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QuantLib_InflationCoupon

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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