it and/or modify it
> + under the terms of the QuantLib license.  You should have received a
> + copy of the license along with this program; if not, please email
> + <[hidden email]>. The license is also available online at
> + <http://quantlib.org/license.shtml>.
> +
> + This program is distributed in the hope that it will be
> useful, but WITHOUT
> + ANY WARRANTY; without even the implied warranty of
> MERCHANTABILITY or FITNESS
> + FOR A PARTICULAR PURPOSE.  See the license for more details.
> +*/
> +
> +#include <ql/instruments/yyiis.hpp>
> +#include <ql/time/schedule.hpp>
> +
> +namespace QuantLib {
> +
> +
> +    YearOnYearInflationSwap::YearOnYearInflationSwap(
> +                   const Date& start,
> +                   const Date& maturity,
> +                   const Period& lag,
> +                   Rate fixedRate,
> +                   const Calendar& calendar,
> +                   BusinessDayConvention convention,
> +                   const DayCounter& dayCounter,
> +                   const Handle<YieldTermStructure>& yieldTS,
> +                   const Handle<YoYInflationTermStructure>&
> inflationTS,
> +                   bool allowAmbiguousPayments,
> +                   const Period& ambiguousPaymentPeriod)
> +    : InflationSwap(start, maturity, lag, calendar, convention,
> +                    dayCounter, yieldTS),
> +      fixedRate_(fixedRate), inflationTS_(inflationTS),
> +      allowAmbiguousPayments_(allowAmbiguousPayments),
> +      ambiguousPaymentPeriod_(ambiguousPaymentPeriod) {
> +
> +        Schedule temp = MakeSchedule(start_, maturity_,
> +                                     Period(1,Years),
> +                                     calendar_, bdc_);
> +        paymentDates_.clear();
> +        paymentDates_.reserve(temp.size()-1);
> +
> +        // the first payment date is the _second_ date in
> the schedule,
> +        // so we start from index 1
> +        for (Size i=1; i<temp.size(); ++i) {
> +            if (!allowAmbiguousPayments_) {
> +                if (temp[i] > start_ + ambiguousPaymentPeriod_) {
> +                    paymentDates_.push_back(temp[i]);
> +                }
> +            } else {
> +                paymentDates_.push_back(temp[i]);
> +            }
> +        }
> +
> +        QL_REQUIRE(!paymentDates_.empty(),
> +                   " no payments dates, start " << start_
> +                    << ", maturity: " <<  maturity_);
> +    }
> +
> +
> +    bool YearOnYearInflationSwap::isExpired() const {
> +        return yieldTS_->referenceDate() > maturity_;
> +    }
> +
> +
> +    Rate YearOnYearInflationSwap::fairRate() const {
> +        calculate();
> +        return fairRate_;
> +    }
> +
> +
> +    Rate YearOnYearInflationSwap::fixedRate() const {
> +        return fixedRate_;
> +    }
> +
> +
> +    std::vector<Date> YearOnYearInflationSwap::paymentDates() const {
> +        return paymentDates_;
> +    }
> +
> +
> +    void YearOnYearInflationSwap::setupExpired() const {
> +        Instrument::setupExpired();
> +        fairRate_ = Null<Rate>();
> +    }
> +
> +
> +    void YearOnYearInflationSwap::performCalculations() const {
> +        // Rates for instruments always look at earlier
> values paid later.
