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QuantLib_InflationCoupon
Langue: en
Version: 376277 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::InflationCoupon -Base inflation-coupon class.
SYNOPSIS
#include <ql/cashflows/inflationcoupon.hpp>
Inherits QuantLib::Coupon, and QuantLib::Observer.
Inherited by YoYInflationCoupon.
Public Member Functions
InflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const boost::shared_ptr< InflationIndex > &index, const Period &observationLag, const DayCounter &dayCounter, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date())
void setPricer (const boost::shared_ptr< InflationCouponPricer > &)
boost::shared_ptr< InflationCouponPricer > pricer () const
CashFlow interface
Real amount () const
Coupon interface
Real price (const Handle< YieldTermStructure > &discountingCurve) const
DayCounter dayCounter () const
Real accruedAmount (const Date &) const
Rate rate () const
Inspectors
const boost::shared_ptr< InflationIndex > & index () const
yoy inflation index
Period observationLag () const
how the coupon observes the index
Natural fixingDays () const
fixing days
virtual Date fixingDate () const
fixing date
virtual Rate indexFixing () const
fixing of the underlying index, as observed by the coupon
Observer interface
void update ()
Visitability
virtual void accept (AcyclicVisitor &)
Protected Member Functions
virtual bool checkPricerImpl (const boost::shared_ptr< InflationCouponPricer > &) const =0
makes sure you were given the correct type of pricer
Protected Attributes
boost::shared_ptr< InflationCouponPricer > pricer_
boost::shared_ptr< InflationIndex > index_
Period observationLag_
DayCounter dayCounter_
Natural fixingDays_
Detailed Description
Base inflation-coupon class.
The day counter is usually obtained from the inflation term structure that the inflation index uses for forecasting. There is no gearing or spread because these are relevant for YoY coupons but not zero inflation coupons.
Note:
- inflation indices do not contain day counters or calendars.
Member Function Documentation
void update () [virtual]This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Implements Observer.
Reimplemented in CappedFlooredYoYInflationCoupon.
Author
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Contenus ©2006-2024 Benjamin Poulain
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