Implement ZeroCouponInflationSwap::fixedLegBPS() (#2360)

Author: lballabio

ql/instruments/zerocouponinflationswap.cpp

@@ -143,6 +143,25 @@ namespace QuantLib {
         //      maturityDate(), observationLag(), infIndex_->interpolated());
     }
 
+    Real ZeroCouponInflationSwap::fixedLegBPS() const {
+        // legBPS_[0] is 0, because fixed leg uses a SimpleCashFlow. BPSCalculator assumes
+        // that simple cashflows are not sensitive to fixedRate. We could change that to a
+        // FixedRateCoupon, however BPSCalculator also assumes that all coupons are linear
+        // in fixedRate. Our fixed leg uses annual compounding, so it does not compute the
+        // right number.
+        calculate();
+        QL_REQUIRE(endDiscounts_[0] != Null<DiscountFactor>(),
+                   "cannot calculate fixedLegBPS because end discount is not populated");
+
+        const Spread basisPoint = 1.0e-4;
+        DiscountFactor df = payer_[0] * endDiscounts_[0];
+        Real T =
+            inflationYearFraction(infIndex_->frequency(),
+                                  detail::CPI::isInterpolated(observationInterpolation_),
+                                  dayCounter_, baseDate_, obsDate_);
+
+        return df * nominal_ * (pow(1.0 + fixedRate_ + basisPoint, T) - pow(1.0 + fixedRate_, T));
+    }
 
     Real ZeroCouponInflationSwap::fixedLegNPV() const {
         calculate();

ql/instruments/zerocouponinflationswap.hpp

@@ -120,6 +120,7 @@ namespace QuantLib {
         //! \name Results
         //@{
         Real fixedLegNPV() const;
+        Real fixedLegBPS() const;
         Real inflationLegNPV() const;
         Real fairRate() const;
         //@}

ql/instruments/zerocouponswap.cpp

@@ -107,7 +107,7 @@ namespace QuantLib {
                      paymentDelay) {
 
         legs_[0].push_back(
-            ext::shared_ptr<CashFlow>(new SimpleCashFlow(fixedPayment, paymentDate_)));
+            ext::make_shared<SimpleCashFlow>(fixedPayment, paymentDate_));
     }
 
     ZeroCouponSwap::ZeroCouponSwap(Type type,
@@ -130,8 +130,8 @@ namespace QuantLib {
                      paymentDelay) {
 
         InterestRate interest(fixedRate, fixedDayCounter, Compounded, Annual);
-        legs_[0].push_back(ext::shared_ptr<CashFlow>(
-            new FixedRateCoupon(paymentDate_, baseNominal_, interest, startDate, maturityDate)));
+        legs_[0].push_back(ext::make_shared<FixedRateCoupon>(
+            paymentDate_, baseNominal_, std::move(interest), startDate, maturityDate));
     }
 
     Real ZeroCouponSwap::fixedLegNPV() const {

test-suite/inflation.cpp

@@ -391,6 +391,7 @@ BOOST_AUTO_TEST_CASE(testZeroTermStructure) {
     // first check that the quoted swaps are repriced correctly
 
     const Real eps = 1.0e-7;
+    const Spread basisPoint = 1.0e-4;
     auto engine = ext::make_shared<DiscountingSwapEngine>(nominalTS);
 
     for (const auto& datum: zcData) {
@@ -408,7 +409,25 @@ BOOST_AUTO_TEST_CASE(testZeroTermStructure) {
                             "zero-coupon inflation swap does not reprice to zero"
                             << "\n    NPV:      " << nzcis.NPV()
                             << "\n    maturity: " << nzcis.maturityDate()
-                            << "\n    rate:     " << datum.rate/100.0);
+                            << "\n    rate:     " << nzcis.fixedRate());
+
+        ZeroCouponInflationSwap nzcisBumped(Swap::Payer,
+                                            1000000.0,
+                                            evaluationDate,
+                                            datum.date,
+                                            calendar, bdc, dc,
+                                            datum.rate/100.0 + basisPoint,
+                                            ii, observationLag,
+                                            CPI::AsIndex);
+        nzcisBumped.setPricingEngine(engine);
+
+        const Real expected = nzcisBumped.legNPV(0) - nzcis.legNPV(0);
+        BOOST_CHECK_MESSAGE(std::fabs(nzcis.fixedLegBPS() - expected) < eps,
+                            "zero-coupon inflation swap does not have correct fixedLegBPS"
+                            << "\n    actual:   " << nzcis.fixedLegBPS()
+                            << "\n    expected: " << expected
+                            << "\n    maturity: " << nzcis.maturityDate()
+                            << "\n    rate:     " << nzcis.fixedRate());
     }
 
     //===========================================================================================