> +        Real nom = 0.0;
> +        Real inf1 = 0.0;
> +        Real inf2 = 0.0;
> +        Real frac;
> +
> +        Date referenceDate = yieldTS_->referenceDate();
> +        for (Size i=0; i<paymentDates_.size(); i++) {
> +            Date couponPayDate = paymentDates_[i];
> +            if (couponPayDate >= referenceDate) {
> +                if (i==0) {
> +                    frac = dayCounter_.yearFraction(referenceDate,
> +                                                    couponPayDate);
> +                } else {
> +                    if (referenceDate > paymentDates_[i-1])
> +                        frac =
> dayCounter_.yearFraction(referenceDate,
> +                                                        
> couponPayDate);
> +                    else
> +                        frac =
> dayCounter_.yearFraction(paymentDates_[i-1],
> +                                                        
> couponPayDate);
> +                }
> +
> +                nom += frac * yieldTS_->discount(couponPayDate);
> +                inf1 += frac * inflationTS_->yoyRate(
> +                             calendar().adjust(couponPayDate
> - lag(), bdc_));
> +                inf2 += frac * inflationTS_->yoyRate(
> +                             calendar().adjust(couponPayDate
> - lag(), bdc_)) *
> +                    yieldTS_->discount(couponPayDate);
> +            }
> +        }
> +
> +        NPV_ = nom*fixedRate_ - inf1;
> +        errorEstimate_ = 0.0;
> +        fairRate_ = inf2/nom;
> +    }
> +
> +}
> +
>
>
> Property changes on: trunk/QuantLib/ql/instruments/yyiis.cpp
> ___________________________________________________________________
> Name: svn:eol-style
>    + native
>
> Added: trunk/QuantLib/ql/instruments/yyiis.hpp
> ===================================================================
> --- trunk/QuantLib/ql/instruments/yyiis.hpp                
>         (rev 0)
> +++ trunk/QuantLib/ql/instruments/yyiis.hpp 2007-10-31
> 16:09:04 UTC (rev 13271)
> @@ -0,0 +1,90 @@
> +/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil;
> c-basic-offset: 4 -*- */
> +
> +/*
> + Copyright (C) 2007 Chris Kenyon
> +
> + This file is part of QuantLib, a free-software/open-source library
> + for financial quantitative analysts and developers -
> http://quantlib.org/
> +
> + QuantLib is free software: you can redistribute it and/or modify it
> + under the terms of the QuantLib license.  You should have received a
> + copy of the license along with this program; if not, please email
> + <[hidden email]>. The license is also available online at
> + <http://quantlib.org/license.shtml>.
> +
> + This program is distributed in the hope that it will be
> useful, but WITHOUT
> + ANY WARRANTY; without even the implied warranty of
> MERCHANTABILITY or FITNESS
> + FOR A PARTICULAR PURPOSE.  See the license for more details.
> +*/
> +
> +/*! \file yyiis.hpp
> +    \brief Year-on-year inflation-indexed swap
> +*/
> +
> +#ifndef quantlib_yyiis_hpp
> +#define quantlib_yyiis_hpp
> +
> +#include <ql/instruments/inflationswap.hpp>
> +
> +namespace QuantLib {
> +
> +    //! Year-on-year inflation-indexed swap
> +    /*! \note The allowAmbiguousPayments parameter is to allow for
> +              payment arithmetic being ambiguous.  If the maturity is
> +              in, say, 30.01 years according to the daycounter and
> +              roll rules does this mean that there is a payment in
> +              0.01 years?.
