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QuantLib_YearOnYearInflationSwapHelper

NAME

QuantLib::YearOnYearInflationSwapHelper -

Year-on-year inflation-swap bootstrap helper.

SYNOPSIS

#include <ql/termstructures/inflation/inflationhelpers.hpp>

Inherits BootstrapHelper< YoYInflationTermStructure >.

Public Member Functions

YearOnYearInflationSwapHelper (const Handle< Quote > &quote, const Period &swapObsLag_, const Date &maturity, const Calendar &calendar, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, const boost::shared_ptr< YoYInflationIndex > &yii)

void setTermStructure (YoYInflationTermStructure *)
sets the term structure to be used for pricing
Real impliedQuote () const

Protected Attributes

Period swapObsLag_

Date maturity_

Calendar calendar_

BusinessDayConvention paymentConvention_

DayCounter dayCounter_

boost::shared_ptr< YoYInflationIndex > yii_

boost::shared_ptr< YearOnYearInflationSwap > yyiis_

Detailed Description

Year-on-year inflation-swap bootstrap helper.

Member Function Documentation

void setTermStructure (YoYInflationTermStructure *) [virtual]

sets the term structure to be used for pricing Warning

Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.

Reimplemented from BootstrapHelper< YoYInflationTermStructure >.

Author

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