> +    */
> +    class YearOnYearInflationSwap : public InflationSwap {
> +      public:
> +        YearOnYearInflationSwap(
> +                   const Date& start,
> +                   const Date& maturity,
> +                   const Period& lag,
> +                   Rate fixedRate,
> +                   const Calendar& calendar,
> +                   BusinessDayConvention convention,
> +                   const DayCounter& dayCounter,
> +                   const Handle<YieldTermStructure>& yieldTS,
> +                   const Handle<YoYInflationTermStructure>&
> inflationTS,
> +                   bool allowAmbiguousPayments = false,
> +                   const Period& ambiguousPaymentPeriod =
> Period(1, Months));
> +
> +        //! \name Instrument interface
> +        //@{
> +        bool isExpired() const;
> +        //@}
> +
> +        //! \name InflationSwap interface
> +        //@{
> +        Rate fairRate() const;
> +        //@}
> +
> +        //! \name Inspectors
> +        //@{
> +        Rate fixedRate() const;
> +        std::vector<Date> paymentDates() const;
> +        //@}
> +
> +      protected:
> +        //! \name Instrument interface
> +        //@{
> +        void setupExpired() const;
> +        void performCalculations() const;
> +        //@}
> +
> +        Rate fixedRate_;
> +        Handle<YoYInflationTermStructure> inflationTS_;
> +
> +        bool allowAmbiguousPayments_;
> +        Period ambiguousPaymentPeriod_;
> +        std::vector<Date> paymentDates_;
> +
> +        mutable Rate fairRate_;
> +    };
> +
> +}
> +
> +
> +#endif
> +
>
>
> Property changes on: trunk/QuantLib/ql/instruments/yyiis.hpp
> ___________________________________________________________________
> Name: svn:eol-style
>    + native
>
> Added: trunk/QuantLib/ql/instruments/zciis.cpp
> ===================================================================
> --- trunk/QuantLib/ql/instruments/zciis.cpp                
>         (rev 0)
> +++ trunk/QuantLib/ql/instruments/zciis.cpp 2007-10-31
> 16:09:04 UTC (rev 13271)
> @@ -0,0 +1,68 @@
> +/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil;
> c-basic-offset: 4 -*- */
> +
> +/*
> + Copyright (C) 2007 Chris Kenyon
> +
> + This file is part of QuantLib, a free-software/open-source library
> + for financial quantitative analysts and developers -
> http://quantlib.org/
> +
> + QuantLib is free software: you can redistribute it and/or modify it
> + under the terms of the QuantLib license.  You should have received a
> + copy of the license along with this program; if not, please email
> + <[hidden email]>. The license is also available online at
> + <http://quantlib.org/license.shtml>.
> +
> + This program is distributed in the hope that it will be
> useful, but WITHOUT
> + ANY WARRANTY; without even the implied warranty of
> MERCHANTABILITY or FITNESS
> + FOR A PARTICULAR PURPOSE.  See the license for more details.
> +*/
> +
> +#include <ql/instruments/zciis.hpp>
> +
> +namespace QuantLib {
> +
> +    ZeroCouponInflationSwap::ZeroCouponInflationSwap(
> +                        const Date& start,
> +                        const Date& maturity,
> +                        const Period &lag,
> +                        Rate fixedRate,
> +                        const Calendar& calendar,
> +                        BusinessDayConvention convention,
> +                        const DayCounter& dayCounter,
> +                        const Handle<YieldTermStructure>& yieldTS,
> +                        const
> Handle<ZeroInflationTermStructure>& inflationTS)
> +    : InflationSwap(start, maturity, lag, calendar, convention,
> +                    dayCounter, yieldTS),
> +      fixedRate_(fixedRate), inflationTS_(inflationTS) {
> +        registerWith(inflationTS_);
> +    }
> +
> +
> +    bool ZeroCouponInflationSwap::isExpired() const {
> +        return yieldTS_->referenceDate() > maturity_;
> +    }
> +
> +
> +    Rate ZeroCouponInflationSwap::fairRate() const {
> +        return inflationTS_->zeroRate(maturity_ - lag_);
> +    }
> +
> +
> +    Rate ZeroCouponInflationSwap::fixedRate() const {
> +        return fixedRate_;
> +    }
> +
> +
> +    void ZeroCouponInflationSwap::performCalculations() const {
> +
> +        // the observation lag is also taken into account in
> fairRate();
> +        // discount is relative to the payment date, not the
> observation date.
> +        Real T = dayCounter_.yearFraction(inflationTS_->baseDate(),
> +                                          maturity_ - lag_);
> +        NPV_ = yieldTS_->discount(maturity_) *
> +            (std::pow(1.0 + fixedRate_, T) - std::pow(1.0 +
> fairRate(), T));
> +        errorEstimate_ = 0.0;
> +    }
> +
> +}
> +
>
>
> Property changes on: trunk/QuantLib/ql/instruments/zciis.cpp
> ___________________________________________________________________
> Name: svn:eol-style
>    + native
>
> Added: trunk/QuantLib/ql/instruments/zciis.hpp
> ===================================================================
> --- trunk/QuantLib/ql/instruments/zciis.hpp                
>         (rev 0)
> +++ trunk/QuantLib/ql/instruments/zciis.hpp 2007-10-31
> 16:09:04 UTC (rev 13271)
> @@ -0,0 +1,78 @@
> +/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil;
> c-basic-offset: 4 -*- */
> +
> +/*
> + Copyright (C) 2007 Chris Kenyon
> +
> + This file is part of QuantLib, a free-software/open-source library
> + for financial quantitative analysts and developers -
> http://quantlib.org/
> +
> + QuantLib is free software: you can redistribute it and/or modify it
> + under the terms of the QuantLib license.  You should have received a
> + copy of the license along with this program; if not, please email
> + <[hidden email]>. The license is also available online at
> + <http://quantlib.org/license.shtml>.
> +
> + This program is distributed in the hope that it will be
> useful, but WITHOUT
> + ANY WARRANTY; without even the implied warranty of
> MERCHANTABILITY or FITNESS
> + FOR A PARTICULAR PURPOSE.  See the license for more details.
> +*/
> +
> +/*! \file zciis.hpp
> +    \brief Zero-coupon inflation-indexed swap
> +*/
> +
> +#ifndef quantlib_zciis_hpp
> +#define quantlib_zciis_hpp
> +
> +#include <ql/instruments/inflationswap.hpp>
> +
> +namespace QuantLib {
> +
> +    //! Zero-coupon inflation-indexed swap
> +    /*! A ZCIIS pays a fixed rate and receives the inflation rate at
> +        date \f$ d2 \f$ relative to inflation at date \f$ d1 \f$,
> +        where \f$ d1 \f$ is a lag period before start date
> and \f$ d2 \f$
> +        is a lag period before maturity.
> +    */
> +    class ZeroCouponInflationSwap : public InflationSwap {
> +      public:
> +        ZeroCouponInflationSwap(
> +                       const Date& start,
> +                       const Date& maturity,
> +                       const Period& lag,
> +                       Rate fixedRate,
> +                       const Calendar& calendar,
> +                       BusinessDayConvention convention,
> +                       const DayCounter& dayCounter,
> +                       const Handle<YieldTermStructure>& yieldTS,
> +                       const
> Handle<ZeroInflationTermStructure>& inflationTS);
> +
> +        //! \name Instrument interface
> +        //@{
> +        bool isExpired() const;
> +        //@}
> +
> +        //! \name InflationSwap interface
> +        //@{
> +        Rate fairRate() const;
> +        //@}
> +
> +        //! \name Inspectors
> +        //@{
> +        Rate fixedRate() const;
> +        //@}
> +
> +      protected:
> +        //! \name Instrument interface
> +        //@{
> +        void performCalculations() const;
> +        //@}
> +
> +        Rate fixedRate_;
> +        Handle<ZeroInflationTermStructure> inflationTS_;
> +    };
> +
> +}
> +
> +
> +#endif
>
>
> Property changes on: trunk/QuantLib/ql/instruments/zciis.hpp
> ___________________________________________________________________
> Name: svn:eol-style
>    + native
>
>
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[Luigi Ballabio]

On Wed, 2007-10-31 at 18:12 +0100, Bianchetti Marco wrote:
> Why not under a dedicated folder /instruments/inflation/ ?

I'm not particularly fond of deep folder structures.
Especially when they're not clean-cut: if we added an inflation bond,
would it go into inflation/ or into bonds/?

Luigi


--

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-- Robert Benchley



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